Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange

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ROSTAMI NOROOZABAD MOJTABA; Jalilvand Abolhassan; Fallashamss Mir Feyz; SAEEDI ALI

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:3 (30) Page(s): 1-24

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Title

Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange

Author(s)

ROSTAMI NOROOZABAD MOJTABA | Jalilvand Abolhassan | Fallashamss Mir Feyz | SAEEDI ALI | Issue Writer Certificate

Keywords

Levered RiskQ1

Business RiskQ1

Growth StockQ2

Value StockQ2

Economic CrisisQ1

Abstract

Objective: The systematically important role of “ value premium” in explaining equity returns (Fama and French, 1992 and 1993) has long puzzled the literature in finance and economics. Method: While recent studies (Petkova and Zhang (2005) and Choi (2013)) provide evidence, using U. S. data for the differential behavior of the value and growth firms, they do not explain the sources and causes underlying such differences. Further, it is unclear whether such differences still persist in other countries’ capital markets. Using both parametric and non-parametric statistical technics, value and growth firms’ conditional asset and levered betas are compared over multiple periods of stable and adverse market conditions for the period 1999-2017 in the Tehran Stock Exchange (TSE). Market conditions are broadly defined by the size and the volatility of market risk premiums in the TSE. Results: Our results show that value and growth firms’ conditional betas (levered or unlevered) are not different under stable market conditions. On the other hand, there are significant differences between value and growth firms’ conditional asset and levered betas under adverse market conditions. Specifically, value firms’ asset and Levered Risks are significantly higher than those of growth firms under adverse market conditions.

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APA: Copy

ROSTAMI NOROOZABAD, MOJTABA, Jalilvand, Abolhassan, Fallashamss, Mir Feyz, & SAEEDI, ALI. (2020). Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(3 (30) ), 1-24. SID. https://sid.ir/paper/403733/en

Vancouver: Copy

ROSTAMI NOROOZABAD MOJTABA, Jalilvand Abolhassan, Fallashamss Mir Feyz, SAEEDI ALI. Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(3 (30) ):1-24. Available from: https://sid.ir/paper/403733/en

IEEE: Copy

MOJTABA ROSTAMI NOROOZABAD, Abolhassan Jalilvand, Mir Feyz Fallashamss, and ALI SAEEDI, “Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 3 (30) , pp. 1–24, 2020, [Online]. Available: https://sid.ir/paper/403733/en

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