List of Articles Capital Assets Pricing Model

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Risk-Return Tradeoff: Evidence of Capital Assets Pricing Model
  Roohollah Farhadi Ali Saghafi Mohammad Taghi Taghavifard
  In 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 More

  In 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
  • Abstract Page
  • Full-Text
  
  2 - The Mediator role of Information Asymmetry in Imperfect Competition Market on the relation between Earnings Forecast Bias & Idiosyncratic Risk derived from Capital Assets Pricing Model
  Mohammad Hassani Sanaz Moradi
  10.30495/afi.2021.1925455.1016
  Theoretically, firms should reduce information risks to provide a transparent environment for different groups in capital market to make decisions. Therefore, identifying potential risk factors is important. This paper investigated the impact of earnings forecast bias a More

  Theoretically, firms should reduce information risks to provide a transparent environment for different groups in capital market to make decisions. Therefore, identifying potential risk factors is important. This paper investigated the impact of earnings forecast bias and information asymmetry in imperfect competition market on the idiosyncratic risk. It is used the standard deviation of residuals extracted from capital asset pricing model to measure the idiosyncratic risk. Earnings forecast bias is measured based on the absolute value of difference between actual value and forecasted value of earnings per share scaled by the beginning stock price. In addition, information asymmetry is assessed based on the stock price bid-ask spread. Using filtering method, 147 firms listed in Tehran Securities & Exchange during 2013 to 2018 selected as research population. Research hypotheses analyzed through multivariate regression models. Research results showed that more earnings forecast bias lead to increase the idiosyncratic risk. In addition, high level of information asymmetry caused to increase the idiosyncratic risk. Also information asymmetry lead to strengthen the positive relation between earnings forecast bias and idiosyncratic risk. As a whole, firms with high level of earnings forecast bias & information asymmetry as inverse proxies of information quality which have worse information environment have more idiosyncratic risk. Manuscript profile