The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function

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.

Farzinfar Aliakbar; JAHANGIRNIA HOSSEIN; GHOLAMI JAMKARANI REZA; Ghodrati Ghazaani Hasan

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

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:10 | Issue:41 Page(s): 69-89

Download Full-Text

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

Persian Verion

View:

309

Download:

Cites:

Information Journal Paper

Title

The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function

Author(s)

Farzinfar Aliakbar | JAHANGIRNIA HOSSEIN | GHOLAMI JAMKARANI REZA | Ghodrati Ghazaani Hasan | Issue Writer Certificate

Keywords

At Risk ValueQ2

Stock ReturnQ2

Capital Assets (Stocks)Q1

Multi-factor ModelQ1

Penalty functionQ1

Abstract

Evaluation of stocks based on return and risk related to capital assets is one of the important issues of this field. The majority of multifactor models are defined based on the assessment of one of the return and risk criteria. Nevertheless, the model presented in this study evaluated return and risk simultaneously. The multifactor patterns are static and do not express dynamic changes during time intervals affected by latent factors. In this research, unpredicted fluctuations in Stock Return were defined as latent factors in the Penalty function. A more accurate estimate was provided by using the simulation of Fama– MacBeth regression in the estimation of effective parameters and separation of the effects of latent and manifest factors affecting Stock Return and risk. According to the analysis of the field of knowledge and content analysis, factors affecting the Stock Return were recognized, and the most effective factors including market measures were refined as manifest factors based on the tolerances. Finally, the model proposed(P-PCA) was exploited in risk prediction (At Risk Value). According to the results of the study, the mentioned model more efficiently showed the effects of latent and manifest factors on Stock Return over a long period. In addition, it was able to predict the risk of investment with proper accuracy and similar to patterns of conditional variance, such as ARCH and GARCH.

Cites

No record.

References

No record.

Cite

APA: Copy

Farzinfar, Aliakbar, JAHANGIRNIA, HOSSEIN, GHOLAMI JAMKARANI, REZA, & Ghodrati Ghazaani, Hasan. (2020). The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(41 ), 69-89. SID. https://sid.ir/paper/371827/en

Vancouver: Copy

Farzinfar Aliakbar, JAHANGIRNIA HOSSEIN, GHOLAMI JAMKARANI REZA, Ghodrati Ghazaani Hasan. The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;10(41 ):69-89. Available from: https://sid.ir/paper/371827/en

IEEE: Copy

Aliakbar Farzinfar, HOSSEIN JAHANGIRNIA, REZA GHOLAMI JAMKARANI, and Hasan Ghodrati Ghazaani, “The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 41 , pp. 69–89, 2020, [Online]. Available: https://sid.ir/paper/371827/en

Related Journal Papers