Testing capital asset pricing model based on exogenous information assumptions in TSE
Subject Areas : Financial engineering
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Abstract :
This research conducts a survey on the application of endogenous information for equilibrium pricing of assets and selecting optimum portfolio. Literatures in this research is based on Admati’s linear logical expectations equilibrium theory. Not like traditional paradigm of asset pricing and logical expectations, this research first surveys the correlation between prices and future returns of price conditioned portfolios. then we compare the performance of price conditioned portfolios with buy and hold portfolios during 1381-1391. Results shows that there is a significant positive correlations between relative Prices and monthly returns. Also results show that price – conditioned strategy performs better than buy and hold strategy.