The Exchange Influence Systematic Risk on Stock return in Tehran stock

The present study is aiming to determine the effect of systematic risk onefficiency of pharmaceutical products in Tehran Security Market. Themethodology was descriptive and data related to research literature was gatheredfrom library resources. We used financial statements of sample companies alongwith their notes, data banks and bulletins of Security Market to gather data whichwas analyzed by Data Panel Methodology. Our statistical universe was allcompanies who were accepted in Tehran Security Market. In this research, datapanel consists of 27 companies having similar statistical variables, which wasgathered annually during 6 years; it means that 27 companies were observed andconsidered for 6 years. Independent variable of this research includes systematicrisk and control variable covering price to interest, size of company, book value tomarket value, volume of stock exchanges and dependent variable of stockefficiency. Results show that there is a positive and significant relationship amongsystematic risk, price to interest (P/I), size of company and stock efficiency. Also,there is a negative and significant relationship between book value to marketvalue and volume of stock exchanges to stock efficiency.

Keywords:

systematic risk , book value , market value , price to interest , size of company , volume of stock exchanges , stock efficiency