Ambiguity Theory and Asset Pricing: Empirical Evidence from Tehran Stock Exchange

Advances in Mathematical Finance and Applications

مقاله 7، دوره 3، شماره 4، اسفند 2018، صفحه 101-114   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.579558.1143

نویسندگان

Zeynab Ramzi Radchobeh^{* 1}؛ Javad Rezazadeh²؛ Hossein Kazemi¹

¹Department of Accounting, Qazvin Branch, Islamic Azad University, Qazvin, Iran

²Department of Accounting, Tarbiat Modares University, Tehran, Iran

چکیده

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 three-variable and main component method, trading volume, ask-bid 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

کلیدواژه‌ها

ambiguity؛ Risk؛ asset pricing

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