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Open Access Article
1 - Extraction of a Mathematical Capital Asset Pricing Model within the Framework of Mental Accounting
Mohammadreza Ola Hashem Nikoomaram Azita Jahanshad Zahra PourzamaniOrdinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fai MoreOrdinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fail in achieving the return threshold. The present study extracts the capital asset pricing model from Markowitz Mean-Variance Portfolio Model and risk-free asset entering the limitations of this model. Then, MA-CAPM model is extracted by creating a mathematical equivalence between the components of this model and the limitation of mental accounting. In this model, expected investment return for any purpose presented in the form of mental arithmetic is a function of the return on risk-free asset, beta and risk premium of mental arithmetic where the risk premium of mental arithmetic equals the difference between returns of each account and risk-free return on assets. Expected rate of return on assets in the MA-CAPM will be influenced by return threshold and likelihood to fail in reaching this threshold, i.e. mental arithmetic risk. Manuscript profile -
Open Access Article
2 - Comparision Between R-Campand and Fama and French three- Factor Model in Predicting the Expected Return in Tehran Stock Exchange
Z. Amirhosseini M. KhosravianiIn this paper we examine two capital asset pricing in tehran stock exchange, R-CAPM and fama and french‘s model to find best model according to condtion of Tehran stock exchange . RCAPM has a higher explanatory power to predict expected return. In this paper we ex MoreIn this paper we examine two capital asset pricing in tehran stock exchange, R-CAPM and fama and french‘s model to find best model according to condtion of Tehran stock exchange . RCAPM has a higher explanatory power to predict expected return. In this paper we examine two models in three perspective 1- EXPECTED RETURN EQUALS ACCTUAL RETURN WITH LAG +1. 2- EXPECTED RETURN EQUALS SIMPLE AVERAGE OF PAST RETURNS 3-EXPECTED RETURN EQUALS GEOMETRIC AVERAGE OF PAST RETURNS We consider expected return in each perspective as dependent variable and betas obtained from two models as independent variable. Three methods have been implemented to test hypothesis from 3 aforesaid perspective include Pearson correlation test, regression analysis and forecasting adaptation analysis. After examination we understand R-CAPM has more explanatory power in predicting expected return with first perspective. Manuscript profile -
Open Access Article
3 - Momentum, Origin of Specific Volatility
Maryam DavaloCurrent paper is aimed to investigate origin of expected return explanation by volatility of specific volatility through momentum strategy return. In other words, one of the explanations presented for profitability of investment strategy based on specific volatility is MoreCurrent paper is aimed to investigate origin of expected return explanation by volatility of specific volatility through momentum strategy return. In other words, one of the explanations presented for profitability of investment strategy based on specific volatility is tested in this paper that is founded by investors' under-reaction to firm specific information and ultimately momentum appearance. So the relation between momentum and specific volatility of CAPM and Fama-French three factor model is tested using portfolio study approach and Fama-Macbeth regression.This research that is performed in sample composed of 130 listed firms in Tehran Stock Exchange, shows return of investment strategy based on specific volatility is higher for stocks having high momentum. If momentum effect is included, explanatory power of the specific volatility is not omitted. So it cannot be claimed that the origin of relation between model specific volatility and expected return is momentum Manuscript profile -
Open Access Article
4 - A study of APT and Adj-CAPM Models for Forecasting Expected Return
Z. Amirhosseini S. Mohseni BehbahaniThe 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 ba MoreThe 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. Manuscript profile -
Open Access Article
5 - The purpose of this study is to investigate one of the harmful economic effects ofriba, using financial-accounting approach
Mahdi Arabsalehi Ali Rahimi BaghiTherefore, the present study seeks to find an answer to the question that whether riba phenomenon have harmful effects economic or not? In this research, with deductive manner, the negative impact of riba on the volume of investment with the financial-accounting approac MoreTherefore, the present study seeks to find an answer to the question that whether riba phenomenon have harmful effects economic or not? In this research, with deductive manner, the negative impact of riba on the volume of investment with the financial-accounting approach is studied; Such that, with the deductive approach, in the form of financial models, including; the Capital asset pricing model and optimal portfolio theory, economic hurmful effects of riba will be described. Then in the investment project assessment methods, such as net present value, discounted payback period and internal rate of return, the negative effects on the volume of investment will be explained. The results show that, the fixed interest rate (risk-free) as an alternative to riba, thereby reducing the volume of investments in the capital markets and the consequent increase in unemployment Manuscript profile -
Open Access Article
6 - Evaluating stock returns using a combination of multi-factor pricing model for capital assets and the function of penalty in Tehran Stock Exchange market and its comparison with five factors Fama and French Model
