A COMPARISION BETWEEN EXPLANATORY POWER OF CAMP AND D-CAPM IN PREDICTING EXPECTED STOCK RETURN

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TAVANGAR AFSANEH; KHOSROYANI MAHDI

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2011 | Volume:4 | Issue:9 Page(s): 25-42

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Title

A COMPARISION BETWEEN EXPLANATORY POWER OF CAMP AND D-CAPM IN PREDICTING EXPECTED STOCK RETURN

Author(s)

TAVANGAR AFSANEH | KHOSROYANI MAHDI | Issue Writer Certificate

Keywords

CAPMQ4

D-CAPMQ4

EXPECTED RETURNQ4

EMERGING MARKETQ4

BETAQ4

D-BETAQ4

Abstract

Most of the academic studies identified b factor as a risk-based measure of stock return volatility and used Capital Assets Pricing Model (CAPM) to measure portfolio risk and estimate EXPECTED RETURN. Over the last few years, the semi-variance of stock return developed proposing the downside b as an alternative measure of risk. Based on Downside CAPM (D-CAPM), we investigated the capability of the CAPM and D-CAPM to estimate required returns on equity in Tehran Stock Exchange as an EMERGING MARKET and focused on comparing the ability of b factor to explain the cross-section of returns relative to that of alternative risk variable as downside b.Considering information of stock return of 138 firms from 2005 to 2009, we established a hypothesis as: “The D-CAPM has more explanatory power to predict the expected stock return volatility rather than CAPM.” Through studying the relationship between stock returns and BETA and D-BETA, stable and direct significant correlation of D-BETA and stock returns clarify the importance of D-BETA and D-CAPM in measuring the risk and EXPECTED RETURN rather than BETA and CAPM.

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APA: Copy

TAVANGAR, AFSANEH, & KHOSROYANI, MAHDI. (2011). A COMPARISION BETWEEN EXPLANATORY POWER OF CAMP AND D-CAPM IN PREDICTING EXPECTED STOCK RETURN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 4(9), 25-42. SID. https://sid.ir/paper/200373/en

Vancouver: Copy

TAVANGAR AFSANEH, KHOSROYANI MAHDI. A COMPARISION BETWEEN EXPLANATORY POWER OF CAMP AND D-CAPM IN PREDICTING EXPECTED STOCK RETURN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2011;4(9):25-42. Available from: https://sid.ir/paper/200373/en

IEEE: Copy

AFSANEH TAVANGAR, and MAHDI KHOSROYANI, “A COMPARISION BETWEEN EXPLANATORY POWER OF CAMP AND D-CAPM IN PREDICTING EXPECTED STOCK RETURN,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 4, no. 9, pp. 25–42, 2011, [Online]. Available: https://sid.ir/paper/200373/en

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