Estimating the capital asset pricing model based on Tobin's minimum rate of return

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 ۳۲ companies listed on the Tehran Stock Exchange, which were selected through multi-stage sampling, has been collected from ۲۰۰۶ to ۲۰۱۰, 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.

کلیدواژه ها:

Tobin minimum rate of return ، Tobin model ، Panel Data ، Critical interest rate ، Capital asset pricing model