THE COMPARISON OF CAPITAL ASSETS PRICING MODEL (CAPM) AND CAPITAL ASSETS PRICING MODEL UNDER INFLATION (CAPMUI)

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MOJTAHEDZADEH V.; EMAMI S.

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Journal: Financial Accounting Research Year:2010 | Volume:2 | Issue:4 (6) Page(s): 109-123

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Title

THE COMPARISON OF CAPITAL ASSETS PRICING MODEL (CAPM) AND CAPITAL ASSETS PRICING MODEL UNDER INFLATION (CAPMUI)

Author(s)

MOJTAHEDZADEH V. | EMAMI S. | Issue Writer Certificate

Keywords

CAPMQ2

CAPMUIQ3

MPRQ3

UNCERTAIN CONDITIONS OF INFLATIONQ3

Abstract

The aim of this Paper is to compare Capital Assets Pricing Model (CAPM) and Capital Assets Pricing Model under Inflation (CAPMUI) in respect to compute the stock returns. So, three hypotheses have been formed. To test the hypotheses, monthly data of 72 listed companies in Tehran Stock Exchange (TSE) during 1382-1386 were collected. The results indicated that regarding to computing the asset returns, CAPMUI model has a deviation coefficient smaller to CAPM and the existence of inflation factor in this model increases the precision of the model comparing to the first model. In other words, inflation factor has an important effect on computing the assets returns.In inflation conditions, if there is a positive correlation between the portfolio return and the inflation rate, market price of risk is understated by CAPM.

Cites

MEASURING ABNORMAL RETURN IN TRADING HALT CONDITION

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APA: Copy

MOJTAHEDZADEH, V., & EMAMI, S.. (2010). THE COMPARISON OF CAPITAL ASSETS PRICING MODEL (CAPM) AND CAPITAL ASSETS PRICING MODEL UNDER INFLATION (CAPMUI). JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 2(4 (6)), 109-123. SID. https://sid.ir/paper/155180/en

Vancouver: Copy

MOJTAHEDZADEH V., EMAMI S.. THE COMPARISON OF CAPITAL ASSETS PRICING MODEL (CAPM) AND CAPITAL ASSETS PRICING MODEL UNDER INFLATION (CAPMUI). JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2010;2(4 (6)):109-123. Available from: https://sid.ir/paper/155180/en

IEEE: Copy

V. MOJTAHEDZADEH, and S. EMAMI, “THE COMPARISON OF CAPITAL ASSETS PRICING MODEL (CAPM) AND CAPITAL ASSETS PRICING MODEL UNDER INFLATION (CAPMUI),” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 2, no. 4 (6), pp. 109–123, 2010, [Online]. Available: https://sid.ir/paper/155180/en

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