Document Type : Research Paper
Authors
Abstract
Variance and standard deviation can be used for measuring risk of portfolios. When return distribution is normally distributed they are suitable measurements. But there are situations in which that condition dose not exist. for instance if the minimum value of stock return is -100% the minimum value of stock is zero. Therefore recently some criterions like kurtosis and skewness have been more common .in this article we use these new measurements and Fama and French 3factor model to compare their ability to determine of difference in stock returns .Based on data from march 2001 to march 2005 of Tehran Stock Market companies our results show that market risk premium ,Size of company and kurtosis are more efficient than other factors like B/M and skewness in determining the risk of portfolios .consequently it is suitable for investors to use them for performance measurement and portfolio optimization .
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