Evaluation of Mean Return and Stock Surplus Return Mean with Two Approaches of Traditional Risk and Downside Risk

This study aims to compare the performance of indexes of traditional risk (variance and traditional beta) with that of indexes of downside risk (semi-variance and downsize beta) to evaluate risk and to better evaluate return and stock surplus return in the Tehran stock exchange market. The statistical sample contained sixty firms from 2005 to 2009 with a panel data pattern. To test the comparison between the two indexes of traditional and downside risks, linear regression was used. The results show that downside risk evaluates the stock return mean better than does traditional risk.