TY  - JOUR
T1  - Explanation of CAPM Model for Industry’s Portfolios in the Tehran Stock Exchange
AU - Heidarpour, Ali AU - Heidari, Hassan 
JO  - International Business Management
VL  - 10
IS  - 19
SP  - 4498
EP  - 4505
PY  - 2016
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2016.4498.4505
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2016.4498.4505
KW  - Systematic risk
KW  -CAPM
KW  -DBEKK GARCH
KW  -shwert
KW  -seguin
KW  -time-varying
AB  - 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.
ER  -