Possibility of Inflation Illusion in Iran Stock Market and FED Model Merit For Asset Pricing

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Bahri, Pouya | 2020

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 53018 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mahdi; Ebrahimnejad, Ali
Abstract:
One of the typical method for analyzing Iran stock market is comparing Earning Yield of stock with interest rate or bond yield to maturity. In this paper we have literature review that shown FED model does not have any theoretical fundamental so then discuss about FED model merit for asset pricing. Results show that FED model does not work in Iran stock market and we didn’t see any long run relationship between earning yield and interest rate. Also this paper show evidence about inflation illusion and mispricing in Iran stock market and propose that Iran stock market is undervalue because of inflated economy
Keywords:
Asset Pricing Model ; Inflation in Iran ; Stock Market ; FED Model ; Inflation Illusion

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