The purpose of this paper is to empirically test and evaluate the possibility of using the traditional Capital Asset Pricing Model (CAPM) and the Modified Capital Asset Pricing Model (MCAPM) on Tehran Stock Exchange. Traditional CAPM SharpeLinter as one of the ways in which investors can help explain the risk and return on investment offered by CAPM model to models of different MCAPM suggested by the Santosh Koirala [11].Therefore, to achieve the desired objective, the research models using monthly returns of firm 96 (2009 to 2015) and test based on index of cash and capital gain returns. The results indicate that the explanatory power MCAPM more about stock returns compared to traditional CAPM in the Tehran Stock Exchange.
کلید واژگان :Market Return. Stock Return. Pricing Model.
ارزش ریالی : 300000 ریال
با پرداخت الکترونیک
جزئیات مقاله
- کد شناسه : 3151912889289424
- سال انتشار : 2017
- نوع مقاله : پذیرفته شده در سایر مجلات علمی معتبر و علمی مروری و ISC
- زبان : انگلیسی
- محل پذیرش : Journal of Applied Research on Industrial Engineering
- برگزار کنندگان :
- ISSN :
- تاریخ ثبت : 1396/12/01 15:44:52
- ثبت کننده : میثم کاویانی
- تعداد بازدید : 208
- تعداد فروش : 0