TY - JOUR ID - 81015 TI - Public and Private Intermediaries Asset Pricing: Evidence from Capital Market of Iran JO - Journal of Economic Research (Tahghighat- E- Eghtesadi) JA - JTE LA - en SN - 0039-8969 AU - Ravanbakhsh, Monireh AU - Dehghani Firouzabadi, Mohammad Hossein AD - Ph.D. Candidate in Economics, University of Tehran AD - Assistant Professor of Economics, University of Tehran Y1 - 2020 PY - 2020 VL - 55 IS - 3 SP - 657 EP - 685 KW - Intermediary Asset Pricing KW - Capital Risk KW - Public vs. Private DO - 10.22059/jte.2021.81015 N2 - This paper studies the different roles of public and private financial intermediary institutions in asset pricing in the Tehran Stock Exchange (TSE) and Iran Fara Bourse (IFB) markets. Investment companies active in the capital market of Iran were selected to represent the financial intermediary sector. The intermediary asset pricing model is estimated for two distinct groups of public and private intermediaries using quarterly data. The estimated price of capital factor has been positive and significant at the 5 percent level and less for most of the private intermediary institutions. At a 95 percent level of confidence, a unit of increase in the risk sensitivity of stock returns to capital shocks of the whole private sector coincides with a 3.156 to 3.159 percent increase in seasonal stock return. Accordingly, capital shocks of private intermediaries should be seen as an effective factor in asset pricing in the capital market of Iran. For the public intermediaries, the capital factor price has not been positive and significant at the 5 percent level, neither for individual institutions nor for the whole sector. Therefore, capital shocks of public intermediaries cannot be seen as an effective factor in stock pricing in the capital market of Iran. JEL Classification: G12, G23, C33 UR - https://jte.ut.ac.ir/article_81015.html L1 - https://jte.ut.ac.ir/article_81015_14ded8152da3986f8e23bc6f503f0136.pdf ER -