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  • 标题:Risk Return Trade off: Evidence from Monthly Return of Banking Industry in Dhaka Stock Exchange
  • 本地全文:下载
  • 作者:Md. Qamruzzaman
  • 期刊名称:European Journal of Business and Management
  • 印刷版ISSN:2222-2839
  • 电子版ISSN:2222-2839
  • 出版年度:2014
  • 卷号:6
  • 期号:14
  • 页码:63-74
  • 语种:English
  • 出版社:The International Institute for Science, Technology and Education (IISTE)
  • 摘要:In this paper an attempt is made to assess risk return relations focusing investment in banking sector covering 29 listed banks in Dhaka stock exchange out of 30 listed centering on monthly return from investment. For this purpose, different statistical tools are accompanied with risk adjusted performance measures suggested by Jenson, Treynor and Sharpe are employed widely known as Treynor ratio, Sharpe ratio, and Jensen’s alpha. This study found that, over the research period selected stocks show annualized monthly return and downward trend in comparison to market return. According to CAPM about 60% of banking socks show positive results but lower than risk free rate means no market risk premium to investors. Simultaneously, all risk adjusted measures show that all stocks are under performing with less diversification opportunities. This study also assess options to select strongly correlated stock through correlation matrix, which show strong correlation between The City Bank and Uttara Bank Limited with 80% has an option to create portfolio, JEL Classifications: G11, G12
  • 关键词:Holding period Return Beta CAPM; Sharpe Ratio; Treynor Ratio; Jensen Ratio.
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