Document Type : Research Article
Authors
1 Department of Industrial Engineering and Management, Shahrood University of Technology, Shahrood, Iran
2 Department of Management, Economics and Accounting, Faculty of Humanities and Social Sciences, Golestan University, Gorgan, Iran.
Abstract
This research investigates the predictive power of cash flow and profit components of stock returns using data from companies listed on the Tehran Stock Exchange within the Fama and French models. The research is conducted based on the financial information of 122 companies admitted to the Tehran Stock Exchange from 2015 to 2022, employing a panel data regression modelling approach. The results indicate that various components of the cash flows have not had the power to explain future stock returns. The same results were obtained regarding the explanatory power of profit-related variables implying that this variable is insignificant. However, the findings obtained from the comparison of stock returns and future stock returns show that there is a significant difference between the average stock returns and future stock returns in different portfolios, in terms of profits and cash flows. In other words, the rate of return among portfolios that benefit from higher cash flows has been significantly higher.
Keywords
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