Asset Pricing Models
Ebrahim Abbasi; Meysam Kaviani; Ebrahim Farbod
Abstract
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) in the Tehran Stock Exchange. Traditional CAPM by Sharpe-Linter (1965) as one of the ways in which investors can ...
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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) in the Tehran Stock Exchange. Traditional CAPM by Sharpe-Linter (1965) 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 (2015).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.
Case studies in industry and services
Seyed Fakhreddin Fakhrehosseini; Meysam Kaviani
Abstract
The expansion of production and development in the industrial sector is due to increase the investment on the activity of this sector. On one hand limits of the financial resources to the investment and high risk of investments in industrial and production activities, and by the other hand, the frequency ...
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The expansion of production and development in the industrial sector is due to increase the investment on the activity of this sector. On one hand limits of the financial resources to the investment and high risk of investments in industrial and production activities, and by the other hand, the frequency of necessities and goals is inevitable to planning and priorities of investment. This study wants to provide optimize pattern by attention to the condition of risk and uncertainty and fluctuations in supply and demand market of industry, to determine priorities and economics feasibility to the investment in this sector. This study will examine its purpose in three scenarios (optimistic, pessimistic and uncertain market). The model used in this study is a fuzzy multi-criteria decision method. This research has been made for Mazandaran Province from 2005 to 2010. The results of this research involve the investment criteria and specify the priority of these sectors. The final results of this study indicate that in conductions of uncertainty and volatility of market, the current pattern of investment in the industrial sector was not optimal and needs to be adjusted in the percentages and amounts of investment.
