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The Impact of Asymmetric Risk on Expected Return

Author

Listed:
  • Davallou, Maryam

    (Shahid Beheshti University)

  • Sadrynia, Mostafa

    (University of Economic Science)

Abstract

The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model

Suggested Citation

  • Davallou, Maryam & Sadrynia, Mostafa, 2016. "The Impact of Asymmetric Risk on Expected Return," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(1), pages 1-13, January.
    • Handle: RePEc:mbr:jmonec:v:11:y:2016:i:1:p:1-13
    as

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    References listed on IDEAS

    as
    1. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
    2. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
    3. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
    4. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    5. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    Full references (including those not matched with items on IDEAS)

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