Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran

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DEHGHAN ABDOLMAJID; FARHADI SHARIF ABAD MOHSEN; Fahimi Alireza

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:7 | Issue:28 Page(s): 281-296

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Information Journal Paper

Title

Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran

Author(s)

DEHGHAN ABDOLMAJID | FARHADI SHARIF ABAD MOHSEN | Fahimi Alireza | Issue Writer Certificate

Keywords

Investment Mutual fundsQ1

C-CAPM ModelQ1

CD-CAPM ModelQ1

Abstract

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.

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APA: Copy

DEHGHAN, ABDOLMAJID, FARHADI SHARIF ABAD, MOHSEN, & Fahimi, Alireza. (2019). Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran. INVESTMENT KNOWLEDGE, 7(28 ), 281-296. SID. https://sid.ir/paper/188173/en

Vancouver: Copy

DEHGHAN ABDOLMAJID, FARHADI SHARIF ABAD MOHSEN, Fahimi Alireza. Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran. INVESTMENT KNOWLEDGE[Internet]. 2019;7(28 ):281-296. Available from: https://sid.ir/paper/188173/en

IEEE: Copy

ABDOLMAJID DEHGHAN, MOHSEN FARHADI SHARIF ABAD, and Alireza Fahimi, “Comparative Study of C-CAPM and CD-CAPM Models in investment Mutual funds of Iran,” INVESTMENT KNOWLEDGE, vol. 7, no. 28 , pp. 281–296, 2019, [Online]. Available: https://sid.ir/paper/188173/en

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