Asymmetric Risk and Expected Return

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DAVALLOU MARYAM; Sadrinia Mostafa

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Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2018 | Volume:9 | Issue:36 Page(s): 97-114

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Information Journal Paper

Title

Asymmetric Risk and Expected Return

Author(s)

DAVALLOU MARYAM | Sadrinia Mostafa | Issue Writer Certificate

Keywords

Asymmetric RiskQ1

Expected ReturnQ1

Volatility anomalyQ1

Abstract

The main objective of this study is to test the Asymmetric Risk pricing and compare the effect of Asymmetric Risk measures and traditional measures of risk on Expected Return is to explain the Volatility anomaly. For this purpose, a sample of 101 companies listed in Tehran Stock Exchange during the period from 1381 to 1392 is selected. To test the effectiveness of traditional and asymmetric measures of risk on Expected Returns is used the Fama-Macbeth (1973) model and portfolio analysis approach. The results is show a positive and significant effect traditional measures (Standard Deviation and Semi-Standard Deviation) and Asymmetric Risk (Value at Risk parameteric and HR) on the Expected Return. The results also indicate that the control factors effect such as financial leverage, firm size, book value to market value, liquidity, reverse and momentum is not to change the positive relationship between different measures of risk and Expected Return.

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APA: Copy

DAVALLOU, MARYAM, & Sadrinia, Mostafa. (2018). Asymmetric Risk and Expected Return. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 9(36 ), 97-114. SID. https://sid.ir/paper/157373/en

Vancouver: Copy

DAVALLOU MARYAM, Sadrinia Mostafa. Asymmetric Risk and Expected Return. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2018;9(36 ):97-114. Available from: https://sid.ir/paper/157373/en

IEEE: Copy

MARYAM DAVALLOU, and Mostafa Sadrinia, “Asymmetric Risk and Expected Return,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 9, no. 36 , pp. 97–114, 2018, [Online]. Available: https://sid.ir/paper/157373/en

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