Presenting a Comprehensive Model for Portfolio Risk Premium Assessment and Explaining Its Economic Consequences

This study aimed to present a model for portfolio risk premium assessment and explain its economic consequences for companies listed in Tehran stock Exchange. In order to achieve this purpose, monthly data of ۱۵۰ companies listed in Tehran Stock Exchange during ۲۰۰۷-۲۰۱۷ was used. In this study, the predictive powers of Fama - French three-factor model (۲۰۱۱), Carhart four-factor model (۲۰۱۴), Fama - French five-factor model (۲۰۱۴), Brousseau five-factor model (۲۰۱۵) and Roy and Shijin six-factor model (۲۰۱۸ b) have been evaluated and then an optimal model has been developed for portfolio risk assessment. Findings showed that the Carhart four-factor model has higher predictive ability (۴۸.۳%) than other mentioned models in the Tehran Stock Exchange. The explanatory power and predictive ability of the model developed in the Tehran Stock Exchange was ۵۵.۷% indicating higher predictive ability respect to previous models on portfolio risk premium. Also, the economic consequences of portfolio risk premium showed that portfolio risk premium had a positive and significant effect on both absolute and relative buying and selling gap between proposed prices and stock returns synchronization.

کلیدواژه ها:

Portfolio risk Premium ، Fama-French Model ، Carhart Model ، Brousseau Model ، Roy and Shijin Model