Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in the 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.

MORADZADEH M.; SHAHIKI TASH M.N.; Ezazi M.E.

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

Journal Paper

Paper Information

Journal: PUBLIC MANAGEMENT RESEARCHES Year:2017 | Volume:9 | Issue:34 Page(s): 267-269

Download Full-Text

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

Persian Verion

View:

557

Download:

Cites:

Information Journal Paper

Title

Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in the Tehran Stock Exchange

Author(s)

MORADZADEH M. | SHAHIKI TASH M.N. | Ezazi M.E. | Issue Writer Certificate

Keywords

Arbitrage pricing theoryQ1

Downside arbitrage pricing theoryQ1

Downside betaQ2

semi-varianceQ2

Abstract

Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common factors, In this model, asset pricing is based on risk, although the risk source is not just one factor and its not only the market portfolio, But several factors affect the assets which they are called risk factors. In most APT studies, the researchers test the model through using two scales of beta coefficient and variance. But, the experimental evidences indicate the inefficiency of mean-variance framework, which means that stock returns can't be described well by the mean and variance. In this study, in order to identify the inefficiency of variance (standard deviation), for the first time the new standards of semi-variance and Downside beta in form of APT Model called downside Arbitrage pricing theory (D-APT) were used. . . .

Cites

No record.

References

No record.

Cite

APA: Copy

MORADZADEH, M., SHAHIKI TASH, M.N., & Ezazi, M.E.. (2017). Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in the Tehran Stock Exchange. PUBLIC MANAGEMENT RESEARCHES, 9(34 ), 267-269. SID. https://sid.ir/paper/366849/en

Vancouver: Copy

MORADZADEH M., SHAHIKI TASH M.N., Ezazi M.E.. Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in the Tehran Stock Exchange. PUBLIC MANAGEMENT RESEARCHES[Internet]. 2017;9(34 ):267-269. Available from: https://sid.ir/paper/366849/en

IEEE: Copy

M. MORADZADEH, M.N. SHAHIKI TASH, and M.E. Ezazi, “Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in the Tehran Stock Exchange,” PUBLIC MANAGEMENT RESEARCHES, vol. 9, no. 34 , pp. 267–269, 2017, [Online]. Available: https://sid.ir/paper/366849/en

Related Journal Papers