The existence of a non-stochastic or predictable risk-free interest rate has been a critical premise in financial economics. In equity and equity option pricing, since default-free bonds are assumed as risk-free assets, the risk-free interest rate may be approximated by the observable yields of short-term Treasury bills. If the dynamics of the entire term structure cannot be ignored, since none...

the purpose of this study is to investigate the relationship between free cash flows and stock return considering managers' myopia. two hypotheses have been designed and tested, selecting 96 firms from accepted companies in the tehran stock exchange for six-year period from 2005 to 2010 and using stock return for three years ahead (to 2012). the results show that free cash flows are negati...

stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

We study the optimal taxation of risk-free and excess capital income with heterogeneous rates return, alongside an nonlinear earnings tax. Households can hold three assets: one risk-free, risky but diversifiable, a private investment idiosyncratic risk whose expected return differs among households. Contrary to expectations, tax on returns assets is ineffective for redistribution, because its e...

in this research, the risk, return and coefficient of variation (cv) are calculated and compared in the food, pharmaceutical and chemical industries during 2003-2008 in tehran stock exchange. also, the effect of stock transactions is investigated in the companies working in these industries to realize the risk, return and cv.  results of this research represent that there are no significant r...