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.

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.

The capital asset pricing model is based on the assumption of the normal distribution of asset returns. However, many studies have challenged the assumption of the normal distribution of returns and subsequently, by adding higher momentto model development. Also, in examining the effect of higher moments real returns instead of expected returns is used, also because the capital asset pricingmodel assumes investors' preferences and the asset return distribution is stablethe Conditional relationship between returns and these moments is examination. Therefore, the purpose of this study is to examine the empirical effects of the third and fourth systematic moments on the minimum rate of expected return on investment in in a Conditional way. The research sample includes 195 companies accepted in Tehran Stock Exchange from 2004 to 2016. In order to study the effect of the third and fourth systematic moments, the Fama Macbeth method (1973) has been used. Evidence suggests that in the whole study period, the effect of skewness was systematically negative, and systematic kurtosishas not been effective on the expected minimum expected return rate. In the bullish market, the systematic skewness has a direct effect of reversal and systematic elongation, and in the downside, both reversed the effect.

The capital asset pricing model has been one of the most prevalent models in assessing investors’ expected rate of return. Provided that it is likely that the residuals of the estimated regression of this model resemble Conditional heteroscedasticity, this paper aims to test the predictive power of standard CAPM and CAPM based on symmetric and asymmetric Conditional heteroscedasticity. For this purpose, the expected returns during the time period of the research have been estimated based on three existing models. The findings were compared with obtained returns and mean squared error index was utilized for measurement of the predictive power of those models. The models were compared using Diebold-Mariano test on mean squared error index. The findings indicated that, with respect to the CAPM model, the consideration of the Conditional heteroscedasticity (symmetric and asymmetric) can stimulate predictive power of the obtained return.

A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models. So, we compared single-factor, FF three-factor and five-factor CAPM concerning agency and direct investment using the data obtained from Tehran Stock Exchange from 2009 to 2016. To test the capital asset pricing models, two methods of zero Alpha of time series models (using GRS statistics) and Beta pricing (based on Fama-Macbeth test) were used. The results of Fama-Macbeth test showed that all the capital asset pricing model, three-factor and five-Factor model of Fama & French would yield better results in agency conditions compared to the direct conditions.

The main objective of this research is the introduction of Conditional downside capital asset pricing model which is the consolidation of Conditional asset pricing model and downside capital asset pricing model.this model suggests that for the explanation of the relationship between the risk and the expected investors return its necessary to pay attention to the mere risk, and in all aspects this model indicate the relationship among risk, return and market risk elimination. it is supposed that an investor receive return in accordance with the risk it tolerate in the polar market, but at the unsymmetrical market, this assumption is not complete, however obtaining return is the identical assumption in both markets.thus several model are available for the calculation of the expected return ratio, that the presented model here has much more power in comparison with other current models with the help of pierson and spierman correlation tests, the relationship between the following variable is examined: traditional β, downside β, capital asset pricing model, downside capital asset pricing mode, Conditional downside capital asset pricing model.