Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

FALLAHPOUR SAEED; MOHAMMADI SHAPOUR; Sabunchi Mohammad

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL RESEARCH Year:2018 | Volume:20 | Issue:1 Page(s): 17-32

Download Full-Text

Persian Verion

View:

958

Download:

Cites:

Information Journal Paper

Title

Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model

Author(s)

FALLAHPOUR SAEED | MOHAMMADI SHAPOUR | Sabunchi Mohammad | Issue Writer Certificate

Keywords

Conditional capital asset pricing modelQ1

Multivariate GARCHQ1

Full rank BEKKQ1

InvestmentQ2

Diagonal BEKKQ1

Abstract

Objective: The aim of the present study is to analyze and test the power of Conditional capital asset pricing model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks. Methods: Using monthly data, beta value was estimated using standard CAPM and Multivariate GARCH methods for companies included in the statistical sample. Based on these two methods, the expected returns of the next year to test out-of-sample performance were calculated by eliminating 12 months from the top and adding 12 months from the bottom. The same process was repeated for the following years. Then, the accuracy of each of these models was examined using criteria MAE and MSE. Results: Using paired t-test and Diebold-Mariano test, we tested the research hypotheses and the results were presented based on MAE and MSE indices. The results showed that according to both criteria in MAE and MSE, the conditional CAPM models, whether based on Full rank BEKK or Diagonal BEKK, can have better performance than the standard CAPM model. Conclusion: Regarding the findings and better predictive power of conditional CAPM based on Full rank BEKK and/or Diagonal BEKK, in terms of MAE and MSE criteria, replacing the standard model with these models can result in higher accuracy.

Cites

No record.

References

No record.

Cite

APA: Copy

FALLAHPOUR, SAEED, MOHAMMADI, SHAPOUR, & Sabunchi, Mohammad. (2018). Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model. FINANCIAL RESEARCH, 20(1 ), 17-32. SID. https://sid.ir/paper/91179/en

Vancouver: Copy

FALLAHPOUR SAEED, MOHAMMADI SHAPOUR, Sabunchi Mohammad. Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model. FINANCIAL RESEARCH[Internet]. 2018;20(1 ):17-32. Available from: https://sid.ir/paper/91179/en

IEEE: Copy

SAEED FALLAHPOUR, SHAPOUR MOHAMMADI, and Mohammad Sabunchi, “Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model,” FINANCIAL RESEARCH, vol. 20, no. 1 , pp. 17–32, 2018, [Online]. Available: https://sid.ir/paper/91179/en

Related Journal Papers