منابع مشابه
Low Volatility Investing in BIST: Lower Risk without Lower Return
One of the tenets of equilibrium asset pricing models is that expected return of an asset is positively related to its risk (price variability of the asset). In other words, it is expected that assets with higher expected returns are also the ones with higher risk, or assets with lower risk are the ones with lower expected returns. The logic behind this idea is actually is simple and intuitive:...
متن کاملRisk, Return and Dividends∗
We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...
متن کاملThe Risk-return Fallacy
We assume that in the world of business, higher risks are only taken when rewarded with higher expected returns. This supposition has been confirmed empirically using capital market data. However, accounting measures have yielded puzzling results: using the mean and variance of ROE as measures of return and risk, respectively, Bowman (1980) and other researchers find a negative relationship bet...
متن کاملUnderstanding Risk and Return
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متن کاملFirm Specific Risk and Return: Quantile Regression Application
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...
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ژورنال
عنوان ژورنال: The Journal of Investment Strategies
سال: 2013
ISSN: 2047-1238
DOI: 10.21314/jois.2013.018