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Determinants of the risk premium of the Iraq Stock Exchange portfolio for the period 2005-2023. | ||
| TANMIYAT AL-RAFIDAIN | ||
| Volume 44, Issue 145, March 2025, Pages 184-203 PDF (817.7 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/tanra.2024.154012.1416 | ||
| Authors | ||
| Mohammed F. Mohammed* ; Media M. Mohammed | ||
| Department of Financial and Banking Sciences, College of Administration and Economics, University of Mosul, Mosul, Iraq. | ||
| Abstract | ||
| The research focuses on estimating and analyzing the determinants of equity risk premium in the Iraq Stock Exchange for the period (2005-2023) using the Autoregressive Distributed Lag (ARDL) model to analyze quarterly observations used to build an investment portfolio for the market index in general (market portfolio). Thus, the research focuses on estimating and analyzing economic, financial, and accounting determinants and demonstrating the impact of these determinants on the market portfolio risk premium. The results of the study indicated that the economic variables (risk aversion, inflation, interest rate, and exchange rate) have a significant and consistent effect on the expected signal in determining the equity risk premium. That is, these variables act as major determinants of the additional returns required on investments, which indicates the ability of these variables to explain changes in asset pricing in the long term. Despite the clear impact of these variables, liquidity and information quality did not show a significant effect. Therefore, the results of the study confirm the importance of macroeconomic variables in shaping the equity risk premium. Therefore, the authorities responsible for economic policies in Iraq must work to stabilize these variables in a way that enhances investor confidence in the market. | ||
| Keywords | ||
| Equity Risk Premium Determinants; risk aversion; pricing models; investment portfolio | ||
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