Evaluation of Return Mean and Stock Surplus Return Mean with Two Approaches of Traditional Risk and Downside Risk

Abstract

This study aims to compare performance of indexes of traditional risk (variance and traditional beta) and indexes of downside risk (semi-variance and downsize beta) to evaluate risk and better evaluation of return and stock surplus return in Tehran stock exchange market. The statistical sample contains 60 firms from 2005 to 2009 with panel data pattern. To test the comparison between the two indexes of traditional and downside risk, linear regression has been used. The results show that downside risk evaluates stock return mean better than traditional risk does. In addition, downside risk evaluates stock surplus return better than traditional risk.