Volume 11, Issue 1 (Winter 2016)                   J. Mon. Ec. 2016, 11(1): 1-13 | Back to browse issues page

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Davallou M, Sadrynia M. The Impact of Asymmetric Risk on Expected Return. J. Mon. Ec.. 2016; 11 (1) :1-13
URL: http://jme.mbri.ac.ir/article-1-253-en.html
1- Shahid Beheshti University
2- University of Economic Science
Abstract:   (3074 Views)
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
Full-Text [PDF 225 kb]   (1452 Downloads)    
Type of Study: Original Research - Theoric | Subject: Economics
Received: 8 Apr 2018 | Accepted: 8 Apr 2018 | Published: 8 Apr 2018

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