ACCURACY OF PREDICTION MODELS OF CAPITAL ASSET PRICING MODEL AND BETA REWARD IN TEHRAN STOCK EXCHANGE

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KHODADADI VALI; DASTGIR MOHSEN; NASR HAMID

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Journal: Macroeconomic Research Letter Year:2010 | Volume:10 | Issue:2 (39) Page(s): 81-98

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Title

ACCURACY OF PREDICTION MODELS OF CAPITAL ASSET PRICING MODEL AND BETA REWARD IN TEHRAN STOCK EXCHANGE

Author(s)

KHODADADI VALI | DASTGIR MOHSEN | NASR HAMID | Issue Writer Certificate

Keywords

REWARD BETA MODELQ3

CAPITAL ASSETS PRICING MODELQ3

REWARD BETAQ2

EXPECTED STOCK RETURNQ3

Abstract

This article reviews accurately of Capital Asset Pricing model and REWARD BETA MODEL in prediction of expected return of Tehran Stock Exchange. In this study, to test research hypotheses, the stock return data of sample companies and market returns for the sample period of Esfand 1386 to Farvardin 1375 are used and these sample companies in 25 portfolios have been classified based on size and book value to market value ratio. The results showed that the REWARD BETA MODEL in a short-term period (one year) and long-term period (three years) predict future stock returns better than CAPM. Moreover, the REWARD BETA MODEL factors have more positive correlation and are more significant than capital asset pricing model factor of stock returns.

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APA: Copy

KHODADADI, VALI, DASTGIR, MOHSEN, & NASR, HAMID. (2010). ACCURACY OF PREDICTION MODELS OF CAPITAL ASSET PRICING MODEL AND BETA REWARD IN TEHRAN STOCK EXCHANGE. JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES), 10(2 (39)), 81-98. SID. https://sid.ir/paper/150911/en

Vancouver: Copy

KHODADADI VALI, DASTGIR MOHSEN, NASR HAMID. ACCURACY OF PREDICTION MODELS OF CAPITAL ASSET PRICING MODEL AND BETA REWARD IN TEHRAN STOCK EXCHANGE. JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES)[Internet]. 2010;10(2 (39)):81-98. Available from: https://sid.ir/paper/150911/en

IEEE: Copy

VALI KHODADADI, MOHSEN DASTGIR, and HAMID NASR, “ACCURACY OF PREDICTION MODELS OF CAPITAL ASSET PRICING MODEL AND BETA REWARD IN TEHRAN STOCK EXCHANGE,” JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES), vol. 10, no. 2 (39), pp. 81–98, 2010, [Online]. Available: https://sid.ir/paper/150911/en

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