Since the relation between risk and returns is so important for investors, the present research deals with how market return EXCESS affects shares return EXCESS. In this research, SMB and IMV variables have been used to measure accurately the effect of market return EXCESS. Also, HML portfolio creation method has been used in order to reduce the correlation between variables. This analysis has been made within the limit of a time series pattern commencing from Apt. 1999 up to March. 2005. The final results obtained form time series analysis of the research indicates the effectiveness and meaningfulness of market return EXCESS. In the end of essay, the outcomes of research and applicable managerial proposals as well as proposals for future researches have been offered.

Accurate assessment of systematic risks in financial markets can lead to favorable capital allocation. Systematic tail risk is adverse events that, if they occur, can affect stock returns. Therefore, the purpose of this study is to investigate the effect of tail risk on EXCESS stock returns. In the present study, two criteria of cumulative tail risk and combined tail covariance risk were used to measure tail risk. For this purpose, using the systematic removal method, a sample of 136 companies listed on the Tehran Stock Exchange (TSE) in the period 2009 to 2019 was selected. Research hypotheses were tested using the five-factor model of Fama and French regression. The results showed that the combination of size portfolio and tail risk and the combination of value portfolio and tail risk have a negative effect on EXCESS stock returns. In addition, the results indicate that the combination of profitability portfolio and tail risk and the combination of investment portfolio and tail risk does not lead to EXCESS stock returns. In general, the results showed that tail risk can be added to asset pricing models in addition to the variables of the five-factor model of Fama and French.

This research investigates the dynamics of EXCESS return on vessels trip charter and time charter in travel leases and rental of the specified route in bulk dry market. Initially, using a weekly dataset between January 2003 and January 2016, a long-term co-integration relationship between temporary travel contracts and maritime-specific contracts was evaluated in the ship's temporary lease equations. Then, a new method was developed based on technical analysis to identify surplus return signals and the formation of a business strategy. Accordingly, our focus was on short-term deviations and we developed a leasing strategy for technical analysis. In particular, we designed the MMTM method and formed a rental strategy. Finally, we tested our strategy for a simple weekly entry into a specific lease. The results show that our method performs better than the benchmark strategy and reveals that a proper utilization of market price deviations will result in significant surplus returns.