The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange
In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its histori...
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| Format: | Article |
| Language: | fas |
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University of Isfahan
2018-09-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_23034_4396d84b16a1db3ae664708a7dfed885.pdf |
| _version_ | 1818922377446162432 |
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| author | Gholamreza Mansourfar Mehdi Heidari Mohsen Farhadi Sharif Abad |
| author_facet | Gholamreza Mansourfar Mehdi Heidari Mohsen Farhadi Sharif Abad |
| author_sort | Gholamreza Mansourfar |
| collection | DOAJ |
| description | In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange. |
| first_indexed | 2024-12-20T01:52:34Z |
| format | Article |
| id | doaj.art-964a8de66cad45e2ae488aaaf257efca |
| institution | Directory Open Access Journal |
| issn | 2383-1189 2383-1189 |
| language | fas |
| last_indexed | 2024-12-20T01:52:34Z |
| publishDate | 2018-09-01 |
| publisher | University of Isfahan |
| record_format | Article |
| series | Journal of Asset Management and Financing |
| spelling | doaj.art-964a8de66cad45e2ae488aaaf257efca2022-12-21T19:57:36ZfasUniversity of IsfahanJournal of Asset Management and Financing2383-11892383-11892018-09-0163375010.22108/amf.2017.100287.100023034The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock ExchangeGholamreza Mansourfar0Mehdi Heidari1Mohsen Farhadi Sharif Abad2Associate Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranAssistant Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranMaster of Finance, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranIn this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange.https://amf.ui.ac.ir/article_23034_4396d84b16a1db3ae664708a7dfed885.pdfbeta reversalcarhart’s modelrolling betaidiosyncratic volatility riskb/m ratio |
| spellingShingle | Gholamreza Mansourfar Mehdi Heidari Mohsen Farhadi Sharif Abad The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange Journal of Asset Management and Financing beta reversal carhart’s model rolling beta idiosyncratic volatility risk b/m ratio |
| title | The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange |
| title_full | The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange |
| title_fullStr | The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange |
| title_full_unstemmed | The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange |
| title_short | The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange |
| title_sort | beta reversal behavior through different levels of portfolio risk in tehran stock exchange |
| topic | beta reversal carhart’s model rolling beta idiosyncratic volatility risk b/m ratio |
| url | https://amf.ui.ac.ir/article_23034_4396d84b16a1db3ae664708a7dfed885.pdf |
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