Comparative Analysis on Effect of Accounting Data and Macroeconomic Variables in Predicting Stock Returns

The purpose of this research is to analyze the effects of macroeconomic variables on forecasting the stock return. For this purpose, data on ۱۲۱ firms accepted on the Tehran Stock Exchange during the years ۲۰۱۲ to ۲۰۲۱ have been analyzed using regression model of data with different frequencies (MIDAS), and the relationship between forecasting future performance of stock returns and macroeconomic variables are investigated. The results show that the variables of firm size, intangibles assets, Tobin’s Q, financial leverage, and market to book value ratio have a significant effect in explaining the returns of firms’ stock. The findings show the special attention of investors and creditors to accounting and economic criteria in explaining stock returns, and the continuation of such trend can lead to an increase in the efficiency of the capital market.The findings show the special attention of investors and creditors to accounting and economic criteria in explaining stock returns, and the continuation of such trend can lead to an increase in the efficiency of the capital market.

Keywords:

Stock Returns , Accounting Data , Macroeconomic variables , Midas