Aliakbar Farzinfarevaluating the return on investment is one of the main concerns of investors, which is conducted using different models including the single-factor model CAPM, three and five factors Fama and French, and six factors Roy and Shijin, etc. known as multifactorial models. I Moreevaluating the return on investment is one of the main concerns of investors, which is conducted using different models including the single-factor model CAPM, three and five factors Fama and French, and six factors Roy and Shijin, etc. known as multifactorial models. In spite of the widespread use of the models, their main disadvantages include sensitivity to unexpected changes, sudden shocks, severe turbulence of price bubble, and so on. To solve the disadvantages, a multi-factor model is estimated based on the use of the penalty function method, instead of using the average method, which would act based on optimization and avoiding the impact of unusual changes and other factors affecting the capital market. It is possible to select effective factors and model to evaluate stock returns and present a model appropriate to the conditions prevailing in the Iranian capital market. In this article, the classification and estimation of the integrated model of penalty and multi-factor (P & PCA) was performed by forming investment portfolios and identifying the effective factors and refining it based on performance data over a period of time. The study results showed that the use of an extensive simulation algorithm for penalty function by estimation method (P & PCA) improves the efficiency of multifactorial methods in evaluating stock returns. The use of the finite and multi-factor combination algorithm has higher accuracy and explanatory power during the review period in estimating stock returns than the 5-factor Fama and French model. Manuscript profile -
Open Access Article
7 - Investigating the effect of default risk on explanatory power of Fama-French five factor model (Evidence from Tehran Stock Exchange)
Shokrollah Khajavi Alireza PourgoudarziThis study is examines the effect of default risk on explanatory power of Fama-French five factor model from 2009 to 2017 in Tehran Stock Exchange. In this regard, time series regression and GRS tests were used. For reaching the research purpose, Fama-French five factor MoreThis study is examines the effect of default risk on explanatory power of Fama-French five factor model from 2009 to 2017 in Tehran Stock Exchange. In this regard, time series regression and GRS tests were used. For reaching the research purpose, Fama-French five factor model results compared with six factor model results, which default risk regarded as sixth variable using GRS test. In addition, for investigating the effect of default risk on return, time series regression was used. The research results showed that default risk variable has not a significant effect on the explanatory power of the Fama-French five factor model. In other words, default risk factor is not significant in explaining return change. Also, the results showed that among 36 investigated portfolios in this research, in most portfolios there is a positive relationship between default risk and portfolio’s return but only in 8 portfolios this relationship was significant. Manuscript profile -
Open Access Article
8 - Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”
Mohammad Hossein Ranjbar Hossein Badiee Maysam MohebiThe present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price MoreThe present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price setting in stock market. These models must have the ability to predict the behavior of the prices and also can estimate the outcome and efficiency of the so-called investment. The models investigated in this research, include the traditional investment financial pricing, 3-factor model and FAMA and French 5-factor and consumption investment models. In order to analyze the data and to test the hypothesis, we used OLS model for time series models. In this study, models are investigated according to the models of significance lateral distance from the source (Jensen's Alpha). A model, of which efficiency is high, should have a zero intercept. Generally, FAMA and French 5-factor models that were developed in 2014, work more efficiently. Then comes the Capital Asset Pricing Model Manuscript profile -
Open Access Article
9 - A meta-analysis on the capital asset pricing model
Saeed Fathi Farideh Tavakoli Iman OstadCapital asset pricing model is an equilibrium model to show the relationship between systematic risk and return of capital assets and indicate the pricing of assets due to their systematic risk. Abundance of empirical studies in testing standard and developed CAPM shows MoreCapital asset pricing model is an equilibrium model to show the relationship between systematic risk and return of capital assets and indicate the pricing of assets due to their systematic risk. Abundance of empirical studies in testing standard and developed CAPM shows the importance of CAPM in estimating the price of financial assets. The meta-analytic approach of this paper creates a distinct realization to this context of finance by using of variance analysis, correlation test and means difference. So we use the statistical results of 418 CAPM tests during 1972 to 2016. The results show that time period of the test, type of portfolio ranking, country development grade, type of systematic risk and the type of CAPM test have a significant effect on the price of beta. Manuscript profile -
Open Access Article
10 - Idiosynchratic Volatilities and Future Stock Return based on Asset Pricing Model: an Attitude toward Risk Tolerance of Return
