COMPARATIVE STUDY OF CAPM AND REWARD BETA MODEL TO FORECAST THE STOCK RETURN

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REZAEI FARZIN; AKBARI MOGHADAM BEITOLLAH; NOWROUZI ALI

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Journal: The Financial Accounting and Auditing Researches Year:2013 | Volume:5 | Issue:17 Page(s): 213-232

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Title

COMPARATIVE STUDY OF CAPM AND REWARD BETA MODEL TO FORECAST THE STOCK RETURN

Author(s)

REZAEI FARZIN | AKBARI MOGHADAM BEITOLLAH | NOWROUZI ALI | Issue Writer Certificate

Keywords

REWARD BETA MODELQ2

CAPMQ2

SYSTEMATIC RISKQ2

Abstract

This article tests and compares two models CAPM and the REWARD BETA MODEL for the prediction of the expected return in the Tehran Stock Exchange (TSE): based on the two-step test methodology 1) estimation of the models’ parameters through time series regressions in an ex-ante sample; 2) use of the parameters as explanatory variables in a cross section regression and ex-post sample; By using Microfit4 and Excel, some relevant statistical and econometrics methods such as t-statistics, F statistics, adjusted coefficient of determination (Adj. R2), Durbin-Watson, Jarque-Bera, Functional Form, were employed for testing the research hypotheses. The results, based on a sample of 112 firms during the period 1998 to 2008, show that reward beta has a higher explanatory power in comparison with CAPM.

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APA: Copy

REZAEI, FARZIN, AKBARI MOGHADAM, BEITOLLAH, & NOWROUZI, ALI. (2013). COMPARATIVE STUDY OF CAPM AND REWARD BETA MODEL TO FORECAST THE STOCK RETURN. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 5(17), 213-232. SID. https://sid.ir/paper/198089/en

Vancouver: Copy

REZAEI FARZIN, AKBARI MOGHADAM BEITOLLAH, NOWROUZI ALI. COMPARATIVE STUDY OF CAPM AND REWARD BETA MODEL TO FORECAST THE STOCK RETURN. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2013;5(17):213-232. Available from: https://sid.ir/paper/198089/en

IEEE: Copy

FARZIN REZAEI, BEITOLLAH AKBARI MOGHADAM, and ALI NOWROUZI, “COMPARATIVE STUDY OF CAPM AND REWARD BETA MODEL TO FORECAST THE STOCK RETURN,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 5, no. 17, pp. 213–232, 2013, [Online]. Available: https://sid.ir/paper/198089/en

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