EXAMINING THE STRENGTH OF CONDITIONAL DOWNSIDE CAPITAL ASSET PRICING MODEL FOR RISK AND EXPECTED RETURN RATIO FORECASTING

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AMIRHOSSEYNI Z.; GHOBADI MASOUMEH

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:1 | Issue:5 Page(s): 83-105

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Title

EXAMINING THE STRENGTH OF CONDITIONAL DOWNSIDE CAPITAL ASSET PRICING MODEL FOR RISK AND EXPECTED RETURN RATIO FORECASTING

Author(s)

AMIRHOSSEYNI Z. | GHOBADI MASOUMEH | Issue Writer Certificate

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Abstract

The main objective of this research is the introduction of conditional downside capital asset pricing model which is the consolidation of conditional asset pricing model and downside capital asset pricing model.this model suggests that for the explanation of the relationship between the risk and the expected investors return its necessary to pay attention to the mere risk, and in all aspects this model indicate the relationship among risk, return and market risk elimination. it is supposed that an investor receive return in accordance with the risk it tolerate in the polar market, but at the unsymmetrical market, this assumption is not complete, however obtaining return is the identical assumption in both markets.thus several model are available for the calculation of the expected return ratio, that the presented model here has much more power in comparison with other current models with the help of pierson and spierman correlation tests, the relationship between the following variable is examined: traditional β, downside β, capital asset pricing model, downside capital asset pricing mode, conditional downside capital asset pricing model.

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APA: Copy

AMIRHOSSEYNI, Z., & GHOBADI, MASOUMEH. (2011). EXAMINING THE STRENGTH OF CONDITIONAL DOWNSIDE CAPITAL ASSET PRICING MODEL FOR RISK AND EXPECTED RETURN RATIO FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 1(5), 83-105. SID. https://sid.ir/paper/197607/en

Vancouver: Copy

AMIRHOSSEYNI Z., GHOBADI MASOUMEH. EXAMINING THE STRENGTH OF CONDITIONAL DOWNSIDE CAPITAL ASSET PRICING MODEL FOR RISK AND EXPECTED RETURN RATIO FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;1(5):83-105. Available from: https://sid.ir/paper/197607/en

IEEE: Copy

Z. AMIRHOSSEYNI, and MASOUMEH GHOBADI, “EXAMINING THE STRENGTH OF CONDITIONAL DOWNSIDE CAPITAL ASSET PRICING MODEL FOR RISK AND EXPECTED RETURN RATIO FORECASTING,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 1, no. 5, pp. 83–105, 2011, [Online]. Available: https://sid.ir/paper/197607/en

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