ASSET PRICING USING MORE DETERMINANTS (EVIDENCES OF TEHRAN STOCK MARKET USING PANEL DATA)

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RAEI ALI; BAHARVAND SAEID; MOVAFAGHI MASOOD

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Journal: Journal of Quantitative Economics Year:2011 | Volume:7 | Issue:4 (27) Page(s): 101-115

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Information Journal Paper

Title

ASSET PRICING USING MORE DETERMINANTS (EVIDENCES OF TEHRAN STOCK MARKET USING PANEL DATA)

Author(s)

RAEI ALI | BAHARVAND SAEID | MOVAFAGHI MASOOD | Issue Writer Certificate

Keywords

ASSET PRICINGQ2

PERMIUM OF RISKQ3

SIZE EFFECTQ3

BOOK-TO-MARKET EFFECTQ3

SKEWNESSQ3

KURTOSISQ3

Abstract

Variance and standard deviation can be used for measuring risk of portfolios. When return distribution is normally distributed they are suitable measurements. But there are situations in which that condition dose not exist. for instance if the minimum value of stock return is -100% the minimum value of stock is zero. Therefore recently some criterions like KURTOSIS and SKEWNESS have been more common. in this article we use these new measurements and Fama and French 3 factor model to compare their ability to determine of difference in stock returns. Based on data from march 2001 to march 2005 of Tehran Stock Market companies our results show that market risk premium, Size of company and KURTOSIS are more efficient than other factors like B/M and SKEWNESS in determining the risk of portfolios. consequently it is suitable for investors to use them for performance measurement and portfolio optimization.

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APA: Copy

RAEI, ALI, BAHARVAND, SAEID, & MOVAFAGHI, MASOOD. (2011). ASSET PRICING USING MORE DETERMINANTS (EVIDENCES OF TEHRAN STOCK MARKET USING PANEL DATA). JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 7(4 (27)), 101-115. SID. https://sid.ir/paper/110698/en

Vancouver: Copy

RAEI ALI, BAHARVAND SAEID, MOVAFAGHI MASOOD. ASSET PRICING USING MORE DETERMINANTS (EVIDENCES OF TEHRAN STOCK MARKET USING PANEL DATA). JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2011;7(4 (27)):101-115. Available from: https://sid.ir/paper/110698/en

IEEE: Copy

ALI RAEI, SAEID BAHARVAND, and MASOOD MOVAFAGHI, “ASSET PRICING USING MORE DETERMINANTS (EVIDENCES OF TEHRAN STOCK MARKET USING PANEL DATA),” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 7, no. 4 (27), pp. 101–115, 2011, [Online]. Available: https://sid.ir/paper/110698/en

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