Econometric model for estimation of equity risk premium in Iran

Document Type : Research Paper


1 Department of Agricultural Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran

2 Human Resources, Bodily Damage Fund, Tehran, Iran

3 Human Resources, State Accounts Court, Tehran, Iran


In this article, the relationship between risk premium spending and important financial and macroeconomic variables in Iran in the years 2013-2014 has been investigated. In this regard, standard OLS regression and the Hodrick-Prescott filter were used. The results of the research showed that there is a positive and significant relationship between the change and evolution of the money supply process and the variable of risk premium. This is while the variables of the gap between private consumption and its trend, exchange rate and stock index of the 50 largest companies in the stock market have a negative and significant effect on the amount of risk premium i.e. ERP in Iran.


Articles in Press, Accepted Manuscript
Available Online from 07 December 2022
  • Receive Date: 15 September 2022
  • Revise Date: 22 October 2022
  • Accept Date: 06 November 2022
  • First Publish Date: 07 December 2022