A study of APT and Adj-CAPM Models for Forecasting Expected Return

Subject Areas : Financial Knowledge of Securities Analysis

Z. Amirhosseini ¹ ( نویسنده اول و مسئول مکاتبات )
S. Mohseni Behbahani ² ( ندارد )

Received: 2009-09-11 Accepted : 2009-12-10 Published : 2009-09-23

Keywords: Adjusted Capital Asset Pricing, arbitrage pricing theory, Illiquidity, Expected Return, systematic risk,

Abstract :

The question in a Securities of Iran is which one of models of pricinghave better and more precise result in financial science for pricing stocksof company. In this research the expected return will be explaining inAdj-CAPM on the basis of liquidity and in APT on the basis of set ofrisk«price of oil, price of gold, inflation, and rate of foreign exchange,rate of interest and index of stock exchange». The main purpose of thisresearch is the examination of ability explaining Arbitrage pricing theoryand Liquidity adjusted capital assets pricing model. For this purpose,first, the Betas have been computed, and then according to betas,expected return of two models will be computed. Therefore by usingRegression Analyzing and Pearson Correlation we will reach to this resultthat Arbitrage Pricing Theory has more performance and ability thanAdjusted Capital Asset Pricing Model.