Fatemeh Zamani Masoumeh Latifi Benmaran Roya DarabiThe main purpose of this study was to evaluate the tolerance of returns to the variations of stocks idiosynchratic volatilities, in order to present an explicit response to previous empirical evidences that documents existence of positive or negative relationship betwee MoreThe main purpose of this study was to evaluate the tolerance of returns to the variations of stocks idiosynchratic volatilities, in order to present an explicit response to previous empirical evidences that documents existence of positive or negative relationship between idiosynchratic volatilities and stock returns. The statistical population of study is all active listed firms in Tehran stock exchange during years 2013 to 2018, which among them, 155 firms were active in market in whole period of research and were studied. The data of research were analyzed through regression models with approach of panel data. The results of regression models in testing hypotheses of study showed that the general relationship between stock idiosynchratic volatilities and future stock returns is in a negative direction. But, the more accurate evaluations under second model showed that this relationship is affected by risk tolerance of return and there is a U-shape relationship between idiosynchratic volatilities and future stock returns. Manuscript profile -
Open Access Article
11 - Price modeling of Islamic treasury bills based on securitization
Ehsan Zakernia Mohammad Hadi HabibollahiTreasury Bills are contained the proof of face value payment of bonds in the future by the publisher (typically by governments). Issuing conventional Treasury bills, due to usury based nature of Treasury bills, in Islamic financial systems is not possible. So Islamic fi MoreTreasury Bills are contained the proof of face value payment of bonds in the future by the publisher (typically by governments). Issuing conventional Treasury bills, due to usury based nature of Treasury bills, in Islamic financial systems is not possible. So Islamic financial experts have designed the Islamic Treasury bills.Islamic Treasury bills are registered or bearer securities that of the Treasury of the Ministry of Economic Affairs and Finance, with a certain maturity and without interest coupons issue and can be used for Settlement of public sector debts to the Central Bank, the banking network and contractors. This model is examined in terms of jurisprudence and law and it is applicable but appropriate discount rate and in fact Treasury valuation model has not been studied yet.This article will explain the appropriate model to determine the discount rate for these securities. It seems to be the best assess to discount rates or pricing Islamic T-bill’s is the mean return of the market that these instruments have been issued for them. This means for the purchasing goods Islamic T-bills, the average estimated return on the market that the required goods are purchased from it. In purchasing services Islamic T-bill’s, the average rate of return of the operation of the project. And in funding Islamic T-bill’s, the average rate of returns gold trades in the horizon of securities is the best criteria to determinate the rates. Manuscript profile -
Open Access Article
12 - Risk-Return Tradeoff: Evidence of Capital Assets Pricing Model
Roohollah Farhadi Ali Saghafi Mohammad Taghi TaghavifardIn this research, return and risk tradeoff examined using standard form of Capital Assets Pricing Model (CAPM) in Tehran Securities Exchange (TSE). Using a methodology related to the field of Ex post facto studies in financial researches, OLS and Quantile regression mod MoreIn this research, return and risk tradeoff examined using standard form of Capital Assets Pricing Model (CAPM) in Tehran Securities Exchange (TSE). Using a methodology related to the field of Ex post facto studies in financial researches, OLS and Quantile regression model was used for test of CAPM. Results of running (linear and Quantile) two stage regression show that beta as systematic risk proxy cannot explain excess returns difference. Results show also unique risk can explain excess returns, although relation of unique risk and excess return is variant in different quartile of returns. As a conclusion, it can be stated that at least using of TSE Index as proxy of market portfolio, CAPM model does not explain stock prices. Manuscript profile -
Open Access Article
13 - Stock returns changes explanation between CAPM, TFPM, Carhart FFPM in Tehran Stock Exchange
Narges Alaleh Mohammad Tamimi Alimohammad Nematpour DezfuliThe Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years .Capital Asset Pricing Model is an equilibrium model that explains why rates of return expected on stock is different; it suggests that the market beta alone is sufficient to expla MoreThe Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years .Capital Asset Pricing Model is an equilibrium model that explains why rates of return expected on stock is different; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The main contribution of this research is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to explain stock returns changes Tehran Stock Exchange listed firms. Research statistical Society is Companies listed on the Tehran Stock Exchange from 1386 until 1389, a period of 4 years. The sample consisted of 33 companies among the top 100 companies in Tehran Stock Exchange member firms. In present research survey Addition of skewness and kurtosis on the proxy asset pricing model four factors have a greater ability than other asset pricing models in explaining variations in stock returns are expected on top 100 companies in Tehran Stock Exchange member firms period 2007-2011.The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model. Manuscript profile -
Open Access Article
14 - The Impact of Individual Sentiment Beta on Stock Return of Companies Listed on Tehran Stock Exchange
