Inter-temporal Relationship between Risk and Return: Evidence from Tehran Securities Exchange (TSE)
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 4, Issue 6
Abstract
In Traditional Capital Asset Pricing Model (Sharpe, 1964; Lintner, 1965) assumed that the variance is constant over time. This paper introduces Inter-temporal Capital Asset Pricing Model (ICAPM) with modifying this assumption. This study is Ex Post Facto (Causal-Comparative) Research based on observational data. This paper uses generalized autoregressive conditional Heteroscedasticity-in-mean (GARCH-M) to estimate the inter-temporal risk-return relation from various Indexes of Tehran securities exchange. The overall conclusion of estimated coefficients using the Tehran securities exchange index (TEPIX) indicate that the inter-temporal risk-return relation not be rejected and the inter-temporal riskreturn relation is negative. Also the Inter-temporal Capital Asset Pricing Model (ICAPM) is not hold. The limited period of this study as well as the change of nature of Tehran securities exchange index (TEPIX), however, restrict the generalization of these findings.
Authors and Affiliations
RouhollahFarhadi| Finance Student of PhD in AllameTabatabei University, Iran, Islamic Republic, Seyed Mohsen Mousavi| Master of Finance, University of ShahidBeheshti, Iran, Islamic Republic, seyedmohsen.mousavi@gmail.com
Keywords
Related Articles
- EP ID EP5472
- DOI -
- Views 314
- Downloads 13
Optimal Placement of PMUs Considering Sensitivity Constraints
Phasor Measurement Unit (PMU), which is based on the GPS technique, is able to provide power engineers with immediate and precise measurements. By utilizing PMUs, the reliability and stability in power system are expecte...
An Integrated model for increasing the motivation of disciplinary science students
In this research conducted to examine the factors affecting the projection of incentive and introduction of the integrated model to increase research incentive, the researchers achieved an appropriate conceptual framewor...
Systematic review of innovative approaches in addressing the major challenges for recycling
Innovation, creativity is the result of applying new ideas. In fact, the implementation of the idea of creativity as a product or service that is fresh, innovative say.The result is new.On the other hand, indirectly con...
A Comparison of Risk-Based and Traditional Auditing and their Effect on the Quality of Audit Reports
The purpose of the present research was to compare risk-based and traditional auditing and their effect on the quality of audit reports. The sample consisted of 80 senior managers, supervisors, and auditors of Iran’s Aud...
Simulation of Virtual Environment for Scout Mobile Robot
This study has been set out to fill the perceived gaps within the context of mobile robots literature. For this purpose, a real-life robot which is known as Scout – and one set of which has hitherto been purchased by Ira...