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The Effect of Nominal Price on Stock Returns in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Ebrahimnejad, Ali (Supervisor) ; Barakchian, Mahdi (Co-Supervisor) ; Keshavarz Haddad, Gholamreza (Co-Supervisor)
Abstract
Based on modern finance theory, valuation should not depend on nominal stock prices. However, evidence shows that the nominal price of stocks does matter in the U.S. stock market. In this paper, we examine the effect of nominal share prices on stock returns, using data between 2009 and 2017 form the Tehran Stock Exchange. Our results indicate that there is no significant relationship between nominal price and return on the Tehran Stock Exchange. By controlling for different important variables, the return differential between high price and low price stocks is insignificant and the results are robust to various specifications and tests. Furthermore, by using event study under the market...