COMPARISON BETWEEN THE CONDITIONAL MODELS OF DOWNSIDE CAPITAL ASSET PRICING WITH THE CONDITIONAL MODEL OF CAPITAL ASSET PRICING

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TAVAKOLI BAGHDADABAD MOHAMMAD REZA; FAGHIH NASIRI MARJAN; REZAEI JAVAD

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Journal: ECONOMIC RESEARCH REVIEW Year:2010 | Volume:10 | Issue:7 (SUPPLEMENT) Page(s): 119-143

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Title

COMPARISON BETWEEN THE CONDITIONAL MODELS OF DOWNSIDE CAPITAL ASSET PRICING WITH THE CONDITIONAL MODEL OF CAPITAL ASSET PRICING

Author(s)

TAVAKOLI BAGHDADABAD MOHAMMAD REZA | FAGHIH NASIRI MARJAN | REZAEI JAVAD | Issue Writer Certificate

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Abstract

In this paper, conditional model of downside capital asset pricing and conditional model of capital asset pricing in periods from 2001 to 2008 in Tehran stock exchange are compared. At first, the coefficients of b and negative b D, market rate of return of variables, risk premium in two models are calculated and next, the expected rate of return is estimated.Then rate of return of independent variable and expected rate of return of dependent variable are separated in two models in accordance to market risk premium positive or negative. By doing so, the initial data of main and secondary hypothesis are defined. Then by using statistical software and average difference regression test and least significant difference research hypothesis are confirmed or rejected. Results of this research show when the market risk premium is positive, the conditional model of D-CAPM is more efficient than the conditional model of CAPM and when the market risk premium is negative, the conditional model of D-CAPM is more efficient than conditional model of CAPM too. Also the conditional model of D-CAPM shows the relation between risk and return better than conditional model of CAPM and portfolio selected by this model is more efficient than conditional model of CAPM.

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APA: Copy

TAVAKOLI BAGHDADABAD, MOHAMMAD REZA, FAGHIH NASIRI, MARJAN, & REZAEI, JAVAD. (2010). COMPARISON BETWEEN THE CONDITIONAL MODELS OF DOWNSIDE CAPITAL ASSET PRICING WITH THE CONDITIONAL MODEL OF CAPITAL ASSET PRICING. ECONOMIC RESEARCH REVIEW, 10(7 (SUPPLEMENT)), 119-143. SID. https://sid.ir/paper/67125/en

Vancouver: Copy

TAVAKOLI BAGHDADABAD MOHAMMAD REZA, FAGHIH NASIRI MARJAN, REZAEI JAVAD. COMPARISON BETWEEN THE CONDITIONAL MODELS OF DOWNSIDE CAPITAL ASSET PRICING WITH THE CONDITIONAL MODEL OF CAPITAL ASSET PRICING. ECONOMIC RESEARCH REVIEW[Internet]. 2010;10(7 (SUPPLEMENT)):119-143. Available from: https://sid.ir/paper/67125/en

IEEE: Copy

MOHAMMAD REZA TAVAKOLI BAGHDADABAD, MARJAN FAGHIH NASIRI, and JAVAD REZAEI, “COMPARISON BETWEEN THE CONDITIONAL MODELS OF DOWNSIDE CAPITAL ASSET PRICING WITH THE CONDITIONAL MODEL OF CAPITAL ASSET PRICING,” ECONOMIC RESEARCH REVIEW, vol. 10, no. 7 (SUPPLEMENT), pp. 119–143, 2010, [Online]. Available: https://sid.ir/paper/67125/en

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