THE BETA REVERSAL BEHAVIOR THROUGH DIFFERENT LEVELS OF PORTFOLIO RISK IN TEHRAN STOCK EXCHANGE

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

MANSOURFAR GHOLAMREZA; HEYDARI MEHDI; FARHADI SHARIF ABAD MOHSEN

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

Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2018 | Volume:6 | Issue:3 (22) Page(s): 37-50

Download Full-Text

Persian Verion

View:

822

Download:

Cites:

Information Journal Paper

Title

THE BETA REVERSAL BEHAVIOR THROUGH DIFFERENT LEVELS OF PORTFOLIO RISK IN TEHRAN STOCK EXCHANGE

Author(s)

MANSOURFAR GHOLAMREZA | HEYDARI MEHDI | FARHADI SHARIF ABAD MOHSEN | Issue Writer Certificate

Keywords

BETA REVERSALQ1

CARHART'S MODELQ1

ROLLING BETAQ1

IDIOSYNCRATIC VOLATILITY RISKQ1

B/M RATIOQ1

Abstract

In this paper, using a multi-factor model of Fama and French and Carhart, the BETA REVERSAL behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. BETA REVERSAL is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. BETA REVERSAL caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the BETA REVERSAL in the market, ROLLING BETA, IDIOSYNCRATIC VOLATILITY RISK and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, BETA REVERSAL has been studied by establishing 25 portfolios of stocks according to various measures. The results show that BETA REVERSAL occurs in high- risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange.

Cites

No record.

References

No record.

Cite

APA: Copy

MANSOURFAR, GHOLAMREZA, HEYDARI, MEHDI, & FARHADI SHARIF ABAD, MOHSEN. (2018). THE BETA REVERSAL BEHAVIOR THROUGH DIFFERENT LEVELS OF PORTFOLIO RISK IN TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 6(3 (22) ), 37-50. SID. https://sid.ir/paper/245696/en

Vancouver: Copy

MANSOURFAR GHOLAMREZA, HEYDARI MEHDI, FARHADI SHARIF ABAD MOHSEN. THE BETA REVERSAL BEHAVIOR THROUGH DIFFERENT LEVELS OF PORTFOLIO RISK IN TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2018;6(3 (22) ):37-50. Available from: https://sid.ir/paper/245696/en

IEEE: Copy

GHOLAMREZA MANSOURFAR, MEHDI HEYDARI, and MOHSEN FARHADI SHARIF ABAD, “THE BETA REVERSAL BEHAVIOR THROUGH DIFFERENT LEVELS OF PORTFOLIO RISK IN TEHRAN STOCK EXCHANGE,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 6, no. 3 (22) , pp. 37–50, 2018, [Online]. Available: https://sid.ir/paper/245696/en

Related Journal Papers