منابع مشابه
Sentiment approach to negative expected return in the stock market
a r t i c l e i n f o A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide t...
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The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...
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Abstract The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed i...
متن کاملThe Threshold Effect of Investors Sentiment On Stock Market Return
The behavioral financial perspective shows some changes in the price of securities have no fundamental reason and depend on the irrational behaviors of investors as measured by the investor sentiment. Investor sentiment plays an important role in the volatility of securities prices and returns. At first, by finding the thresholds and testing these points statistically, we showed that the invest...
متن کاملThe relationship between Structural risk and Expected return of sukuk
Sukuk is the most important Islamic financial securities designed based on Islamic laws, and the relationship between risk and return is the most basic concept in Islamic finance. The results of examining and comparing the similarities between bonds and sukuk show that the most important difference between these two financing tools is the type of asset backed by sukuk and the type of asset cont...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2019
ISSN: 0022-1082,1540-6261
DOI: 10.1111/jofi.12778