CAPM

Open Access Article

1 - Investigation equity risk premium puzzle in Iran’s economy usingGMM estimation in the S-CCAPM model
Azam Mohammadzadeh Mohammad NabiShahiki Tash Reza Roshan

One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is equity risk premium puz More

One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is equity risk premium puzzle. In this paper was investigated the theoretical equity risk premium puzzle with the experimental study of this phenomenon using data of years 1367 to 1391 seasonally from the Stock Exchange in Tehran .To investigate this puzzle addition to Mehra and Prescott (1985) method is used estimation of S-CCAPM model using GMM method. S-CCAPM model is adjustment of CCAPM model that was created with the import savings to utility function. Models results show that according to Mehra and Prescott method equity risk premium is obtained 5.7. This value shows that there is risk premium puzzle in the economy of Iran because with the use of empirical data equity risk premium is 0.129. But at second method, equity risk premium gained 0.4. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle. Manuscript profile

Open Access Article

2 - A Comparision Between Explanatory Power of CAMP and D-CAPM in Predicting Expected Stock Return
افسانه توانگر مهدی Kh

Most of the academic studies identified β factor as a risk-based measure of stock return volatility and used Capital Assets Pricing Model (CAPM) to measure portfolio risk and estimate expected return. Over the last few years, the semi-variance of stock return devel More

Most of the academic studies identified β factor as a risk-based measure of stock return volatility and used Capital Assets Pricing Model (CAPM) to measure portfolio risk and estimate expected return. Over the last few years, the semi-variance of stock return developed proposing the downside β as an alternative measure of risk. Based on Downside CAPM (D-CAPM), we investigated the capability of the CAPM and D-CAPM to estimate required returns on equity in Tehran Stock Exchange as an emerging market and focused on comparing the ability of β factor to explain the cross-section of returns relative to that of alternative risk variable as downside β. Considering information of stock return of 138 firms from 2005 to 2009, we established a hypothesis as: “The D-CAPM has more explanatory power to predict the expected stock return volatility rather than CAPM.” Through studying the relationship between stock returns and beta and d-beta, stable and direct significant correlation of d-beta and stock returns clarify the importance of d-beta and D-CAPM in measuring the risk and expected return rather than beta and CAPM.  Manuscript profile

Open Access Article

3 - Applicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
M. Rizwan Qamar S. Rehman S. A. Shah

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Open Access Article

4 - A meta-analysis on the capital asset pricing model
Saeed Fathi Farideh Tavakoli Iman Ostad

Capital 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 More

Capital 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

5 - The evalution of DCAPM,ACAPM model standard capital cost
zahra mehrali Ghodratallah Talebnia Hamid Ahmadzade

AbstractThis study evaluates the D-CAPM and A-CAPM models in comparison with the standard model in explaining the cost of capital in companies accepted in Tehran Stock Exchange. The period of research from the period of 1385-1396 is 12 years. Independent variables used More

AbstractThis study evaluates the D-CAPM and A-CAPM models in comparison with the standard model in explaining the cost of capital in companies accepted in Tehran Stock Exchange. The period of research from the period of 1385-1396 is 12 years. Independent variables used in this research are various risk measurement indicators (beta coefficient) based on different models of capital asset valuation including standard capital investment pricing model, price model Redeeming capital assets and modeling the costing of asset-adjusted assets. The dependent variable of the present study is the weighted average cost of corporate capital. In this research, the control variables of financial leverage, company size, instant ratio, ratio of debt to equity, fixed asset ratio and net profit growth were also used. In this study, data of 153 companies during the years 1385-1396 The whole of the companies, the study and the results show that the model of pricing of declining capital and adjusting capital in explaining the cost of capital compared to the model of standardized capital asset pricing has more power Has enjoyed. It should be noted that the variables of the research are calculated with Excel software, and then the data are combined / combined at the company level using the software EViews9 Manuscript profile

Open Access Article

6 - Stock returns changes explanation between CAPM, TFPM, Carhart FFPM in Tehran Stock Exchange
Narges Alaleh Mohammad Tamimi Alimohammad Nematpour Dezfuli

The 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 More

The 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

7 - The Effect of Economic and Financial Regime-switching on Equity Premium Puzzle In Fuzzy Logic Framework: The Evidence from Iran
Alireza Erfani Esmaiel Abounoori Solmaz Safari

     This paper evaluates simultaneously the effect of  alterations in economic regime together with financial regime on equity premium puzzle seasonally in the period 1371-1393. A combinational model including Bivariate GARCH and Fuzzy dummy va More

