A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange
<span style="font-family: Times New Roman; font-size: small;">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 co...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2017-12-01
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| Series: | تحقیقات مالی |
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| Online Access: | https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf |
| _version_ | 1819069129135489024 |
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| author | Reza Raei Mahdi Asima |
| author_facet | Reza Raei Mahdi Asima |
| author_sort | Reza Raei |
| collection | DOAJ |
| description | <span style="font-family: Times New Roman; font-size: small;">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.</span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /> <br /> |
| first_indexed | 2024-12-21T16:45:08Z |
| format | Article |
| id | doaj.art-e48b127b5cd04e79a36e33f43afda0c3 |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-21T16:45:08Z |
| publishDate | 2017-12-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-e48b127b5cd04e79a36e33f43afda0c32022-12-21T18:57:00ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772017-12-0119450552010.22059/frj.2018.98551.100573066705A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock ExchangeReza Raei0Mahdi Asima1. Prof., Financial Management, Faculty of Management, Tehran University, Tehran, IranPh.D. Student, Finance-Banking, Faculty of Management, Tehran University, Tehran, Iran<span style="font-family: Times New Roman; font-size: small;">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.</span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /> <br />https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdfasymmetry conditional heteroscedasticityauto regressive conditionally heteroscedastic (arch)capital asset pricing modelinvestmentsymmetry conditional heteroscedasticity |
| spellingShingle | Reza Raei Mahdi Asima A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange تحقیقات مالی asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity |
| title | A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange |
| title_full | A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange |
| title_fullStr | A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange |
| title_full_unstemmed | A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange |
| title_short | A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange |
| title_sort | comparison between the performance of standard capital asset pricing model and capital asset pricing model based on symmetric and asymmetric conditional heteroscedasticity in tehran stock exchange |
| topic | asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity |
| url | https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf |
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