the intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
نویسندگان
چکیده
the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of risk aversion and insignificance of intercepts revealed that there is icapm in iran’s stock market. the result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. in addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.
منابع مشابه
the relationship between critical thinking and reading strategies
during the process of reading, sometimes learners use ineffective and inefficient strategies and some factors may influence their use of strategies. perhaps critical thinking is one of these factors. this study aims to identify those categories of reading strategies that are mostly used by iranian efl learners and to see if there is any significant relationship between the critical thinking abi...
the relationship between collocational competence and listening comprehension
پس از پیدایش روش تدریس tpr توسط جیمز اشر که توجه و تآکید بسیاری بر مهارت شنیداری داشت زبانشناسان همواره در صدد یافتن راههایی برای بهبود این مهارت در زبان آموزان می باشند. از طرفی جی-آر-فرث که از پیشگامان زبانشناسی می باشد بر تآثیر لغات و بویژه گروه کلمات که اغلب در گفتار با هم می آیند (هم آیی کلمات)تأکید بسیار کرده است. به این دلیل و به منظوربررسی رابطه بین این دو عامل یعنی درک شنیداری و دانش...
15 صفحه اولInvestigating the Correlation of Selected Banks with Dynamic Conditional Correlation (DCC) Model and Identifying Systemically Important Banks with Conditional Value at Risk and Shapley Value Method
Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a me...
متن کاملthe investigation of the relationship between type a and type b personalities and quality of translation
چکیده ندارد.
the relationship between learners critical thinking ability and their performance in the reading sections of the tofel and ielts test
the study reflected in this thesis aims at finding out relationships between critical thinking (ct), and the reading sections of tofel and ielts tests. the study tries to find any relationships between the ct ability of students and their performance on reading tests of tofel and academic ielts. however, no research has ever been conducted to investigate the relationship between ct and the read...
15 صفحه اولthe relationship between topic familiarity and guessing lexical meaning and retention among iranian efl learners
the skill of reading in english as a foreign language is an important and challenging one which is affected both by linguistic and extra linguistic factors. since vocabularies are part and parcel of every reading comprehension text, knowing enough vocabulary always facilitates this process. however, guessing strategy as one of the most important strategies has consistently ignored by language l...
15 صفحه اولمنابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
تحقیقات مالیجلد ۱۷، شماره ۱، صفحات ۱-۲۰
کلمات کلیدی
میزبانی شده توسط پلتفرم ابری doprax.com
copyright © 2015-2023