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Paper Information

Journal:   JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY   Spring 2003 , Volume 19 , Number 2 (38); Page(s) 41 To 53.
 
Paper: 

THE CAPITAL ASSET PRICING MODEL (CAPM): AN EMPIRICAL RESEARCH IN TEHRAN STOCK EXCHANGE

 
 
Author(s):  ZARIFFARD A., GHAEMI M.H.
 
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Abstract: 

Empirical evidence on capital market shows the pricing of securities is in such a way that by considering a long-term investment horizon, accepting more risks leads to a higher rate of return.

One of the common models to illustrate the relation between risk and return is Capital Asset Pricing Model (CAPM). In this article, while reviewing the theoretical framework of the model and related empirical tests the simple positive linear relationship between systematic risk and return on common stock at Tehran stock exchange (TSE) was tested. Data on stock returns of sample companies and the market for the period of Farvardin 1370 to Shahrivar 1375 were collected and analyzed. The results show that the companies stock return changes cannot be explained merely by systematic risk.

 
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References: 
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