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...
Ausführliche Beschreibung
Autor*in: |
Reza Raei [verfasserIn] Mahdi Asima [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Persisch |
Erschienen: |
2017 |
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Schlagwörter: |
asymmetry conditional heteroscedasticity |
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Übergeordnetes Werk: |
In: تحقیقات مالی - University of Tehran, 2020, 19(2017), 4, Seite 505-520 |
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Übergeordnetes Werk: |
volume:19 ; year:2017 ; number:4 ; pages:505-520 |
Links: |
Link aufrufen |
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DOI / URN: |
10.22059/frj.2018.98551.1005730 |
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Katalog-ID: |
DOAJ001424041 |
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10.22059/frj.2018.98551.1005730 doi (DE-627)DOAJ001424041 (DE-599)DOAJe48b127b5cd04e79a36e33f43afda0c3 DE-627 ger DE-627 rakwb per HG1-9999 Reza Raei verfasserin aut 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 2017 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier <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 /< asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity Finance Mahdi Asima verfasserin aut In تحقیقات مالی University of Tehran, 2020 19(2017), 4, Seite 505-520 (DE-627)605217483 (DE-600)2506021-1 24235377 nnns volume:19 year:2017 number:4 pages:505-520 https://doi.org/10.22059/frj.2018.98551.1005730 kostenfrei https://doaj.org/article/e48b127b5cd04e79a36e33f43afda0c3 kostenfrei https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf kostenfrei https://doaj.org/toc/1024-8153 Journal toc kostenfrei https://doaj.org/toc/2423-5377 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 19 2017 4 505-520 |
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10.22059/frj.2018.98551.1005730 doi (DE-627)DOAJ001424041 (DE-599)DOAJe48b127b5cd04e79a36e33f43afda0c3 DE-627 ger DE-627 rakwb per HG1-9999 Reza Raei verfasserin aut 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 2017 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier <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 /< asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity Finance Mahdi Asima verfasserin aut In تحقیقات مالی University of Tehran, 2020 19(2017), 4, Seite 505-520 (DE-627)605217483 (DE-600)2506021-1 24235377 nnns volume:19 year:2017 number:4 pages:505-520 https://doi.org/10.22059/frj.2018.98551.1005730 kostenfrei https://doaj.org/article/e48b127b5cd04e79a36e33f43afda0c3 kostenfrei https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf kostenfrei https://doaj.org/toc/1024-8153 Journal toc kostenfrei https://doaj.org/toc/2423-5377 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 19 2017 4 505-520 |
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10.22059/frj.2018.98551.1005730 doi (DE-627)DOAJ001424041 (DE-599)DOAJe48b127b5cd04e79a36e33f43afda0c3 DE-627 ger DE-627 rakwb per HG1-9999 Reza Raei verfasserin aut 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 2017 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier <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 /< asymmetry conditional heteroscedasticity auto regressive conditionally heteroscedastic (arch) capital asset pricing model investment symmetry conditional heteroscedasticity Finance Mahdi Asima verfasserin aut In تحقیقات مالی University of Tehran, 2020 19(2017), 4, Seite 505-520 (DE-627)605217483 (DE-600)2506021-1 24235377 nnns volume:19 year:2017 number:4 pages:505-520 https://doi.org/10.22059/frj.2018.98551.1005730 kostenfrei https://doaj.org/article/e48b127b5cd04e79a36e33f43afda0c3 kostenfrei https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdf kostenfrei https://doaj.org/toc/1024-8153 Journal toc kostenfrei https://doaj.org/toc/2423-5377 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 19 2017 4 505-520 |
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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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<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 /< |
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<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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