Comparative Comparison of consumption-based capital asset pricing model (by using two-pass regression Fama and MacBeth)

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ALIZADEH SEDIGHEH; SHAHIKI TASH MOHAMMAD NABI; ROSHAN REZA

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Journal: Financial Economics Year:2020 | Volume:14 | Issue:50 Page(s): 63-89

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Title

Comparative Comparison of consumption-based capital asset pricing model (by using two-pass regression Fama and MacBeth)

Author(s)

ALIZADEH SEDIGHEH | SHAHIKI TASH MOHAMMAD NABI | ROSHAN REZA | Issue Writer Certificate

Keywords

Stock Expected ReturnsQ1

TwoQ1

Step Regression Model of Fama and MacbethQ1

Traditional CCAPMQ1

LiquidityQ1

Adjusted CCAPMQ1

Abstract

In financial literature, considering the asset pricing is considered as one of the most important components of activity in financial markets. One of the ways that helps investors to explain risk and return on investment is to use asset pricing models. The main purpose of the present research is to provide a comparative explanation of the consumption-based capital asset pricing model (CCAPM) and the Liquidity-adjusted of consumption-based capital asset pricing model in the Iranian capital market. The statistical population of this study is the accepted companies in Tehran Stock Exchange which is considered for period of 2009 to 2018. With the comparison between Two types of pricing model with using algebraic relationships and the Two-Step Regression Model of Fama and Macbeth, it is shown that a greater proportion of cross-sectional variation in expected returns can be explained by the Liquidity-Adjusted CCAPM than the Traditional CCAPM. The results also show that the pricing errors in Liquidity-Adjusted CCAPM is lower than the Traditional CCAPM. The evidence from this study also highlights the importance of Liquidity in asset pricing.

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APA: Copy

ALIZADEH, SEDIGHEH, SHAHIKI TASH, MOHAMMAD NABI, & ROSHAN, REZA. (2020). Comparative Comparison of consumption-based capital asset pricing model (by using two-pass regression Fama and MacBeth). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(50 ), 63-89. SID. https://sid.ir/paper/379940/en

Vancouver: Copy

ALIZADEH SEDIGHEH, SHAHIKI TASH MOHAMMAD NABI, ROSHAN REZA. Comparative Comparison of consumption-based capital asset pricing model (by using two-pass regression Fama and MacBeth). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;14(50 ):63-89. Available from: https://sid.ir/paper/379940/en

IEEE: Copy

SEDIGHEH ALIZADEH, MOHAMMAD NABI SHAHIKI TASH, and REZA ROSHAN, “Comparative Comparison of consumption-based capital asset pricing model (by using two-pass regression Fama and MacBeth),” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 50 , pp. 63–89, 2020, [Online]. Available: https://sid.ir/paper/379940/en

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