چکیده:
The main objective of this study was to examine the relationship between Value at Risk (VaR)
and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric
value at risk, which considers the distribution of returns as normal and the historical value at risk
as abnormal, was used to test the presence of the volatility anomaly in the companies listed in
Tehran’s Stock Exchange. Also, this study controlled the impact of the variables (Firm size,
Book value to Market value) and the relationship between Value at Risk and expected return.
The results of the analysis of the panel data showed a significant positive relationship between
the parametric VaR , historical VaR and expected returns during the period under review .The
results showed that the control variables didn’t have an effect on the relationship between Value
at Risk and expected returns.
خلاصه ماشینی:
"In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed in Tehran’s Stock Exchange.
Also, this study controlled the impact of the variables (Firm size, Book value to Market value) and the relationship between Value at Risk and expected return.
To study the impact of the control variables such as liquidity, firm size, and book value to market value of equity on the relationship between VaR and expected the following test was used: ⁄ (2) where and are defined as in Eq.
The Result of Model Estimation (2) ⁄ Model Prob t-Statistic Std-error Coefficient Variables 0/0031 2/956 0/2167 0/640 Intercept 0/0000 5/367 0/014 0/080 Parametric VaR 0/0126 -2/495 0/0177 -0/0442 Size 0/0000 9/140 0/0246 0/225 B/M 0/0000 248/23 0/002 0/515 AR(1) 0/265 Adjusted R-squared ( ) 2/047 DW Table 6 shows whether the control variables have an effect on the relationship between Parametric VaR and expected return.
The Result of Model Estimation (2) ⁄ Model Prob t-Statistic Std-error Coefficient Variables 0/0002 3/702 0/218 0/807 Intercept 0/0000 5/506 0/008 0/049 Historical VaR 0/0099 -2/578 0/017 -0/0456 Size 0/0001 8/946 0/024 0/220 B/M 0/0001 8/946 0/0246 0/514 AR(1) 0/265 Adjusted R-squared ( ) 2/047 DW Table 7 shows whether the control variables have an effect on the relationship between Historical VaR and expected return."