پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 667 |
| تعداد مقالات | 9,708 |
| تعداد مشاهده مقاله | 69,166,896 |
| تعداد دریافت فایل اصل مقاله | 48,525,215 |
Estimating the capital asset pricing model based on Tobin's minimum rate of return | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 15 آبان 1404 اصل مقاله (367.91 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.36111.5347 | ||
| نویسندگان | ||
| Narges Rashidbeigi1؛ Mahmood Rahmani* 2؛ Farzad Moayeri3 | ||
| 1Department of Accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran | ||
| 2Department of Management, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran | ||
| 3Department of Economics, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran | ||
| تاریخ دریافت: 10 مهر 1403، تاریخ بازنگری: 05 دی 1403، تاریخ پذیرش: 05 دی 1403 | ||
| چکیده | ||
| This study aims to present a capital asset pricing model based on Tobin's minimum rate of return in the Iranian stock market. In research conducted in Iran, the bank deposit interest rate has been used as the risk-free interest rate to estimate the capital asset pricing model. Because this rate is determined arbitrarily in Iran, it is not an appropriate estimate of the macroeconomic, social, and political realities of society, and it is not considered a complete index for determining returns in the stock market. Therefore, in this study, Tobin's minimum rate of return has been used instead of the bank deposit interest rate to express the economic, social, and political reality of society. In this regard, information on 32 companies listed on the Tehran Stock Exchange, which were selected through multi-stage sampling, has been collected from 2006 to 2010, and with the panel data model, the monthly returns of the sample companies have been calculated and used as the basis for the tests. The results of the tests showed that the capital asset pricing model based on Tobin's minimum rate of return, compared to the CAPM method in different cases, has a more appropriate explanation of the stock return rate and the estimation of systematic risk in the Iranian stock market. | ||
| کلیدواژه‌ها | ||
| Tobin minimum rate of return؛ Tobin model؛ Panel data؛ Critical interest rate؛ Capital asset pricing model | ||
| مراجع | ||
|
[1] A. Zariffard and M.H. Ghaemi, The capital asset pricing model (CAPM): An empirical research in Tehran stock exchange, J. Soc. Sci. Human. Shiraz Univ. 19 (2003), no. 2, 41-53. [2] D. Andrei, J. Cujean, and M.L. Wilson, The Lost Capital Asset Pricing Model, 2021, Available at SSRN: https://ssrn.com/abstract=2922598. [3] A. Mohammadzadeh and M.N. Shahiki Tash, Investigation relationship between the macroeconomic markets and financial market using the conditional capital asset pricing model (Case study of Tehran Stock Exchange, Quart. J. Macro Strategic Policies 5 (2018), no. 20, 100-120. [In Persian] [4] W.H. Branson, Macroeconomic Theory and Policies, Harper & Row, New York, 1972. [5] S. Fallahpour, Sh. Mohammadi, and M. Sabunchi, Analysis of conditional capital asset pricing model with time variant beta using standard capital asset pricing model, J. Financ. Res. 20 (2018), no. 1, 17-32. [6] E.F. Fama and K.R. French, International tests of a five-factor asset pricing model, J. Financ. Econ. 123 (2017), no. 3, 441-463. [7] D.N. Gujrati, Basic Econometrics, McGraw-Hill, New York, 2002. [8] N. Jegadeesh, J. Noh, K. Pukthuanthong, R. Roll, and J. Wang, Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation, J. Financ. Econ. 133 (2019), no. 2, 273-298. [9] N. Mehregan and S.H. Ashrafzadeh, Panel Data Econometrics, First Edition, Cooperative Research Institute, University of Tehran, Tehran, 2008. [In Persian] [10] M. Vergara-Fernandez, C. Heilmann, and M. Szymanowska, Describing model relations: The case of the capital asset pricing model (CAPM) family in financial economics, Stud. History Phil.f Sci. 97 (2023), no. 1, 91-100. [11] V. Mojiabedzadeh and S. Emami, The comparison of capital assets pricing model (CAPM) and capital assets pricing model under inflation (CAPMUI), J. Financ. Account. Res. 2 (2010), no. 4, 109-124. [In Persian] [12] P. Chaudhary, Testing of three factor Fama-French model for India-US stock market, J. Commerce Account. Res. 6 (2017), no. 2, 18-29. [13] Q. Lin, Noisy prices and the Fama French five-factor asset pricing model in China, Emerg. Markets Rev. 31 (2017), no. 4, 141-163. [14] F. Rahnemaye Roud Poshti, F. Heybati, and Gh.R. Eslami Bidgoli, Investment Analysis and Portfolio Management and Financial Engineering (Completely Revised), Termeh Publishing, 2014. [In Persian] [15] N. Rashidbeigi, International Reserve Crises in the Banking Industry, Sokhanvaran, Tehran, 2016. [In Persian] [16] F.K. Riley and K.C. Brown, Investment Analysis of Portfolio Management, CITIC Pub. House, 2002. [17] A. Souri, Advanced Econometrics, Fourth Edition, Farhang Publishing, Tehran, 2015. [In Persian] [18] S. J. Tabibi, M. R. Maleki and B. Delgoshaei, Compilation of Dissertation, Thesis, Research Project and Scientific Article, Ferdows Publications, Mashhad, 2009. [In Persian] [19] A. Talaneh and A. Ghasemi, An empirical Test and comparison of CAPM and APT, J. Secur. Exchange 4 (2012), no. 14, 5-28. [20] R. Tehrani, Financial Management, Negah Danesh Publications, Tehran, 2018. [In Persian] | ||
|
آمار تعداد مشاهده مقاله: 3 تعداد دریافت فایل اصل مقاله: 2 |
||