[صفحه اصلی ]   [Archive] [ English ]  
:: دوره 11، شماره 1 - ( زمستان 1394 ) ::
جلد 11 شماره 1 صفحات 1-13 برگشت به فهرست نسخه ها
The Impact of Asymmetric Risk on Expected Return
چکیده:   (1177 مشاهده)
The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and significant relationship between traditional measures (Standard Deviation and Semi Standard Deviation) and asymmetric risk measures (parametric VaR, HR risk, historical VaR, and historical HR) and expected return. Therefore, in addition to the significant correlation between risk and return, pricing model based on asymmetric risk and traditional risk was approved, too. Again, it was shown that controlling the effect of variables such as financial leverage, firm size, book-to-market ratio of equity (B/M) and liquidity, momentum and inverse is not able to change the direction of the relationship. Furthermore, the explanatory power of traditional and asymmetric risk criteria are the same.

JEL Classification: G10, G17
     
نوع مطالعه: پژوهشي | موضوع مقاله: اقتصاد
دریافت: ۱۳۹۷/۱/۱۹ | پذیرش: ۱۳۹۷/۱/۱۹ | انتشار: ۱۳۹۷/۱/۱۹
ارسال نظر درباره این مقاله
نام کاربری یا پست الکترونیک شما:

CAPTCHA code


XML   English Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Davallou M, Sadrynia M. The Impact of Asymmetric Risk on Expected Return. jme. 2016; 11 (1) :1-13
URL: http://jme.mbri.ac.ir/article-1-253-fa.html

The Impact of Asymmetric Risk on Expected Return. نشریات علمی و پژوهشی پژوهش های پولی و بانکی. 1394; 11 (1) :1-13

URL: http://jme.mbri.ac.ir/article-1-253-fa.html



دوره 11، شماره 1 - ( زمستان 1394 ) برگشت به فهرست نسخه ها
Journal of Money and Economy Journal of Money And Economy
Persian site map - English site map - Created in 0.08 seconds with 29 queries by YEKTAWEB 3764