The Application of Downside Risk and Arbitrage Pricing Model in Risk Assessment (Financial Marketing Approach to Iran's Petrochemical Industry)

Subject Areas : Journal of Investment Knowledge

Jehad Barzigar ¹ ( PhD Candidate in Financial Engineering, Islamic Azad University, Tehran Central Branch )
Mohammad Jalili ² ( Associate Professor, PhD in Financial Engineering, Islamic Azad University, Science and Research Branch )

Received: 2021-03-10 Accepted : 2021-04-14 Published : 2022-03-21

Keywords: Financial Marketing Approach, Postmodern Portfolio Theory, Unsystematic Risk, arbitrage, systematic risk,

Abstract :

The purpose of the present study is supposed to be assessing and measuring systematic and unsystematic risks that are affecting petrochemical companies listed on Tehran Stock Exchange Market with a financial -marketing approach in two stages. In the first stage, quantitative assessment of systematic and unsystematic risks is done based on financial approach using downside risk and arbitrage pricing model. As a result of these calculations, it was found that downside risk of portfolio stock returns of companies accepted in Tehran stock market was greater than risk of portfolio stock returns and the greatest risk to the stock returns of petrochemical companies threatens, due to the cultural and economic and political factors and technology and the internal factors have less effect on the risk of stock returns of petrochemical companies. In the second stage, qualitative measurement (rating) of systematic and unsystematic risk was performed based on the marketing approach. The following results were obtained: crude oil price fluctuations, lack of attention to environmental standards, political developments, especially global sanctions and cancellation of the contracts with foreign companies and changes in the exchange rate are among the factors that increase in the systematic risk in the petrochemical industry.

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