Modelling stock return generating process as a single factor model, we show analytically that the relation between idiosyncratic volatility measured as variance of the residuals and expected stock return in the cross-section may be represented by a parabola that opens to the left and has horizontal axis. This relation is uncovered for stocks of similar volatility and no abnormal return. The sen...

This paper examines the impact of overlapping return, takeover premium, and method of payment to the long-run post takeover stock return. First, we do not find any statistically significant three-year post takeover abnormal return. Second, we find evidence that overlapping stock return inflates the conventional t-test statistic. Third, we do not find any direct evidence that long-run post takeo...

In the empirical finance literature findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

The present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decisionmaking units (DMUs) in data envelopment analysis (DEA). Conventional DEA models assume nonnegativevalues for inputs and outputs. However, we know that unlike return and skewness, varianceis the on...