     This paper evaluates simultaneously the effect of  alterations in economic regime together with financial regime on equity premium puzzle seasonally in the period 1371-1393. A combinational model including Bivariate GARCH and Fuzzy dummy variable with Consumption Capital Asset Pricing model (CCAPM-F) is used in order to achieve to this goal. Results present the risk aversion coefficient is maximum when there is the recession in both market stock and economy, which means the investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation. Finally, regime of economic recession is generally associated with higher levels of risk aversion. Manuscript profile

Open Access Article

8 - Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran
Abdol majid Dehghan Mohsen Farhadi sharif Abad Alireza Fahimi

In this study, a comparison of two C-CAPM model and CD-CAPM in common investment Mutual funds in the period March 1390 to July 1394 in Iran has been. The rate of return on the market as an independent variable and the expected rate of return as the dependent variable in More

In this study, a comparison of two C-CAPM model and CD-CAPM in common investment Mutual funds in the period March 1390 to July 1394 in Iran has been. The rate of return on the market as an independent variable and the expected rate of return as the dependent variable in the model of research and data panels have been used in estimating models. To compare models in each of the hypotheses, using the SPSS 21 software and then test the software mean Eviews8, tests of Lion Line & Chu (LLC), Im Pesaran Shin (IPS) and Dikey Fuller Advanced (ADF) to assess the stability variables, Pagan test method (LM) and Hausman test to determine the type and GLS panel model was used to estimate models. The test results mean, showed a significant difference between the two models of courses (risk negative and positive risk) is. stationary test results show that all the variables and the results of the test method reflects the performance of random effects are Pagan and Hausman and Compared with the coefficient of determination is derived models CD-CAPM model of explanatory power compared to C-CAPM model of joint venture funds are received in the period.   Manuscript profile

Open Access Article

9 - The Impact of Individual Sentiment Beta on Stock Return of Companies Listed on Tehran Stock Exchange
amir hossein sharifmehr karim Azarbaijani Arezoo Aghaei chadegani

10.30486/fbra.2022.1954973.1094

Individual 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 More

Individual 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

10 - Developing a Measurement Model for the Sensitivity Analysis of Asset Returns with Regard to Beta Index of Exchange Rate in the Context of the Modified Capital Asset Pricing Model
Reza Alizadeh Farhad Dehdar Mohammadreza Abdoli

10.22034/amfa.2019.1871942.1245

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Open Access Article

11 - The Relationship between Risk and Return on Financial Assets (The Panel Vector Auto-Regression and Panel Cointegration Ap-proaches)
Sorena Morovat Afshin Baghfalaki

10.22034/amfa.2020.1885620.1343

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Open Access Article

12 - Modelling Portfolio Pricing in Tehran Stock Exchange
zahra karimi zahra farshadfar

Knowing effective factors on optimum portfolio assignment is one of the mainissues facing finance market investors. Therefore, the present empirical study aimsto assign optimum portfolio pricing pattern in Tehran Stock Exchange. Hence, RCAPM,Fama and French and Carhat p More

Knowing effective factors on optimum portfolio assignment is one of the mainissues facing finance market investors. Therefore, the present empirical study aimsto assign optimum portfolio pricing pattern in Tehran Stock Exchange. Hence, RCAPM,Fama and French and Carhat pricing pattern were studied. A combination oftwo methods (panel data and apparent portfolio) were used for 2012-2020. Datasample consisted of 176 active companies in Tehran Stock Exchange. Initially, datawere divided into two groups: the first group used for portfolio making and modelestimation and the second group used for optimum portfolio assignment. Foroptimum assignment MAD, MSE, RMSE, MAPE index were used. Resultsindicated that portfolio comprising big companies had a negative effect oninvestment return, while portfolio comprising small companies had positive return.Momentum factor of portfolio comprising winning companies was positive while inportfolio comprising losing companies was negative. Finally, it can be concludedthat in Tehran Stock Exchange Carhat pricing pattern has better performancecompered to RCAPM or Fama and French pricing pattern during the mentionedperiod. Manuscript profile

Open Access Article

13 - A comparison between,CAPM,Fama and French,s models and artificial neural networks in predicting the Iranian stock Market
S.M Jafari جواد Misaghi میثم Ahmadvand

Comparison between the Capital Asset Pricing model,Fama and Ferench three factors model and Artificial Neural Network model in predicting Tehran stock Exchange returns is discussed in this research.the first two models are linear and the following are nonlinear.Four hyp More

