SPECIFIC RISK PRICING: EVIDENCE FROM FAMA-MACBETH MODEL AND STOCHASTIC DISCOUNT FACTOR (SDF)

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DAVALLOU MARYAM; BADRI AHMAD

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 89-106

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Information Journal Paper

Title

SPECIFIC RISK PRICING: EVIDENCE FROM FAMA-MACBETH MODEL AND STOCHASTIC DISCOUNT FACTOR (SDF)

Author(s)

DAVALLOU MARYAM | BADRI AHMAD | Issue Writer Certificate

Keywords

SPECIFIC RISKQ2

FAMA-MACBETH MODELQ2

STOCHASTIC DISCOUNT FACTOR (SDF)Q2

ASSET PRICINGQ2

Abstract

This paper is aimed to test SPECIFIC RISK (SR) pricing in Tehran Stock Exchange (TSE). Also, regarding to contradiction between empirical documents and fundamentals of classic Finance, for investigation of SR pricing reasons, some explanations presented for whyness of mentioned effect is tested using Fama-Macbeth regression (1973) and stochastic discount factor (SDF). Research period is 1378 to 1389 and its sample consists of 270 listed firms in TSE.Obtained results confirm SPECIFIC RISK pricing based on both Fama- Macbeth and SDF methods. Moreover, reason of SR pricing is not attributable to any factors such as size, B/M ratio, momentum, liquidity, third and fourth moments and institutional ownership. However, dependent on SR measure and minimum trading day requirement for thin trading, kurtosis and industry affect SPECIFIC RISK pricing in some cases.

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APA: Copy

DAVALLOU, MARYAM, & BADRI, AHMAD. (2015). SPECIFIC RISK PRICING: EVIDENCE FROM FAMA-MACBETH MODEL AND STOCHASTIC DISCOUNT FACTOR (SDF). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 89-106. SID. https://sid.ir/paper/197684/en

Vancouver: Copy

DAVALLOU MARYAM, BADRI AHMAD. SPECIFIC RISK PRICING: EVIDENCE FROM FAMA-MACBETH MODEL AND STOCHASTIC DISCOUNT FACTOR (SDF). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):89-106. Available from: https://sid.ir/paper/197684/en

IEEE: Copy

MARYAM DAVALLOU, and AHMAD BADRI, “SPECIFIC RISK PRICING: EVIDENCE FROM FAMA-MACBETH MODEL AND STOCHASTIC DISCOUNT FACTOR (SDF),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 89–106, 2015, [Online]. Available: https://sid.ir/paper/197684/en

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