International E-publication: Publish Projects, Dissertation, Theses, Books, Souvenir, Conference Proceeding with ISBN.  International E-Bulletin: Information/News regarding: Academics and Research

Investigation of Conditional Relationship between Risks and Expected Stock Returns in Different Industries Listed in Tehran Stock Exchange

Author Affiliations

  • 1Islamic Azad University, Zanjan Branch, Zanjan, IRAN

Res. J. Recent Sci., Volume 4, Issue (11), Pages 1-9, November,2 (2015)


This study aims at investigating relationship between conditional risks with expected stock returns. It is of library and analytical – causal study type and it is based on panel data analysis. Financial data for 98 companies listed in Tehran Stock Exchange during 2006-2011 was investigated. SPSS 20, Eviews 7 and Minitab 16 software were used to test research hypotheses and they were analyzed using descriptive and inferential statistics such as Pearson correlation analysis as well as conditional ARCH and GARCH models. Results suggest there is significant direct relationship between expected return and stock price volatility and between stock rate and stock exchange volatility.


  1. Pettengill G.N., The Conditional Relation between Beta and Returns, Journal of Financial and Quantitive Analysis, 30, 101-116 (1995)
  2. Barbreies H.A., Prospect Theory and Asset Prices, Quarterly jornal of economics, 1-53 (2001)
  3. Fama E.F., The Cross Section of Expected Stock Return, Journal of Finance,47, 427–466 (1992)
  4. Crombez J., Risk/return relationship conditional on market movements on the Brussels stock exchange, Tijdschriftvoor Economie en Management,45(2), 163-188 (2000)
  5. Campbell J., Why Long Horizons? A Study of Power Against Persistent Alternatives, Journal of Empirical Finance,8, 459-491 (2001)
  6. Wang F., What determines Chinese stock returns? Available at SSRN, 581801, (2003)
  7. Fama E.M., Risk, return and equilibrium: Empirical tests, Journal of political Economy,81, 607-636 (1973)
  8. Cheung Y., An assessment of Risk and return: Some empirical findings from the Hong Kong stock exchange, Applied Financial Economics, 2, 105-114 (1992)
  9. Chui A.W., Book-to-market, firm size pacific –basin emerging markets, Pacific-Basin finance journal,6, 275-293 (1998)
  10. Haugen R.B., The efficient market inefficiencyof capitalization-Weighted Stock portfolios, Journal ofportfolio Management, 17, 35-40 (1991)
  11. Engle Robert F., Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica,50(4), 987-1007 (1982)
  12. Tim B., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307 (1986)
  13. Girard Eric O.M., Risk and Return in MENA Capital Markets, International journal of business ISSN, 8(3),1083-434 (2003)
  14. Berdot J.P., Rentabilité et volatilités des indices boursiers. Une analyse comparative du BET, du Dow-Jones industrials set du CAC 40, Conférences, Iasi, (2003)
  15. Kim S.W. and Lee B.S., Stock Returns, Asymmetric Volatility, Risc Aversion, and Business Cycle: Some New Evidence, Economic Inquiry,46(2), 131-148 (2008)
  16. Engle R.F., Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation, Econometrica, 50, 987–1007 (1982)
  17. Harding D. and Pagan A., Extracting, Analysing and Using Cyclical Information, Mimeo, University of Melbourne, (2001)
  18. Ding Z., Granger C.W.J. and Engle R.F., A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1, 83–10 (1993)
  19. Baillie R.T. and De Gennarro R.P., Stock Return and Volatility, Journal of Fnancial and Quantitative Analysis, 25(2), 203-214 (1990)
  20. Theodossiou P. and Lee U., Relationship between volatility and expected returns across international stock markets, Journal of Business Finance and Accounting,22, 289–300 (1995)