Document Type : Original Research Paper
Authors
1 Department of Accounting, Faculty of Management, University of Qom, Iran
2 Department of Financial Management, University of Karlsruhe, Germany
Abstract
The main purpose of this research is to investigate the performance of the investment portfolio of insurance companies admitted to the Tehran Stock Exchange in comparison with other companies admitted to the Tehran Stock Exchange. The basis of risk and efficiency analysis is using a combined model consisting of these two evaluation criteria. The model used to evaluate the portfolio in this research (Sharp model) is based on CAPM theory. For this purpose, it has been assumed that there is a significant difference between the performance of the investment portfolio of insurance companies and the investment portfolio of other companies admitted to the Tehran Stock Exchange (base index). The statistical population of the research included four insurance companies and the time period was 1381 to 1388. The research hypothesis was tested using one sample t-test in SPSS software.
The results obtained from the comparison of the Sharpe index calculated for the mentioned companies and the base index confirm the main hypothesis of the research. Therefore, it is necessary for insurance companies to improve their performance by increasing efficiency and reducing risk.
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