Applying black- Scholes model to breakdown beta: growth options and the risk of beta miscalculation

Amin Babaei Falah; Maryam Khalili Araghi; Hashem Nikoomaram

Volume 3, Issue 4 , October 2019, , Pages 1-22

  When evaluating companies and investment plans, most analysts use a discount rate that is derived from CAPM models. The beta in these models usually represent risks and opportunities of the relative industry, with almost no attention to the risks that are already included in the beta. This ignorance ...  Read More

A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange

Mohammadreza Rostami; Reyhane Pouyanfard; Maryam Hashempour

Volume 1, Issue 2 , October 2017, , Pages 7-20

  The aim of this paper is to analyze the multiscale pricing model with the wavelet analysis approach, Fama-French three-factor model, and nonliquidity in Tehran Stock Exchange. It was also desirable to figure out how stock returns, Fama-French factors, and nonliquidity were related in different intervals. ...  Read More

Measuring Diversification and Information Risk in Iran’s Mutual Funds

Heidar Foroughnejad

Volume 1, Issue 2 , October 2017, , Pages 65-82

  This study aims to investigate the correlation between the diversification and accruals quality (AQ) in Iran’s mutual funds considering two main hypotheses and four sub-hypotheses. This research investigates the effects of cases such as beta of the company, the company's return on assets, debt ...  Read More