RISK AND RETURN: TEST OF CONSUMPTION BASED CAPITAL ASSET PRICING MODEL (CCAPM) VERSUS TRADITIONAL CAPITAL ASSET PRICING MODEL (CAPM) IN TEHRAN EXCHANGE MARKET

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TEHRANI REZA; GOUDARZI MOSTAFA; MORADI HADI

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Journal: Journal of Economic Research Year:2009 | Volume:43 | Issue:85 Page(s): 61-81

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Information Journal Paper

Title

RISK AND RETURN: TEST OF CONSUMPTION BASED CAPITAL ASSET PRICING MODEL (CCAPM) VERSUS TRADITIONAL CAPITAL ASSET PRICING MODEL (CAPM) IN TEHRAN EXCHANGE MARKET

Author(s)

TEHRANI REZA | GOUDARZI MOSTAFA | MORADI HADI | Issue Writer Certificate

Keywords

TRADITIONAL CAPITAL ASSET PRICING MODELQ3

CONSUMPTION BASED CAPITAL ASSET PRICING MODELQ2

MARKET BETA AND CONSUMPTION BETAQ3

Abstract

Explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. So far as after offering CAPM by Sharp & Lintner, this model has been revised and criticized frequently.In this paper another version of CAPM has been tested versus traditional CAPM in Tehran Stock Exchange. This version of CAPM measures sensitivity of stock return to consumption percapita and consider it as measure of risk. This model is identified as CONSUMPTION BASED CAPITAL ASSET PRICING MODEL or in abbreviation is C-CAPM.We examine 184 stocks in Tehran Stock Exchange which have not had long deadlock from beginning of 1380 to end of 1385. Despite of the fact that Consumption beta should be a better measure of systematic risk theoretically, but our results show empirical performance of traditional CAPM is more encouraging than C-CAPM, and CAPM had relative success over all tests.

Cites

INVESTIGATION OF THE FACTORS AFFECTING THE DEVIATION OF STOCK MARKET PRICES FROM THE PRESENT VALUE OF FUTURE CASH FLOWS IN COMPANIES LISTED ON TEHRAN STOCK EXCHANGE

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APA: Copy

TEHRANI, REZA, GOUDARZI, MOSTAFA, & MORADI, HADI. (2009). RISK AND RETURN: TEST OF CONSUMPTION BASED CAPITAL ASSET PRICING MODEL (CCAPM) VERSUS TRADITIONAL CAPITAL ASSET PRICING MODEL (CAPM) IN TEHRAN EXCHANGE MARKET. TAHGHIGHAT-E-EGHTESADI, 43(85), 61-81. SID. https://sid.ir/paper/12173/en

Vancouver: Copy

TEHRANI REZA, GOUDARZI MOSTAFA, MORADI HADI. RISK AND RETURN: TEST OF CONSUMPTION BASED CAPITAL ASSET PRICING MODEL (CCAPM) VERSUS TRADITIONAL CAPITAL ASSET PRICING MODEL (CAPM) IN TEHRAN EXCHANGE MARKET. TAHGHIGHAT-E-EGHTESADI[Internet]. 2009;43(85):61-81. Available from: https://sid.ir/paper/12173/en

IEEE: Copy

REZA TEHRANI, MOSTAFA GOUDARZI, and HADI MORADI, “RISK AND RETURN: TEST OF CONSUMPTION BASED CAPITAL ASSET PRICING MODEL (CCAPM) VERSUS TRADITIONAL CAPITAL ASSET PRICING MODEL (CAPM) IN TEHRAN EXCHANGE MARKET,” TAHGHIGHAT-E-EGHTESADI, vol. 43, no. 85, pp. 61–81, 2009, [Online]. Available: https://sid.ir/paper/12173/en

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