Testing the Traditional CAPM and MCAPM on Tehran Stock Exchange

The purpose of this paper is to empirically test and evaluate the possibility of using the traditional Capital Asset Pricing Model (CAPM) and the Modified Capital Asset Pricing Model (MCAPM) in the Tehran Stock Exchange. Traditional CAPM by Sharpe-Linter (۱۹۶۵) as one of the ways in which investors can help explain the risk and return on investment offered by CAPM model to models of different MCAPM suggested by the Santosh Koirala (۲۰۱۵).Therefore, to achieve the desired objective, the research models using monthly returns of firm ۹۶ (۲۰۰۹ to ۲۰۱۵) and test based on index of cash and capital gain returns. The results indicate that the explanatory power MCAPM more about stock returns compared to traditional CAPM in the Tehran Stock Exchange.

کلیدواژه ها:

Market Return ، Stock Return ، Pricing Model