The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by using high-frequency intraday data on currency and ...

studying risk and frequency analysis of flood is done in order to design structures located in floody lands. in hydrological and water resources engineering projects, first of all, we should determine frequency of this phenomenon- their return period. in this research, the method of planning, the cumulative freguency curve is explained and probability and return period and errors concerning sma...

a r t i c l e i n f o A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide t...

Decision making requires an actor to not only steer behavior towards specific goals, but also determine the optimal vigor of performance. Current research and models have largely focused on the former problem of how actions are directed, while overlooking the latter problem of how they are energized. Here, we designed a self-paced decision-making paradigm that showed that rats' performance vigo...

the purpose of this research is investigation of application of the arbitrage pricing theory and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on expected security return in tehran stock exchange. in this research, data are analyzed quarterly for the period of 1997-2008...

Let the random (stock market) vector X 2 0 be drawn according to a known distribution function F(x), x E R ". A log-optimal portfolio b* is any portfolio b achieving maximal expected log return W* = sup,, E In b'X, where the supremum is over the simplex b 2 0, Cr, b, = 1. An algorithm is presented for finding b*. The algorithm consists of replacing the portfolio b by the expected portfolio b', ...

information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. we measured information asymmetry by lack of earnings transparency. therefore we examine the effect of earnings transparency on cap...