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 , Mohammad Jalili ²

1 - PhD Candidate in Financial Engineering, Islamic Azad University, Tehran Central Branch
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.

References:

• اسماعیل پور حسن. (1384). مبانی مدیریت بازاریابی، مجله بورس، شماره 10


• جنانی محمدحسن. (1377). سرمایه گذاری ها و دارایی های مالی، مجله بورس، شماره 10


• جهانخانی علی و پارسائیان، علی (1376). مدیریت سرمایه گذاری و ارزیابی اوراق بهادار، دانشگاه تهران.


• راعی رضا، سعیدی علی (1383). مبانی مهندسی مالی و مدیریت ریسک، انتشارات سمت چاپ اول.


• راعی رضا. (1383). مهندسی مالی و مدیریت، انتشارات دانشگاه تهران، صص 14-22.


• روستاپور رضا. (1386)، صنعت سیمان ایران، مجله سیمان، ش 124، ص9 .


• هاگن رابرت. (1384)، تئوری نوین سرمایه گذاری، ترجمه: علی پارسائیان، بهروز خدارحمی، ترمه.


• Markowitz H. M. (1959), Portfolio Selection, (First Edition), New York: John Wiley & Sons.


• Sharp W. (1964), Capital Asset Prices: A Theory of Market Equilibrium Under Condition of Risk, Journal of Financial,19, P:425-442


• Estrada J. (2002). Systematic risk in emerging markets: the D-CAPM, Emerging Markets Review, 3, 365–379.


• Gilb T. (2002). Risk Management: A practical toolkit for identifying. analyzing and coping with project risks, 4 (4): 6-17.