Click for new scientific resources and news about Corona[COVID-19]

Paper Information

Journal:   FINANCIAL RESEARCH   SPRING-SUMMER 2010 , Volume 12 , Number 29; Page(s) 0 To 0.
 
Paper: 

INVESTIGATING THE VOLATILITY, UPSIDE RISK, DOWNSIDE RISK AND CAPITAL ASSET PRICING MODEL: EVIDENCES FROM TEHRAN STOCK EXCHANGE

 
 
Author(s):  SADEGHI M., SOROUSH ABOUZAR, FARAHANIAN S.M.J.
 
* 
 
Abstract: 

Modern Portfolio Theories are based on Markowitz’s portfolio optimization model that involves the assumption of Mean Variance Behavior and therefore require the asymmetry and normality of returns. This issue also affects the Capital Asset Pricing Model that estimates systematic risk and uses it in pricing securitie. This article analyzes the various measures of risk. The main purpose of this research is to investigate the relationship between various risk measures and return in Tehran Stock Exchange to clarify that how investors consider risk in their investment decisions. Therefore, this paper investigates the behavior of stock market toward risk. Furthermore, in order to describe the relationship between risk and return، presents alternative models for conventional CAPM that better explain the return.

The results show that monthly returns are not normally distributed. Upside risk criteria strongly explain the monthly returns. Also explanation power of conditional CAPM is low and the difference between the realized returns and the returns that are calculated with three types of CAPM is statistically significant.

 
Keyword(s): 
 
 
References: 
  • Not Registered.
  •  
  •  
 
Citations: 
  • Not Registered.
 
+ Click to Cite.
APA: Copy

SADEGHI, M., & SOROUSH, A., & FARAHANIAN, S. (2010). INVESTIGATING THE VOLATILITY, UPSIDE RISK, DOWNSIDE RISK AND CAPITAL ASSET PRICING MODEL: EVIDENCES FROM TEHRAN STOCK EXCHANGE. FINANCIAL RESEARCH, 12(29), 0-0. https://www.sid.ir/en/journal/ViewPaper.aspx?id=192873



Vancouver: Copy

SADEGHI M., SOROUSH ABOUZAR, FARAHANIAN S.M.J.. INVESTIGATING THE VOLATILITY, UPSIDE RISK, DOWNSIDE RISK AND CAPITAL ASSET PRICING MODEL: EVIDENCES FROM TEHRAN STOCK EXCHANGE. FINANCIAL RESEARCH. 2010 [cited 2021July30];12(29):0-0. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=192873



IEEE: Copy

SADEGHI, M., SOROUSH, A., FARAHANIAN, S., 2010. INVESTIGATING THE VOLATILITY, UPSIDE RISK, DOWNSIDE RISK AND CAPITAL ASSET PRICING MODEL: EVIDENCES FROM TEHRAN STOCK EXCHANGE. FINANCIAL RESEARCH, [online] 12(29), pp.0-0. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=192873.



 
 
Yearly Visit 45
 
 
Latest on Blog
Enter SID Blog