To Investigate Existence of Equity Premium Puzzel in Tehran Stock Exchange By Stochastic Dominance Method, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
In the last 4 years, while the annual investment return on 5 years bank deposits was 25 percent; the total index of Tehran Stock Exchange on average grew by 155 percent. Why the investors are not so willing to invest in the stock market? This research deals with existence of equity premium puzzle in Tehran Stock Exchange. Therefore, the Total Price Index of exchange market is considered as a risky asset and the return on long-term (5 years) deposit is a proxy for risk free asset. Data is monthly and covers the first month of 1380 (Persian Calendar) to the beginning of the second month of 1391 (equivalent to Aug 2010 to Jan 2013); which is converted to real term using monthly inflation rate....
Cataloging briefTo Investigate Existence of Equity Premium Puzzel in Tehran Stock Exchange By Stochastic Dominance Method, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
In the last 4 years, while the annual investment return on 5 years bank deposits was 25 percent; the total index of Tehran Stock Exchange on average grew by 155 percent. Why the investors are not so willing to invest in the stock market? This research deals with existence of equity premium puzzle in Tehran Stock Exchange. Therefore, the Total Price Index of exchange market is considered as a risky asset and the return on long-term (5 years) deposit is a proxy for risk free asset. Data is monthly and covers the first month of 1380 (Persian Calendar) to the beginning of the second month of 1391 (equivalent to Aug 2010 to Jan 2013); which is converted to real term using monthly inflation rate....
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