Experimental Test and Evaluate the Possibility of Using Traditional CAPM Model and MCAPM in the Tehran Stock Exchange

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ABBASI EBRAHIM; KAVIANI MEYSAM

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Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING STUDIES Year:2019 | Volume:8 | Issue:29 Page(s): 17-36

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Title

Experimental Test and Evaluate the Possibility of Using Traditional CAPM Model and MCAPM in the Tehran Stock Exchange

Author(s)

ABBASI EBRAHIM | KAVIANI MEYSAM | Issue Writer Certificate

Keywords

Return

CAPM

MCAPM

Abstract

The result of empirical research in the capital market indicates that the pricing of securities is such that those who are more risk-takers will gain more Returns in the long run. So far, various models have been proposed to explain the relationship between risk and Returns. In line with these models, the modified capital asset pricing model (MCAPM) as other pricing models and It is also proposed as one of the CAPM asset pricing models. Therefore, the present study attempts to examine the empirical test of this model in Tehran Stock Exchange, which shows that the MCAPM model has more explanatory power than traditional CAPM in relation to stock Returns. In other words, adding a variable in the traditional model has improved.

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APA: Copy

ABBASI, EBRAHIM, & KAVIANI, MEYSAM. (2019). Experimental Test and Evaluate the Possibility of Using Traditional CAPM Model and MCAPM in the Tehran Stock Exchange. JOURNAL OF ACCOUNTING AND AUDITING STUDIES, 8(29 ), 17-36. SID. https://sid.ir/paper/269076/en

Vancouver: Copy

ABBASI EBRAHIM, KAVIANI MEYSAM. Experimental Test and Evaluate the Possibility of Using Traditional CAPM Model and MCAPM in the Tehran Stock Exchange. JOURNAL OF ACCOUNTING AND AUDITING STUDIES[Internet]. 2019;8(29 ):17-36. Available from: https://sid.ir/paper/269076/en

IEEE: Copy

EBRAHIM ABBASI, and MEYSAM KAVIANI, “Experimental Test and Evaluate the Possibility of Using Traditional CAPM Model and MCAPM in the Tehran Stock Exchange,” JOURNAL OF ACCOUNTING AND AUDITING STUDIES, vol. 8, no. 29 , pp. 17–36, 2019, [Online]. Available: https://sid.ir/paper/269076/en

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