قیمت‌گذاری اثر شرطی پراکندگی بازده

*       ابراهیم‌زاده، آسو (1389)، توانایی توضیح‌دهندگی بازدهی هر سهم به واسطه معیارهای منتخب در شرایط روند صعودی یا نزولی بورس اوراق بهادار تهران، پایان نامه کارشناسی ارشد، دانشگاه اصفهان.

*       مصدق، سعید (1384). بررسی رابطه ریسک و بازدهی در شرایط مختلف بازار در بورس اوراق بهادار تهران، پایان نامه کارشناسی ارشد، دانشگاه شهید بهشتی.

*       ANURADHA, P.A.N.S. (2011). The Conditional Relation between Beta and Returns: Evidence from Srilanka. Available: http://ssrn.com.

*       Azher, Sara. (2014). The Conditional Relationship between Risk and return: Evidence from an Emerging Market. 4(1), 13-27.

*       Barberis, N., Huang, M. & Santos, T. (2001). Prospect Theory and Asset Prices, Quarterly Journal of Economics, 116(1), 1−53.

*       Cenesizoglu, T. (2011). Size, book-to-market ratio and macroeconomic news. Journal of Empirical Finance, 18, 248–270.

*       Christie, W. & Huang, R. (1994). Equity returns dispersions. Working paper, Vanderbilt University.

*       Connolly, R. & Stivers, C. (2006). Information content and other characteristics of the daily cross-sectional dispersion in stock returns. Journal of Empirical Finance, 13(1), 79-112.

*       Demirer, Riza. & Jategaonkar, Shrikant. (2013). The Conditional Relation between Dispersion and Return, Review of Financial Economics, 22, 125-134.

*       Duffee, G. R. (2001). Asymmetric cross-sectional dispersion in stock returns: evidence and implications. Working paper, U.C. Berkeley.

*       Fama, E. & French, K. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, 55-84.

*       Fama, Eugene. & Macbeth, James. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.

*       Fletcher, J. (2000). On the conditional relationship between beta and return in international stock returns. International Review of Financial Analysis, 9, 235–245.

*       Hammami, Algia., Ghenimi, Ameni. & Bouri, Abdelfatteh. (2015). Relation between Risk and Return in TUNISIAN’S Stock Market after the Revolution (during political instability), Journal of Academic Finance, 1-20.

*       Ho, R.Y.W., Strange, R. & Piesse, J. (2008). Corporate Financial Leverage and Asset Pricing in the Hong Hong Market. Journal of International Financial Markets, 16, 1-7.

*       Jiang, X. (2010). Return dispersion and expected returns. Financial Markets and Portfolio Management, 24, 107–135.

*       Karacabey, Ali Argun. & Karatepe,Yalçın. (2004). Beta and Returns: Istanbul Stock Exchange Evidence. Investment Management and Financial Innovations, 3, 86-89.

*       Pettengill, G. N., Sundaram, S. & Mathur, I. (1995). The conditional relation between beta and return. Journal of Financial and Quantitative Analysis, 30, 101–116.

*       Ralf, Elsas., Shaer, Mahmoud. & Theissen, Erik. (1999). Beta and Return Revisited-Evidence from the German Stock Market

*       Rezagholizadeh, Mahdieh., Lin, Cynthia C.-Y., Yavari, Kazem. & Sahabi, Bahram. (2013). The Conditional Relationship between Risk and Return in Iran’s Stock Market.

*       Sinaee, Hasanali. & Moradi, Habibolah. (2010). Risk-Return Relationship in Iran Stock Market. International Research Journal of Finance and Economics, 41, 150-162.

*       Solnik, Bruno. & Roulet, Jacques. (2000). Dispersion As Cross-Sectional Correlation. Financial Analyst Journal, 56(1), 54-61.

*       Strang, roger. & Piesse, Jenifer. (2006). Conditional Pricing Effects of beta, size and book-to-market equity in the Hong Kong Stock Market, Research Papers 43.

*       Tang, Gordon Y.N. & Shum, Wai C. (2003). The conditional relationship between beta and returns: recent evidence from international stock markets. International Business Review, 12,109-126.

*       Xiao, Bing. (2016). Conditional Relationship Between Beta and Return in the US Stock Market. Expert Journal of Business and Management, 4(1), 46-55.