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Paper Information

Journal:   TAHGHIGHAT-E-EGHTESADI   WINTER 2010 , Volume 44 , Number 89; Page(s) 1 To 32.
 
Paper: 

ESTIMATING RELATIONSHIP BETWEEN SYSTEMATIC RISK (BETA) AND EXPECTED RETURNS OF FOUR AGGREGATE ASSETS IN IRANIAN ECONOMY

 
 
Author(s):  HEYDARI HOSSEIN, TAVAKOLI BAGHDADABAD M.R., REZAEI JAVAD*
 
* 
 
Abstract: 

The capital asset pricing model (CAPM) is an equilibrium model for explaining the relationship between risk and returns of individual assets. In other words, the CAPM shows that how assets are priced according to their risk. CAPM is based on the assumption that investors are finding the efficient portfolio act in such a way that the efficient portfolio theory explains and their choices of the portfolio are based on their degree of risk aversion. Up to now, most studies based on CAPM theory in Iran and other countries are in individual asset levels, or at most, in a basket of several company stocks that are a subset of the market indices. There are not enough researches based on CAPM in aggregate level assets. In this paper, we have tried to assess the systematic risk of four aggregate assets in Iranian economy and its relationship with their expected returns. The assets are housing and real estate, gold, stock, and foreign exchange.

 
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