List of Articles صرف ریسک

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Extraction of a Mathematical Capital Asset Pricing Model within the Framework of Mental Accounting
  Mohammadreza Ola Hashem Nikoomaram Azita Jahanshad Zahra Pourzamani
  Ordinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fai More

  Ordinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fail in achieving the return threshold. The present study extracts the capital asset pricing model from Markowitz Mean-Variance Portfolio Model and risk-free asset entering the limitations of this model. Then, MA-CAPM model is extracted by creating a mathematical equivalence between the components of this model and the limitation of mental accounting. In this model, expected investment return for any purpose presented in the form of mental arithmetic is a function of the return on risk-free asset, beta and risk premium of mental arithmetic where the risk premium of mental arithmetic equals the difference between returns of each account and risk-free return on assets. Expected rate of return on assets in the MA-CAPM will be influenced by return threshold and likelihood to fail in reaching this threshold, i.e. mental arithmetic risk. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - The Role Of Return Dispersion In The Interpreting Of The Accrual Anomaly
  Yahya Hassas Yeganeh Samaneh Bari
  In this study is examined the role of return dispersion in the interpreting of the accrual anomaly and also is assessed the impact of return dispersion on the risk premium of low and high accrual portfolios. For this purpose, sample of 113 firms listed in the Tehran Sto More

  In this study is examined the role of return dispersion in the interpreting of the accrual anomaly and also is assessed the impact of return dispersion on the risk premium of low and high accrual portfolios. For this purpose, sample of 113 firms listed in the Tehran Stock Exchange were studied in the time period from 2009 to 2014 To test the study hypothesis is used Fama and French's pricing model.The results showed that the dispersion of returns / relative return resulting in a significant and positive risk premium over the stock and accrual portfolio and there is a significant difference between the impact of the relative return dispersion on risk premium of low-accruals and high-accruals companies. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  3 - The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market
  Muosa Khoshkalam Rouhollah Mahdavi
  The various studies results Illustrate about the presence of time-varying risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil spot price using data for period 1986-2016. The research More

  The various studies results Illustrate about the presence of time-varying risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil spot price using data for period 1986-2016. The research method in present research is in term of purpose applied, in term of method descriptive-correlation and in term of data nature quantitative. For insight to goals, the paper use from GARCH method, Co-integration test and Vector Error Correction model (VECM). The results of estimations point to risk premium fixed in period 1986-2016, but risk premium is time varying in short period (2004-2016). Also, the results of Co-integration test and vector error correction model indicate to coefficient of risk premium be negative in the period 1986-2016, whereas this coefficient is positive in the period 2004-2016. The coefficients show to oil market estate in Contango position in the period 1986-2016 and normal backwardation in the period 2004-2016 Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  4 - Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange
  Asgar Noorbakhsh Shahram Irani janyarlou
  Stock return is one of the basic concepts in the corporate finance paradigm that has several applications in corporate finance, one of these applications is the role of stock return in motivating investors to invest in corporate stocks. In this research the explanatory More

  Stock return is one of the basic concepts in the corporate finance paradigm that has several applications in corporate finance, one of these applications is the role of stock return in motivating investors to invest in corporate stocks. In this research the explanatory power of stock returns by Fama & French three-factor model and five factor model and comparison of these two models in explanatory and predictive power Stock returns of companies listed on the Tehran Stock Exchange during the period 2012-2019 were examined. This research in class of the field study and using techniques of panel data with fixed effects model and the generalized least squares method including the 2960 observations (Company / season) is done. According to the findings, explaining power of stock returns of companies listed on the Tehran Stock Exchange by the five-factor model of Fama & French is more than compared with three-factor model of Fama & French.Key words: Stock returns, Equity risk premium, Three-factor model of Fama & French, Five-factor model of Fama & French. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  5 - Investigating the effect of underreaction and overreaction on Iran's capital market risk
  mojtaba sangari Mohammad Ali Aghaei Fariborz Avazzadeh Fath Ali Pirzad
  10.30495/jik.2024.23247
  The purpose of the current research is to examine the effect of underreaction and overreaction on the risk distribution of the Iranian capital market. The current research is a post-event descriptive and applied type in terms of purpose. The target statistical populatio More

