چکیده (انگلیسی):

ABSTRACT: Present research aims at investigating the relation between risk and stock return through evaluation of
downside capital asset pricing model (DCAPM) in different time series. The method used, was Correlation and the
statistical populations were all of the companies listed in Tehran Stock Exchange on condition that, be enlisted by
the end of March 20, 2006; their fiscal year to be ended by the end of aforementioned date; no interruption of more
than 6 months would be made in their stock transactions during the research period; necessary information would
be available; and not to be of investment, financial intermediary or holding nature. In order to analyze the data,
Pearson correlation coefficient was used. The results were indicative of positive and significant relation between
historical and future risk of individual stocks and portfolio related to those companies active in Tehran Stock
Exchange, during different time scales (excluding time periods 2-4).