International Business Management
ISSN: OnlineISSN: Print 1993-5250
Abstract
In order to modeling, estimating and making a comparative analysis of the behavior of CAPM Model’s Beta over time, for Industrial Portfolios in Tehran Stock Market, this study estimates and extends the traditional Capital Asset Pricing Model for industrial portfolios in Tehran Stock Market with DBEKK_GARCH and Shwert_Seguin Models by using daily data from 01.09.1997-22.09.2015. Findings of this study, like the results of researches in the developing and developed countries, show that estimated CAPM Model’s beta (known as systematic risk), for Industrial Portfolios is time-varying. Therefore, using the traditional Capital Asset Pricing Model with constant beta, may be not a good idea to modeling of systematic risk and forecasting the expected returns of capital assets as it may lead us to misleading results. Also findings show that the traditional CAPM and shwert seguin models have almost identical forecasting accuracy, though this accuracy is less than of the DBEKK GARCH Model’s accuracy. The estimated systematic risk (Beta coefficient) from DBEKK GARCH and Shwert Seguin Models, doesn’t show any trend over time.
How to cite this article:
Ali Heidarpour and Hassan Heidari. Explanation of CAPM Model for Industry’s Portfolios in the Tehran Stock Exchange.
DOI: https://doi.org/10.36478/ibm.2016.4498.4505
URL: https://www.makhillpublications.co/view-article/1993-5250/ibm.2016.4498.4505