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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Gespeichert in:

Autor*in:	Reza Raei [verfasserIn] Mahdi Asima [verfasserIn]

Format:	E-Artikel
Sprache:	Persisch

Erschienen:	2017

Schlagwörter:	asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity

Übergeordnetes Werk:	In: تحقیقات مالی - University of Tehran, 2020, 19(2017), 4, Seite 505-520
Übergeordnetes Werk:	volume:19 ; year:2017 ; number:4 ; pages:505-520

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc Journal toc

DOI / URN:	10.22059/frj.2018.98551.1005730

Katalog-ID:	DOAJ001424041

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callnumber-first	H - Social Science
author	Reza Raei
spellingShingle	Reza Raei misc HG1-9999 misc asymmetry conditional heteroscedasticity misc auto regressive conditionally heteroscedastic (arch) misc capital asset pricing model misc investment misc symmetry conditional heteroscedasticity misc Finance 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
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topic_title	HG1-9999 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 asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity
topic	misc HG1-9999 misc asymmetry conditional heteroscedasticity misc auto regressive conditionally heteroscedastic (arch) misc capital asset pricing model misc investment misc symmetry conditional heteroscedasticity misc Finance
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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
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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
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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
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title_auth	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
abstract	<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 /<
abstractGer	<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 /<
abstract_unstemmed	<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 /<
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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
url	https://doi.org/10.22059/frj.2018.98551.1005730 https://doaj.org/article/e48b127b5cd04e79a36e33f43afda0c3 https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf https://doaj.org/toc/1024-8153 https://doaj.org/toc/2423-5377
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up_date	2024-07-03T20:20:49.074Z
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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

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