A Scheme of CAPM Models Considering Distress Risk and Firms Life Cycle

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.

SALEHI MEHRDAD; HEJAZI REZVAN; TALEBNIA QODRATOLLAH; AMIRI ALI

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

Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2019 | Volume:7 | Issue:1 (24) Page(s): 95-122

Download Full-Text

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

Persian Verion

View:

516

Download:

Cites:

Information Journal Paper

Title

A Scheme of CAPM Models Considering Distress Risk and Firms Life Cycle

Author(s)

SALEHI MEHRDAD | HEJAZI REZVAN | TALEBNIA QODRATOLLAH | AMIRI ALI | Issue Writer Certificate

Keywords

PricingQ1

Capital AssetsQ1

Distress RiskQ1

life cycleQ1

Abstract

Given the growing complexity of financial markets and the specialization of investment, financial market participants need tools, methods and models to choose the best investment. This has led to a variety of models for capital asset Pricing and calculation of stock return forecasting. For this purpose, the researcher uses a theoretical matrix of the most widely used and most effective variables of the predicted model for accurate analysis of more data and calculation of the final model. Also, by using the multivariate correlation and regression analysis and the parent test, we compared the predicted model in the corporate life cycle. The results of 88 companies during the period of 2007 to 2016 in Tehran Stock Exchange show that the Distress Risk in the experimental Pricing model explains the average return on a portfolio based on momentum. The rate of return expected in the aftermath of the financial risk mitigation has decreased. Also, in healthy firms, the return on a portfolio consisting of a losing company is less than the return on a portfolio of winning shares. On the other hand, the results show that among the various stages of the company's life cycle, the average return on the portfolio of portfolios is higher for the valuation of Capital Assets at the maturity stage. Finally, the new adjustment modality can be explained by 59% of variations of the variables dependent on the independent variables of the model which has a higher coefficient than previous models. It indicates the high power of the conjunction and the higher explanatory power of the new model.

Cites

No record.

References

No record.

Cite

APA: Copy

SALEHI, MEHRDAD, HEJAZI, REZVAN, TALEBNIA, QODRATOLLAH, & AMIRI, ALI. (2019). A Scheme of CAPM Models Considering Distress Risk and Firms Life Cycle. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 7(1 (24) ), 95-122. SID. https://sid.ir/paper/261672/en

Vancouver: Copy

SALEHI MEHRDAD, HEJAZI REZVAN, TALEBNIA QODRATOLLAH, AMIRI ALI. A Scheme of CAPM Models Considering Distress Risk and Firms Life Cycle. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2019;7(1 (24) ):95-122. Available from: https://sid.ir/paper/261672/en

IEEE: Copy

MEHRDAD SALEHI, REZVAN HEJAZI, QODRATOLLAH TALEBNIA, and ALI AMIRI, “A Scheme of CAPM Models Considering Distress Risk and Firms Life Cycle,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 7, no. 1 (24) , pp. 95–122, 2019, [Online]. Available: https://sid.ir/paper/261672/en

Related Journal Papers