TESTING CAPITAL ASSET PRICING MODEL BASED ON EXOGENOUS INFORMATION ASSUMPTIONS IN TSE

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ROSTAMI MOHAMMADREZA; BEYKZADEH LEYLA; AZHDARI FATEMEH

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2016 | Volume:7 | Issue:27 Page(s): 87-113

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Title

TESTING CAPITAL ASSET PRICING MODEL BASED ON EXOGENOUS INFORMATION ASSUMPTIONS IN TSE

Author(s)

ROSTAMI MOHAMMADREZA | BEYKZADEH LEYLA | AZHDARI FATEMEH | Issue Writer Certificate

Keywords

ASSISTANT PROFESSOR OF FINANCE ALZAHRA UNIVERSITY

TEHRAN

IRAN

Abstract

This research conducts a survey on the application of endogenous information for equilibrium pricing of assets and selecting optimum portfolio.Literatures in this research is based on Admati’s linear logical expectations equilibrium theory.Not like traditional paradigm of asset pricing and logical expectations, this research first surveys the correlation between prices and future returns of price conditioned portfolios. then we compare the performance of price conditioned portfolios with buy and hold portfolios during 1381-1391.Results shows that there is a significant positive correlations between relative Prices and monthly returns. Also results show that price – conditioned strategy performs better than buy and hold strategy.

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APA: Copy

ROSTAMI, MOHAMMADREZA, BEYKZADEH, LEYLA, & AZHDARI, FATEMEH. (2016). TESTING CAPITAL ASSET PRICING MODEL BASED ON EXOGENOUS INFORMATION ASSUMPTIONS IN TSE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 7(27), 87-113. SID. https://sid.ir/paper/684728/en

Vancouver: Copy

ROSTAMI MOHAMMADREZA, BEYKZADEH LEYLA, AZHDARI FATEMEH. TESTING CAPITAL ASSET PRICING MODEL BASED ON EXOGENOUS INFORMATION ASSUMPTIONS IN TSE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2016;7(27):87-113. Available from: https://sid.ir/paper/684728/en

IEEE: Copy

MOHAMMADREZA ROSTAMI, LEYLA BEYKZADEH, and FATEMEH AZHDARI, “TESTING CAPITAL ASSET PRICING MODEL BASED ON EXOGENOUS INFORMATION ASSUMPTIONS IN TSE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 7, no. 27, pp. 87–113, 2016, [Online]. Available: https://sid.ir/paper/684728/en

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