  The purpose of the current research is to examine the effect of underreaction and overreaction on the risk distribution of the Iranian capital market. The current research is a post-event descriptive and applied type in terms of purpose. The target statistical population is all active and accepted companies in Tehran Stock Exchange, whose shares were traded in Tehran Stock Exchange from 2010 to 2019, and the statistical sample was selected based on the method of systematic elimination of 182 companies. In order to collect the required data and financial information, primary and secondary data such as reports of financial statements and audited financial statements of stock companies for a period of 10 years have been used and analyzed by Eviews9 software. For the inferential analysis of the variables, various statistical tests were used, including the Limer and Hausman F test, regression test, and panel data. The results of the research showed that there is a positive and significant relationship between underreaction and overreaction with Iran's capital market risk. In other words, incorrect pricing leads to underreaction or overreaction in stock prices from the psychological deviation of the investor, such as the investor's misunderstanding of the company's profit. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  6 - Explaining the Role of Investors' Sentiment in Capital Asset Pricing
  Ali Kiamehr Mohammad Hassan Janani Mahmoud Hemmatfar
  The purpose of this study was to explain the role of investors' emotional tendencies in pricing the capital assets of companies listed on the Tehran Stock Exchange. For this purpose, information of 150 companies from the financial reports of companies listed on the Tehr More

  The purpose of this study was to explain the role of investors' emotional tendencies in pricing the capital assets of companies listed on the Tehran Stock Exchange. For this purpose, information of 150 companies from the financial reports of companies listed on the Tehran Stock Exchange have been collected and tested. Findings show that in all three capital asset pricing models (Fama and French three-factor model, (2001) Kahrat four-factor model and Fama and French five-factor model, (2014) investors' emotional tendencies in price The investment of capital assets has an effect and increases the sheer risk of the portfolio.The results also show that in all three pricing models, presenting a capital asset pricing model based on investors' emotional tendencies increases the predictive power of common capital asset pricing models. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  7 - Performance Evaluation of risk premium measurement models: q-theory asset pricing model against three factor model of fama and french
  Gholamreza kordestani Mozhde Ghasemi
  Financial scholars have made valuable efforts to measure risk premium. Recently, Chen et al (2010) proposed a three factor model based on market factor, investment factor, and profitability factor for explaining stock return and called it q-theory model. Prior researche More

  Financial scholars have made valuable efforts to measure risk premium. Recently, Chen et al (2010) proposed a three factor model based on market factor, investment factor, and profitability factor for explaining stock return and called it q-theory model. Prior researches have shown that this model reduces the magnitude of the abnormal returns of a wide range of anomalies. This research examines the performance of new model in explaining the risk premium of the individual stock and portfolio of stock, and compares it with the performance of CAPM and three factor model of Fama and French in stock exchange market. Sample under investigation consist of 72 listed companies for the period of 1386-1391. The results show that risk premium of stocks has a significant relationship with the sensitivity of its returns to investment and profitability factors. Furthermore, q-theory model significantly excel CAPM in explaining risk premium of firm size, book to market value and momentum portfolios. But it significantly excels three factor model of Fama and French just in explaining the risk premium of momentum portfolios. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  8 - Predicting of Equity Premium: Empirical Evidence from PEG Models
  Ali Rahmani Mohammad Tasharofi Ali Saghafi Saber Sheri
  Pricing of financial assets and identify important risk factors is one of the fundamental issues of finance theory. In this study, using insights of CAPM and three-factor model (Fama and French, 1993), PEG and four-factor models was developed. Using financial data of 27 More

