Rating Tehran Stock Exchange Industries Based on Risk Criteria from the Perspective of Institutional Investors: A Data Envelopment Analysis Approach

The goal of this research is to rate Tehran Stock Exchange industries based on different risk criteria from the perspective of institutional investors. We first reviewed the literature of industry risk criteria and then we interviewed some managers working in institutional investors. In the next step all the risk criteria were evaluated by institutional investors’ managers to select more important criteria using a questionnaire with Likert scale. Finally the selected criteria in the last step ranked by AHP process to identify the best industries for investment from the view point of institutional investors. In the second phase of the research we ranked the TSE industries based on Anderson Peterson Model and the weighted risk criteria. The results show that three of eight important risk criteria for industry analysis from institutional investor’s viewpoint are industry return volatility p/e volatility and sum of days symbols closed in the industry. Finally, basic metals and financial services are identified as two less risky industries selected by institutional investors based on the eight risk criteria.