Modelling Portfolio Pricing in Tehran Stock Exchange

Knowing effective factors on optimum portfolio assignment is one of the main issues facing finance market investors. Therefore, the present empirical study aims to assign optimum portfolio pricing pattern in Tehran Stock Exchange. Hence, R- CAPM, Fama and French and Carhat pricing pattern were studied. A combination of two methods (panel data and apparent portfolio) were used for 2012-2020. Data sample consisted of 176 active companies in Tehran Stock Exchange. Initially, data were divided into two groups: the first group used for portfolio making and model estimation and the second group used for optimum portfolio assignment. For optimum assignment MAD, MSE, RMSE, MAPE index were used. Results indicated that portfolio comprising big companies had a negative effect on investment return, while portfolio comprising small companies had positive return. Momentum factor of portfolio comprising winning companies was positive while in portfolio comprising losing companies was negative. Finally, it can be concluded that in Tehran Stock Exchange Carhat pricing pattern has better performance compered to RCAPM or Fama and French pricing pattern during the mentioned period.