  Pricing of financial assets and identify important risk factors is one of the fundamental issues of finance theory. In this study, using insights of CAPM and three-factor model (Fama and French, 1993), PEG and four-factor models was developed. Using financial data of 270 companies traded in TSE during the beginning of 2006 to the end of 2014, three-stage methodology and the portfolio study methodology used to calculate the risk factor. The results show that first, there are inverse size effects, inverse value effects and PEG effects, second, PEG model cannot explain stock risk premium, But the four-factor model compared with other models, has higher power for explaining of the risk premium. Market participants can use these results to improve investment performance and academics recommended that test models of the study. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  9 - بررسی اثر اهرم و بازخورد نوسانات در بورس تهران
  سید محسن موسوی محمدرضا پورابراهیمی
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  10 - The Interaction of the Government and Central Bank Behavior in a Leader-Follower Game despite of the Risk Premium
  داود محمودی نیا اطهره زیدآبادی
  Coordination of monetary and fiscal policies is crucial for achieving economic growth in the context of price stability. Therefore, the monetary and fiscal authorities must have the necessary coordination and coordination in implementing their policies in order to achie More

  Coordination of monetary and fiscal policies is crucial for achieving economic growth in the context of price stability. Therefore, the monetary and fiscal authorities must have the necessary coordination and coordination in implementing their policies in order to achieve better results. On the other hand, the game theory is one of the concepts that has many applications in different sciences and fields. Game theory is of particular importance in economics, since it analyzes the interaction of individuals and their decisions. Thus, in the present study, the coordination of monetary and fiscal policies in the long run and its effect on macroeconomic variables are investigated according to a mathematical model. Accordingly, the interaction of monetary and fiscal policies are taken into consideration in the form of differential games with respect to the risk premium. On the other hand, the method of solving the game by Stackelberg game and the mathematical method is to solve the method of optimal control of Pontryagin's principle. In this regard, the results show that the interaction of monetary and fiscal authorities in the fiscal leadership creates better consequences in the society than the monetary leadership so that the fiscal leadership will decreases the government debts further and brings the debts closer to their desired level. On the other hand, if the policy makers consider the longer-term horizons for applying their policies and lead to the reduced risk premium, reduced target budget deficit and the real interest rates by proper policy-making, they can reduce the level of government debt and thereby the society will be in a better situation. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  11 - بررسی صرف ریسک واریانس در بازار قراردادهای اختیار سکه ایران
  وحید میرزایی بادیزی نفیسه بهرادمهر
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  12 - تبیین نقش ناهنجاریهای بازار سهام در قیمت‌‌‌‌‌‌‌‌گذاری دارایی‌های سرمایه‌ای Explain the role of stock market anomalies in the pricing of capital assets
  علی کیا مهر محمد حسن جنانی محمود همت فر
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  13 - The effect of investors' sentiments and risk premium factors on stocks valuation
  Hamid Rostami jaz yadollah tariverdi Ahmad Yaghoobnezhad
  The purpose of this study is to examine the relative importance of risk premium factors and the investor's sentiments to explain the deviations of the market price of the fundamental value of the stock of the companies. To achieve this goal, using the data of 95 compani More

  The purpose of this study is to examine the relative importance of risk premium factors and the investor's sentiments to explain the deviations of the market price of the fundamental value of the stock of the companies. To achieve this goal, using the data of 95 companies during the financial periods from 2011 to 2016, the effect of the investor's sentiments and risk premium factors in explaining market price deviations from fundamental value of stocks has been investigated using multiple regression model. The results of the study showed that the deviation of the stock market value from the fundamental value of the stock can be explained by both the investor's sentiments and the risk premium. Negative effects of investor's sentiment lead to an assessment of below the stock market value relative to its fundamental values. The variable of the financial crisis also has no significant effect on the relationship between the investor's sentiments and the deviation of the stock market price from the fundamental value of the stock. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  14 - مقایسه عملکرد مدل فاما و فرنچ و شبکه های عصبی مصنوعی
  ناصر شمس سمیرا پارسائیان
  Manuscript profile