THE STRUCTURE OF RISK AND RETURN ON SHORT TERM INVESTMENTS

摘要

This relationship between risk and expected rate of return on short term investments of companies listed in the stock exchange in a frontier market, the Tehran stock exchange, is analyzed. The sample size of companies selected for this study consists of 156 listed firms on the Tehran stock exchange from 2004 to 2013. Using monthly data, both the systematic and non-systematic risks of companies stocks were estimated and the finding is that both systematic and non-systematic risk significantly and positively affected the expected rates of returns on short term investments. Also, the unsystematic risk had a greater effect on the expected rate of return than the systematic risk.