The volatility of financial returns plays an important role in many empirical applications, such as portfolio allocation, risk management and derivative pricing. The purpose of this research is to explain the relationship between undesirable risk and desirable risk in p More
The volatility of financial returns plays an important role in many empirical applications, such as portfolio allocation, risk management and derivative pricing. The purpose of this research is to explain the relationship between undesirable risk and desirable risk in predicting market return volatility. The research is descriptive in nature and applied in purpose. The statistical population of the study is the companies listed in Tehran Stock Exchange and the target sample of the companies listed in the cement industry from which the required research data can be extracted. The research period is from 1392 to 1397. This research has a theoretical model and the self-regression model was used to test the hypotheses. In the cement industry, according to the t-statistic and its coefficient of determination, it is clear that the predictor of market yield fluctuations correlates with undesirable and desirable risk. Also, the adjusted coefficient of determination is 51%, which indicates this effect.
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since so far few studies have been conducted in the field of relationship favorable and unfavorable risk management with macroeconomic variables, in the present study, the short and long term effects of inflation and economic growth on the upside and downside risk manag More
since so far few studies have been conducted in the field of relationship favorable and unfavorable risk management with macroeconomic variables, in the present study, the short and long term effects of inflation and economic growth on the upside and downside risk management of cement and pharmaceutical companies in the Iranian Stock Exchange in the form of ARDL panel model during the period 1391-99 were studied. The statistical population of the present study includes cement and pharmaceutical companies Iranian Stock Exchange, which selected 62 companies as a statistical sample using the systematic elimination method. The results showed that the inflation has a positive effect on the the upside and downside risks of cement and pharmaceutical companies, but economic growth has a negative effect on this variable. The results of the error correction model (ECM) indicate that 50.6% of the imbalance of upside and downside risks variable of its long-term values disappears after a period. Based on this, it can be said that if a shock causes favorable and unfavorable risks in market, it takes about two periods for the market to return to its original long-term equilibrium.
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