Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns
he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables as...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2017-12-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| Subjects: | |
| Online Access: | https://jiee.atu.ac.ir/article_9048_bda94c09baff2318cbef7f5df175f34a.pdf |
| _version_ | 1797369226861740032 |
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| author | Reza talebloo Hossein Sheikhi |
| author_facet | Reza talebloo Hossein Sheikhi |
| author_sort | Reza talebloo |
| collection | DOAJ |
| description | he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables as risk factors in the period 1395-1386 were used. First, the CAPM was tested using the GRS test and then by Fama and Macbeth tests. Then, the factor model for the APT test was using factors including real exchange rate, total stock returns, oil returns, yields of the price index Chemical and petrochemical products, risk-free returns, inflation rate, asset risk, GDP volatility, SMB, and sanction factor. |
| first_indexed | 2024-03-08T17:43:34Z |
| format | Article |
| id | doaj.art-246d0029586e4b1caa66d70414f6857a |
| institution | Directory Open Access Journal |
| issn | 2423-5954 2476-6437 |
| language | fas |
| last_indexed | 2024-03-08T17:43:34Z |
| publishDate | 2017-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-246d0029586e4b1caa66d70414f6857a2024-01-02T10:48:22ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372017-12-01725619410.22054/jiee.2018.90489048Financial asset pricing test in chemical and petrochemical companies: Compare Factor PatternsReza talebloo0Hossein Sheikhi1Assistant Professor And the faculty member of the Theoretical Economics Department Faculty of Economics Allameh Tabataba'i Universityدانشگاه علامه طباطباییhe purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables as risk factors in the period 1395-1386 were used. First, the CAPM was tested using the GRS test and then by Fama and Macbeth tests. Then, the factor model for the APT test was using factors including real exchange rate, total stock returns, oil returns, yields of the price index Chemical and petrochemical products, risk-free returns, inflation rate, asset risk, GDP volatility, SMB, and sanction factor.https://jiee.atu.ac.ir/article_9048_bda94c09baff2318cbef7f5df175f34a.pdfaptcapmgrs |
| spellingShingle | Reza talebloo Hossein Sheikhi Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān apt capm grs |
| title | Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns |
| title_full | Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns |
| title_fullStr | Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns |
| title_full_unstemmed | Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns |
| title_short | Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns |
| title_sort | financial asset pricing test in chemical and petrochemical companies compare factor patterns |
| topic | apt capm grs |
| url | https://jiee.atu.ac.ir/article_9048_bda94c09baff2318cbef7f5df175f34a.pdf |
| work_keys_str_mv | AT rezatalebloo financialassetpricingtestinchemicalandpetrochemicalcompaniescomparefactorpatterns AT hosseinsheikhi financialassetpricingtestinchemicalandpetrochemicalcompaniescomparefactorpatterns |