EXPLANATION OF CAPITAL ASSET PRICING: COMPARISON BETWEEN MODELS

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RAHNAMAYE ROODPOSHTI FEREYDOON; AMIR HOSSEINI ZAHRA

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Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2011 | Volume:17 | Issue:62 Page(s): 49-68

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Title

EXPLANATION OF CAPITAL ASSET PRICING: COMPARISON BETWEEN MODELS

Author(s)

RAHNAMAYE ROODPOSHTI FEREYDOON | AMIR HOSSEINI ZAHRA | Issue Writer Certificate

Keywords

RISKQ3

RETURNQ3

DEGREE OF ECONOMIC LEVERAGEQ3

REVISED CAPITAL ASSET PRICING MODELQ2

Abstract

In this paper, we will intend to introduce a new model of capital asset pricing model which is called REVISED CAPITAL ASSET PRICING MODEL. First we calculate DEGREE OF ECONOMIC LEVERAGE. We investigate five economical variables (Inflation rate, financial expenditure, unemployment rate, exchange rate and export) for calculating DEL. Then by combining Capital Assets Pricing Model with leverages (financial, operational and economic leverages), we found a new model which in title Revised CAPM (R-CAPM) and compared the model with traditional CAPM, Downside capital asset pricing model and Adjusted capital asset pricing model.We compared these models through experimental testing, for the case of 67 firms listed on the stock exchange of Iran for the period 2000-2007. For testing the research hypotheses, liner regression, Friedman and Wilcoxon Test is used. After theoretical conceptual studies, it was confirmed that there is a meaningful difference between measures of the R-CAPM expected RETURN and the other models expected RETURN. The best model which can use for predicting expected RETURN in Iran stock exchange market is R-CAPM.

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APA: Copy

RAHNAMAYE ROODPOSHTI, FEREYDOON, & AMIR HOSSEINI, ZAHRA. (2011). EXPLANATION OF CAPITAL ASSET PRICING: COMPARISON BETWEEN MODELS. THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 17(62), 49-68. SID. https://sid.ir/paper/8324/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI FEREYDOON, AMIR HOSSEINI ZAHRA. EXPLANATION OF CAPITAL ASSET PRICING: COMPARISON BETWEEN MODELS. THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2011;17(62):49-68. Available from: https://sid.ir/paper/8324/en

IEEE: Copy

FEREYDOON RAHNAMAYE ROODPOSHTI, and ZAHRA AMIR HOSSEINI, “EXPLANATION OF CAPITAL ASSET PRICING: COMPARISON BETWEEN MODELS,” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 17, no. 62, pp. 49–68, 2011, [Online]. Available: https://sid.ir/paper/8324/en

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