The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results,...
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Autor*in:	Hojjatollah Bagherzadeh [verfasserIn] Ali Asghar Salem [verfasserIn]

Format:	E-Artikel
Sprache:	Persisch

Erschienen:	2015

Schlagwörter:	dynamic conditional correlation dynamic conditional variances and covariances intertemporal capital asset pricing model kalman filter

Übergeordnetes Werk:	In: تحقیقات مالی - University of Tehran, 2020, 17(2015), 1, Seite 20
Übergeordnetes Werk:	volume:17 ; year:2015 ; number:1 ; pages:20

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc Journal toc

DOI / URN:	10.22059/jfr.2015.51914

Katalog-ID:	DOAJ013062220

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520			\|a The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.
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allfieldsGer	10.22059/jfr.2015.51914 doi (DE-627)DOAJ013062220 (DE-599)DOAJdd47894c13c24b82ba2f78c0c5c57375 DE-627 ger DE-627 rakwb per HG1-9999 Hojjatollah Bagherzadeh verfasserin aut The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period. dynamic conditional correlation dynamic conditional variances and covariances intertemporal capital asset pricing model kalman filter Finance Ali Asghar Salem verfasserin aut In تحقیقات مالی University of Tehran, 2020 17(2015), 1, Seite 20 (DE-627)605217483 (DE-600)2506021-1 24235377 nnns volume:17 year:2015 number:1 pages:20 https://doi.org/10.22059/jfr.2015.51914 kostenfrei https://doaj.org/article/dd47894c13c24b82ba2f78c0c5c57375 kostenfrei https://jfr.ut.ac.ir/article_51914_7f67583c0ff2279a47fd225106eb7bdb.pdf kostenfrei https://doaj.org/toc/1024-8153 Journal toc kostenfrei https://doaj.org/toc/2423-5377 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 17 2015 1 20
allfieldsSound	10.22059/jfr.2015.51914 doi (DE-627)DOAJ013062220 (DE-599)DOAJdd47894c13c24b82ba2f78c0c5c57375 DE-627 ger DE-627 rakwb per HG1-9999 Hojjatollah Bagherzadeh verfasserin aut The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period. dynamic conditional correlation dynamic conditional variances and covariances intertemporal capital asset pricing model kalman filter Finance Ali Asghar Salem verfasserin aut In تحقیقات مالی University of Tehran, 2020 17(2015), 1, Seite 20 (DE-627)605217483 (DE-600)2506021-1 24235377 nnns volume:17 year:2015 number:1 pages:20 https://doi.org/10.22059/jfr.2015.51914 kostenfrei https://doaj.org/article/dd47894c13c24b82ba2f78c0c5c57375 kostenfrei https://jfr.ut.ac.ir/article_51914_7f67583c0ff2279a47fd225106eb7bdb.pdf kostenfrei https://doaj.org/toc/1024-8153 Journal toc kostenfrei https://doaj.org/toc/2423-5377 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 17 2015 1 20
language	Persian
source	In تحقیقات مالی 17(2015), 1, Seite 20 volume:17 year:2015 number:1 pages:20
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callnumber-first	H - Social Science
author	Hojjatollah Bagherzadeh
spellingShingle	Hojjatollah Bagherzadeh misc HG1-9999 misc dynamic conditional correlation misc dynamic conditional variances and covariances misc intertemporal capital asset pricing model misc kalman filter misc Finance The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
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topic_title	HG1-9999 The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta dynamic conditional correlation dynamic conditional variances and covariances intertemporal capital asset pricing model kalman filter
topic	misc HG1-9999 misc dynamic conditional correlation misc dynamic conditional variances and covariances misc intertemporal capital asset pricing model misc kalman filter misc Finance
topic_unstemmed	misc HG1-9999 misc dynamic conditional correlation misc dynamic conditional variances and covariances misc intertemporal capital asset pricing model misc kalman filter misc Finance
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title	The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
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title_full	The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
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title_sort	intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
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title_auth	The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
abstract	The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.
abstractGer	The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.
abstract_unstemmed	The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.
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title_short	The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
url	https://doi.org/10.22059/jfr.2015.51914 https://doaj.org/article/dd47894c13c24b82ba2f78c0c5c57375 https://jfr.ut.ac.ir/article_51914_7f67583c0ff2279a47fd225106eb7bdb.pdf https://doaj.org/toc/1024-8153 https://doaj.org/toc/2423-5377
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The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

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