An Examination of the Relationship between Values at Risk and Expected Stock Return in Tehran’s Stock Exchange

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 in Tehran’s Stock Exchange. Also, this study controlled the impact of the variables (Firm size, Book value to Market value) and the relationship between Value at Risk and expected return. The results of the analysis of the panel data showed a significant positive relationship between the parametric VaR , historical VaR and expected returns during the period under review .The results showed that the control variables didn’t have an effect on the relationship between Value at Risk and expected returns.