Abstract

https://ssrn.com/abstract=1917337
 


 



Risk-Return Trade-Off in Dhaka Stock Exchange, Bangladesh: An Emerging Market Evidence


A. T. Mollik


Faculty of Business & Government, UC

Md. Khokan Bepari


Central Queensland University, School of Commerce and Law

August 26, 2011


Abstract:     
This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level. While portfolio risk and returns are found to be significantly positively related in general, that is not always the case for high risk portfolios, suggesting the existence of some anomalies or mispricing. These findings have important implications for investment decisions in DSE in that the investors may be able to form profitable investment strategies using the mispricing information.

Number of Pages in PDF File: 29

Keywords: Single Index Model, Market risk, Non-market risk, Portfolio of securities, Dhaka Stock Exchange

JEL Classification: C12, C23, D53, G11, G12, N15


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Date posted: August 26, 2011  

Suggested Citation

Mollik, A. T. and Bepari, Md. Khokan, Risk-Return Trade-Off in Dhaka Stock Exchange, Bangladesh: An Emerging Market Evidence (August 26, 2011). Available at SSRN: https://ssrn.com/abstract=1917337 or http://dx.doi.org/10.2139/ssrn.1917337

Contact Information

Abu Taher Mollik (Contact Author)
Faculty of Business & Government, UC ( email )
6C 26
Canberra, Bruce Campus, ACT 2617
Australia
+61 2 6201 2019 (Phone)
+61 2 62015238 (Fax)
Md. Khokan Bepari
Central Queensland University, School of Commerce and Law ( email )
PO Box 197
North Rockhampton, QLD 4701
Australia
+610402917968 (Phone)
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