Risk-Return Trade-off in Emerging Markets: Evidence from Dhaka Stock Exchange Bangladesh

Abu MOLLIK, Md Khokan Bepari

    Research output: Contribution to journalArticle

    4 Citations (Scopus)

    Abstract

    This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE). The study reports a statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level, confirming the theoretical predictions and empirical findings on this issue in developed markets. Although portfolio risk and returns are found to be significantly positively related in general, some inconsistencies were revealed in the context of relative risk for high risk portfolios, suggesting the existence of some anomalies or mispricing in high risk assets. These findings have important implications for investment decisions at the DSE in that the investors may be able to create profitable investment strategies using the mispricing information.
    Original languageEnglish
    Pages (from-to)71-88
    Number of pages18
    JournalAustralasian Accounting, Business and Finance Journal
    Volume9
    Issue number1
    DOIs
    Publication statusPublished - 2015

    Fingerprint

    Risk and return
    Risk-return trade-off
    Stock exchange
    Emerging markets
    Bangladesh
    Portfolio risk
    Mispricing
    Investment decision
    Anomaly
    Investment strategy
    Assets
    Prediction
    Inconsistency
    Investors
    Relative risk

    Cite this

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    abstract = "This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE). The study reports a statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level, confirming the theoretical predictions and empirical findings on this issue in developed markets. Although portfolio risk and returns are found to be significantly positively related in general, some inconsistencies were revealed in the context of relative risk for high risk portfolios, suggesting the existence of some anomalies or mispricing in high risk assets. These findings have important implications for investment decisions at the DSE in that the investors may be able to create profitable investment strategies using the mispricing information.",
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    Risk-Return Trade-off in Emerging Markets: Evidence from Dhaka Stock Exchange Bangladesh. / MOLLIK, Abu; Bepari, Md Khokan.

    In: Australasian Accounting, Business and Finance Journal, Vol. 9, No. 1, 2015, p. 71-88.

    Research output: Contribution to journalArticle

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