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 language | English |
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Pages (from-to) | 71-88 |
Number of pages | 18 |
Journal | Australasian Accounting, Business and Finance Journal |
Volume | 9 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2015 |