APPLICATION OF SYSTEMATIC DOWNSIDE RISK CAPITAL ASSET PRICING MODEL TO COMPARE RISK AND RETURN IN TEHRAN STOCK EXCHANGE

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YOUSEFI MOHAMMAD GHOLI; TAVAKOLI BAGHDADABAD MOHAMMADREZA; NAFAR HOSSEIN

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Journal: ECONOMIC RESEARCH REVIEW Year:2009 | Volume:- | Issue:5 (SUPPLEMENT) Page(s): 95-123

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Title

APPLICATION OF SYSTEMATIC DOWNSIDE RISK CAPITAL ASSET PRICING MODEL TO COMPARE RISK AND RETURN IN TEHRAN STOCK EXCHANGE

Author(s)

YOUSEFI MOHAMMAD GHOLI | TAVAKOLI BAGHDADABAD MOHAMMADREZA | NAFAR HOSSEIN | Issue Writer Certificate

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Abstract

In This study we have tried to find relationship between variables such as market value and earning price ratios (E/P) and leverage ratio with expected rate of return using both CAPM and D-CAPM in Tehran stock exchange during 2001-2006 The results indicate that in a systematic Downside Risk Capital Asset Pricing Model, there is a positive and significant relationship between systematic downside risk, Betta coefficient, size of companies and proportion of earning price ratio with return on shares of companies in Tehran Stock Exchange. However, the relationship between the ratio of book to market value of companies and leverage ratio to dividend yield were insignificant. We have also found that comparision between CAPM and D-CAPM provide a better result for testing the relationship between risk and return and it turned out to be even more efficient.

Cites

THE EFFECT OF ACCRUAL ANOMALY ON PRICING THE FIRMS

References

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APA: Copy

YOUSEFI, MOHAMMAD GHOLI, TAVAKOLI BAGHDADABAD, MOHAMMADREZA, & NAFAR, HOSSEIN. (2009). APPLICATION OF SYSTEMATIC DOWNSIDE RISK CAPITAL ASSET PRICING MODEL TO COMPARE RISK AND RETURN IN TEHRAN STOCK EXCHANGE. ECONOMIC RESEARCH REVIEW, -(5 (SUPPLEMENT)), 95-123. SID. https://sid.ir/paper/67001/en

Vancouver: Copy

YOUSEFI MOHAMMAD GHOLI, TAVAKOLI BAGHDADABAD MOHAMMADREZA, NAFAR HOSSEIN. APPLICATION OF SYSTEMATIC DOWNSIDE RISK CAPITAL ASSET PRICING MODEL TO COMPARE RISK AND RETURN IN TEHRAN STOCK EXCHANGE. ECONOMIC RESEARCH REVIEW[Internet]. 2009;-(5 (SUPPLEMENT)):95-123. Available from: https://sid.ir/paper/67001/en

IEEE: Copy

MOHAMMAD GHOLI YOUSEFI, MOHAMMADREZA TAVAKOLI BAGHDADABAD, and HOSSEIN NAFAR, “APPLICATION OF SYSTEMATIC DOWNSIDE RISK CAPITAL ASSET PRICING MODEL TO COMPARE RISK AND RETURN IN TEHRAN STOCK EXCHANGE,” ECONOMIC RESEARCH REVIEW, vol. -, no. 5 (SUPPLEMENT), pp. 95–123, 2009, [Online]. Available: https://sid.ir/paper/67001/en

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