D-CAPM and RD-CAPM in Return Anticipation at Tehran Stock Exchange
نویسندگان
چکیده
منابع مشابه
A Test of CAPM on the Karachi Stock Exchange
This study investigates the applicability of the CAPM in explaining the cross section of stock return on the Karachi Stock Exchange for the period September 1992 to April 2006. Unlike earlier studies on emerging markets this study is carried out with a broader scope. Firstly, the tests are conducted on individual stocks as well as size sorted portfolios and industry portfolios. Secondly, the te...
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Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...
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For over 30 years academics and practitioners have been debating about the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the variance of returns, a questionable and restrictive measure of risk. The semivariance of returns is...
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ژورنال
عنوان ژورنال: International Journal of Business and Management
سال: 2012
ISSN: 1833-8119,1833-3850
DOI: 10.5539/ijbm.v7n11p87