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...

the relationship between financial ratios and stock return has been studied in many researches and the presence of income smoothing in tehran stock exchange (tse) has been verified. because of importance of financial reports in predicting and decision making process, income smoothing would be a critical factor in this area. in this paper, the income smoothing impact on relationship between fina...

this research applies and compares the market leverage lally method, ibbotson and sinquefield method and siegel method, to present alternative measures for market risk premium (mrp) estimation and test forecasting power of these methods in calculating expected rate of return. the higher level of leverage implies greater risk of investment in a specified stock, so higher return is expected by in...

This paper explores the mechanism on how the persistence of the stock return volatility is created using a model of an agent-based stock market. First, artificial stock markets with different learning mechanisms, i.e., individual and social learning are examined. The simulation result shows that a social learning economy produces persistence of return volatility while an individual learning eco...

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports...

This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "l...

this paper investigates asset growth pricing in firm-level cross section stock return in tehran stock exchange for the period from 1379 to 1389. in order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and fama-macbeth (1973...