Comparison between the Capital Asset Pricing model,Fama and Ferench three factors model and Artificial Neural Network model in predicting Tehran stock Exchange returns is discussed in this research.the first two models are linear and the following are nonlinear.Four hypotheses have been designed for this purpose.To examine these hypotheses,the expected return was calculated daily during 1383 to 1387 for 110 companies.companies in each quarter have divided to 6 portfolios by size and book to market value factors. Results showed that the performance of Fama &Ferench three factors model is better than Capital Asset pricing model.Also Univariable and Multyvariable Artificial Neural Network models have better performance in compare with their corresponding nonlinear models. Manuscript profile

Open Access Article

14 - Pricing Unemployment Insurance in Iran
reza ofogi ramyar ebne abas

Abstract Employees always concern about losing their job, or in other word, losing their income resources. For this purpose, governments require strong protection system for covering these concerns. The Unemployment Insurance (UI) program’s can be used for achiev More

Abstract Employees always concern about losing their job, or in other word, losing their income resources. For this purpose, governments require strong protection system for covering these concerns. The Unemployment Insurance (UI) program’s can be used for achieving this goal. Based on article five of Iranian unemployment Insurance law, premium is four percent of employee’s salary while employer and government’s contribution is four percent and one percent, respectively. Hence, there are great concerns about the financial pressure on the government regarding implementing this law. In this paper, we price UI based on the insurance history of employee and the duration of being unemployed. We use the Weibull distribution for finding duration of unemployment, and finally equivalence principle applied for finding the fair UI premium rate. Our findings indicate that the UI rate is less than 4% which is lower than current UI rate in Iran which has been set by law. Consequently, government’s contribution can be eliminated which reduces concerns about providing required budget by the government.   Manuscript profile

Open Access Article

15 - مقایسه قدرت پیش بینی بازده مورد انتظار سهام با استفاده از مدل‌های CAPM و Reward Beta
فرزین رضایی بیت اله اکبری مقدم علی نوروزی

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Open Access Article

16 - Using the Bid-Ask Spreads as a Proxy for Transaction Costs in adjusting the CCAPM
sedighe alizadeh mohammad nabi shahiki tash reza rosahan

This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing mode More

This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing model is modified. To perform experimental tests. Daily data is collected from 47 companies accepted on the Tehran Stock Exchange and for the period 2009 to 2018. This study is carried out on 20 portfolios formed based on liquidity criteria Liu (2006), DVOL, Size, and Gibbs. The results of this study show that the capital asset pricing model based on traditional consumption has a poor performance in explaining the return on cross-sectional stocks and liquidity-adjusted CCAPM can explain the bigger portion of cross-sectional return changes compared to the traditional CCAPM model. Also, the results show that the entry of trading cost variables and liquidity risk leads to improved CCAPM. Manuscript profile

Open Access Article

17 - سنجش عملکرد و توان تبیین روش CANSLIM و مقایسه آن با مدل CAPM در انتخاب سهام برتر (مورد مطالعه بورس اوراق بهادار تهران)
فریدون رهنمای رودپشتی محمود نعمتیان مهسا زهری

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Open Access Article

18 - آزمون توان تبیین مدل شرطی قیمت گذاری دارائی های سرمایه ای کاهشی (CAPM (CD- جهت پیش بینی ریسک و نرخ بازده مورد انتظار
زهرا امیرحسینی معصومه قبادی

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Open Access Article

19 - The Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock Exchange
Hashem Mokari seyyedAlireza Mirarab baygi seyyedjalal sadeghisharif

The Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering declining markets, Evidence From the Tehran stock ExchangeThe Developmen More

The Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe velopment and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factormodel inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four fator model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model in prospering & declining markets, Evidence From the Tehran stock ExchangeThe Development and Assessment of a four factor model inprospering & declining markets, Evidence From the Tehran stock Exchange Manuscript profile

Open Access Article

20 - A Comparison between Fama and French five-factor model and artificial neural networks in predicting the stock price
reza tehrani Milad Heyrani Samira Mansuri

One of the most important issues of financial markets is the prediction of price and stock returns. In this paper, we try to find the best model and stock price prediction approach based on the mean square error (MSE), root-mean-square error (RMSE), R-squared, standard More

One of the most important issues of financial markets is the prediction of price and stock returns. In this paper, we try to find the best model and stock price prediction approach based on the mean square error (MSE), root-mean-square error (RMSE), R-squared, standard deviation (SD), Mean absolute error and the mean absolute percent error (MAPE) for the Fama and French five-factor model. For this purpose, after the formation of a portfolio based on the Fama and French model during the period from 2009 to 2017, stock price is estimated by econometric model, neural network and Fuzzy Neural Networks, so the accuracy of each approach was compared. The results of the prediction the efficiency of the generated portfolios show that the prediction accuracy of the radial base function network (RBF) is very high compared to other ARMA models and other neural networks. Manuscript profile

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