capital assets pricing model is used as a tool for the estimation of investments in capital markets with the relation of expected return and risk on securities. this study examines the applicability of capm on pakistan stock markets and karachi stock exchange being the main capital market of pakistan is taken for the study. the analysis is done by taking a sample of 10 performing companies of 1...

stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

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...

in this research, the risk, return and coefficient of variation (cv) are calculated and compared in the food, pharmaceutical and chemical industries during 2003-2008 in tehran stock exchange. also, the effect of stock transactions is investigated in the companies working in these industries to realize the risk, return and cv.  results of this research represent that there are no significant r...

The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...