University of Isfahan Journal of Asset Management and Financing 2383-1189 6 3 2018 09 23 The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange 37 50 23034 10.22108/amf.2017.100287.1000 FA Gholamreza Mansourfar Associate Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, Iran Mehdi Heidari Assistant Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, Iran Mohsen Farhadi Sharif Abad Master of Finance, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, Iran Journal Article 2016 12 30 In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange. In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange. https://amf.ui.ac.ir/article_23034_4396d84b16a1db3ae664708a7dfed885.pdf