amir hossein sharifmehr karim Azarbaijani Arezoo Aghaei chadeganiIndividual stock sentiment is one of the non-fundamental factors that affect the financial markets which is influenced by various factors. Individual stock sentiment beta is a new concept and is defined as the sensitivity of individual stock returns to the individual st MoreIndividual stock sentiment is one of the non-fundamental factors that affect the financial markets which is influenced by various factors. Individual stock sentiment beta is a new concept and is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. Due to the fact that Tehran stock exchange operate at a weak level of effiecency; this research purpuses to investigate the impact of individual sentiment beta on stock excess return and capital asset pricing model (CAPM) alpha in Tehran stock exchange. In this regard research data for top 50 companies of Tehran stock exchange at period from October 2019 to February 2021 which include biggest rise and fall in history of Tehran stock exchange was extracted through Rahavad Novin Software. Then excess return of 50 stock at research period time was calculated by Ami broker software, and finally all of data was analyzed by Eviews software.Finally the results showed that stocks with higher individual sentiment beta have higher excess return and CAPM alpha. Manuscript profile -
Open Access Article
15 - بررسی امکان استفاده از مدل قیمتگذاری داراییهای سرمایهای در بازار بورس اورا ق بهادار تهران
رضوان حجازی مهری غلامحسینی -
Open Access Article
16 - Higher moments Portfolio Optimization based on Generalized CAPM with asymmetric power distribution and fat tail
Ali Souri Saeid Fallahpour Bahman EsmaeiliEvery investor wants to select the optimal combination of return and risk in order to maximize their utility. In this study, an attempt was made to explain the optimal model for estimating returns and risk in cases where there is a financial crisis and the distribution MoreEvery investor wants to select the optimal combination of return and risk in order to maximize their utility. In this study, an attempt was made to explain the optimal model for estimating returns and risk in cases where there is a financial crisis and the distribution of return on assets does not follow the normal distribution.For this purpose, we use CAPM with independent and identically asymmetric power distribution (CAPM-IIAPD) and CAPM with independent identically saymmetric exponential power distribution with two tail parameters (CAPM-IAEPD) instead of traditional CAPM. When the assumption of normality is violated, higher moments are used to optimize the model. In the next step, using Polynomial Goal Programming, we calculate optimal portfolios with third and fourth moments.The time horizon of the research from 2011 to 2018 and the statistical population has been all the companies of Tehran Stock Exchange, among which 30 companies have been selected.The results show that CAPM-IIAPD Model is the best model among three models and the adjusted return on risk in optimized models with thirs and fourth moemnts in generalized CAPM models is significantly different from the traditional model and has a better performance. Manuscript profile -
Open Access Article
17 - Energy Portfolio Returns Explanation Using Fama & French Five-Factor Model
Mohammad Yousefian Amiri Babak Shirazi Ali Tajdin Hossein Mohammadian BishehInvesting in the Iran Energy Exchange is one of the ways to achieve returns. Among the capital asset pricing models, one of the most important new tools for risk and return determination is the Fama and French five-factor model. In this study, we examined the power of e MoreInvesting in the Iran Energy Exchange is one of the ways to achieve returns. Among the capital asset pricing models, one of the most important new tools for risk and return determination is the Fama and French five-factor model. In this study, we examined the power of explaining the return on investment portfolio consisting of 40 companies operating in Iran Energy Bruce from 2009 to 2018 using the five-factor model of Fama and French. For this purpose, we have used F-Limer and Hausman statistical tests and multivariate regression analysis method in three-factor and five-factor models of Fama and French to explain the efficiency of energy portfolio returns. The results of this study show that by adding the two factors of profitability and investment to the three-factor model, the coefficient of determination increases from 0.85 to 0.96. Among these five factors, the value factor has the greatest impact on energy portfolio returns. Also, with the addition of market factors, the value and profitability of energy portfolio returns increased, but size and investment factors were inversely related to energy portfolio returns and reduced it. Manuscript profile -
Open Access Article
18 - Predicting stock returns at the company level: An application of linking asset pricing models and economic factors
maryam bahmani MoahammadEbrahim Pourzarandi Mehrzad MinoeiThis research has been done in order to predict stock returns at the company level: an application of linking asset pricing models and economic factors, in 130 selected companies admitted to the Tehran Stock Exchange between 2011 and 2018. In this research, an attempt h MoreThis research has been done in order to predict stock returns at the company level: an application of linking asset pricing models and economic factors, in 130 selected companies admitted to the Tehran Stock Exchange between 2011 and 2018. In this research, an attempt has been made to propose a model for predicting future performance by combining a multi-factor model and a research model. The results showed that 1) anomalies in stock returns were evaluated and according to the results obtained based on the Gibbons test, it is the only model based on the proposed research model that is able to explain anomalies in stock returns unlike the multi-factor models (single, three, four and five agent) 2) Due to the complexity and conflict in the relationship between explanatory variables and future performance, the power to explain the proposed research model in predicting anomalies in accruals and research and development costs to the value of the company, is weaker than multifactorial models that use of The integrated model of research (using profitability, returns based on the lowest and highest price) as well as the proposed model have shown a better explanatory power in this field. Manuscript profile
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