جستجوی مقالات مرتبط با کلیدواژه « capm) » در نشریات گروه « اقتصاد »

The purpose of this paper is to derive a better criterion for systematic risk and to develop a closer relationship between the capital market and basic economic concepts and to explain the relationship between risk and return and pricing of capital assets using the economic variable of consumption in Tehran Stock Exchange. The capital asset pricing model assumes that investors consider only risk and return. But other features may also be important to investors. For example, one of these important features may be the consumption flow over the life of the investor. The premise of the consumption-based capital asset pricing model is that what matters to investors is the flow of consumption over a lifetime, not wealth itself. Therefore, a better measure of consumer welfare instead of wealth is the consumption flow that can support this welfare. This article examines whether consumption beta compared to market beta can be considered as a better criterion for explaining returns on the Tehran Stock Exchange.

According to the assumption governing the pricing model of consumption-based capital assets, we calculate the covariance between stock returns and total consumption to measure risk premium. Instead of calculating risk premium based on the covariance of stock returns with market returns - a measure that focuses only on wealth. One reason that the results of this research can be used in the decision-making process, this research is applied in terms of purpose. This research is also descriptive-correlational in nature, because in this type of research, the researcher seeks to evaluate the relationship between two or more variables. To investigate the issue, based on the regression method, data of 154 companies listed on the Tehran Stock Exchange during the period 2006-2016 have been extracted from the Rahvard novin software. Also, the consumption cost index has been obtained by using the information of the price index of consumer goods and services in urban areas of Iran, listed on the website of the Central Bank of the Islamic Republic of Iran.

Findings of the study reject the greater power of the C-CAPM model using the consumption function portfolio compared to the CAPM model in explaining the expected real returns of the Tehran Stock Exchange. According to the results, neither model is suitable for estimating the efficiency, but due to the fact that the amount of error in the CAPM model is less than the C-CAPM model, therefore the CAPM model has better explanatory power than the C-CAPM model. Another research hypothesis that the C-CAPM model beta is a better predictor of performance than the CAPM model beta is also rejected.

The results of the above study show that the CAPM model has performed better than the C-CAPM model, so it is not important to consider the consumption variable in predicting risk and stock returns. Therefore, it is recommended that investors do not use the consumption factor to estimate future stock returns. One of the limitations of the research is that the superiority of the CAPM model is not a reason for its comprehensiveness in the Tehran Stock Exchange, because based on the research results, this model explains a small part of the factors affecting the return.

he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables as risk factors in the period 1395-1386 were used. First, the CAPM was tested using the GRS test and then by Fama and Macbeth tests. Then, the factor model for the APT test was using factors including real exchange rate, total stock returns, oil returns, yields of the price index Chemical and petrochemical products, risk-free returns, inflation rate, asset risk, GDP volatility, SMB, and sanction factor.

In any market, knowing the best method of measuring risk can be very useful for investors and policymakers. In this regard, twenty of best seller corporations of Tehran Stock Exchange (TSE) were studied using monthly historical data (from April 2004 to March 2011). Several variations of the capital asset pricing model (CAPM), such as Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM), Asymmetric Response Model (ARM), and traditional CAPM were empirically tested. The results show that the traditional Capital Asset Pricing Model is the best model at the present period.
Theoretical Framework: A plethora of empirical tests of the CAPM that implicitly assume the mean-variance based preference of the investors have been performed. However, statistical tractability of mean-variance analysis based on multivariate normality is a more important consideration in the development of the theory than the explicit recognition of investor preferences. Beginning from about the last quarter of the twentieth century, alternative theories based on different perceptions of systematic risk have challenged the dominance of the mean-variance notion of risk-return relationship. The most prominent of these is the asset pricing theory which recognizes risk as the deviation below a target rate of return. Downside risk measures and the associated asset pricing models are motivated by economic and statistical considerations; investor psychology is consistent with asymmetric treatment of the variations in the returns and empirical return distributions appear to be non-normal. Bawa and Lindenberg (1977) developed an asset pricing model, which we refer to as the mean-lower partial moment (MLPM) model, based on downside risk. In the MLPM model, risk is defined as the deviation below the risk-free rate. For normal and student-t-distributions of returns, the MLPM model reduces to the conventional CAPM. In the MLPM model, the downside beta simply replaces the CAPM beta. Bawa and Lindenberg (1977) argue that their model explains the data at least as well as the CAPM does. Harlow and Rao (1989) developed an asset pricing model in the downside framework that is more general in that the risk is defined as the deviation below an arbitrary target rate.
Twenty of best seller corporations of Tehran Stock Exchange (TSE) were studied using monthly historical data (from April 2004 to March 2011). Several variations of the capital asset pricing model (CAPM), such as Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM), Asymmetric Response Model (ARM) and traditional CAPM, were empirically tested.
The results show that, traditional Capital Asset Pricing Model, is better than Lower Partial Moment-Capital Asset Pricing Model (LPM-CAPM) and Asymmetric Response Model (ARM) in our selected period (from April 2004 to March 2011).
Conclusions and Suggestions: The results show that despite some empirical tests in recent years, it seems that by using long samples, traditional CAPM model could be a reliable test. Finally, authors suggest that to achieve more reliable results in CAPM models, researchers have to consider environmental conditions to use the best model.

Arbitrage Pricing Theory (APT) was introduced by Ross in 1976. The fundamental assumption of this theory is the absence of arbitrage in the stock market. In this theory، the price of an asset is determined according to its level of risk and several macro-factors explain the level of the risk of a given asset. The main target of this study is investigating the conditions in which APT can be implemented in Tehran Stock Market. The stock price data of 20 firms active in stock market and six important economic indices were collected and used in this study. The SUR estimation method has been used for estimation of the equations system and for testing APT conditions; the LR statistics have been used. Finally، having investigated the issue and data، adoption of APT in Tehran Stock Market was not rejected by the study.

This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short- and long-run movements of stock prices in Tehran stock market. The explanatory variables include money supply, production level of large manufacturing companies, and the ratio of domestic to foreign price level, exchange rate, oil price, gold coin price, and housing price index. The results show that there is a long-run equilibrium relationship between the variables. According to our finding, the ratio of domestic to foreign price levels, the price of housing and the gold coin price index have positive impacts on the stock prices. Exchange rate and money supply have significant negative effects on the stock price index in Iran. However, we found that the production level of large manufacturing companies has not affected the stock price index. The result of our error correction model indicated that 54 percent of deviation of the stock price from its equilibrium path is corrected each period.