Designing an Adjusted Return Predictive Pattern Based on Downside Risk; Evidence from the Tehran Stock Exchange

This paper is to develop a pattern to forecast adjusted returns according to the downside risk for the Tehran Stock Exchange. For this pursues, first, it seeks to find the factors affecting the adjusted return of companies listed on the Tehran Stock Exchange, taking into account the role of downside risk in the context of information asymmetry. In the second stage, it provides a pattern of forecasting adjusted returns based on downside risk. In fact, the main problem is that several internal and external effective variables affect the adjusted return according to the downside risk, and each of these variables may have positive or negative (ambiguous) effects on the adjusted return according to the downside risk. This study is to investigate the ambiguity about the role of variables affecting adjusted returns. The results of the regression model test show that the variables of capital structure, net profit, return on assets, board of directors, and duality of duties of managing director and chairman of the board at 99% confidence level and variables of dividend ratio and operating cash flow at 95% confidence level have significant effects on the adjusted return.