Title of article :
Ambiguity Theory and Asset Pricing: Empirical Evidence from Tehran Stock Exchange
Author/Authors :
Ramzi Radchobeh ، Zeynab - Islamic Azad University, Qazvin Branch , Rezazadeh ، Javad - Tarbiat Modares University , Kazemi ، Hossein - Islamic Azad University, Qazvin Branch
Pages :
14
From page :
101
To page :
114
Abstract :
Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of threevariable and main component method, trading volume, askbid spread, error of earnings forecast and afterwards, it has been used to examine the interaction between risk, ambiguity and return. Current research method is correlative descriptive and statistical sample consisted of 120 corporates accepted in Tehran Stock Exchange during 2012-2017. To test the hypotheses, regression analysis has been utilized. Results revealed the existence of ambiguity in Tehran Stock Exchange, which affects the asset pricing negatively
Keywords :
Ambiguity , Risk , Asset pricing
Journal title :
Advances in Mathematical Finance and Applications
Serial Year :
2018
Journal title :
Advances in Mathematical Finance and Applications
Record number :
2453131
Link To Document :
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