خلاصة:
This research introduces a new model of asset pricing called the Revised Capital Asset Pricing Model (R-CAPM). For this purpose, first, the degree of economic leverage, i.e., the effects of economic shocks including five macroeconomic variables such as inflation rate, exchange rate, unemployment rate, exports, and financial costs, are measured on company sales, and through this, the sensitivity coefficient beta is calculated. Then, by obtaining the Revised Capital Asset Pricing Model, the expected return is calculated realistically, then predicted, and to measure the explanatory power of this model, it is compared with other pricing models including the Capital Asset Pricing Model, the Reduced Capital Asset Pricing Model, and the Adjusted Capital Asset Pricing Model for 67 companies listed on the Tehran Stock Exchange over an 8-year period. Data is analyzed using correlation analysis, regression, and tests such as Friedman and Wilcoxon. The results of the research indicate that the Revised Capital Asset Pricing Model, considering the conditions prevailing in our society, has higher explanatory power in predicting risk and return compared to other pricing methods.
ملخص الجهاز:
The results of the research indicate that the Revised Capital Asset Pricing Model, considering the prevailing conditions in our society, has a higher explanatory power in predicting risk and return compared to other pricing methods.
Revised Capital Asset Pricing Model, Degree of Economic Leverage, Risk, Return Associate Professor of Business Administration, Islamic Azad University, Science and Research Branch, Tehran, Iran.
Therefore, investigating and explaining the degree of economic leverage for risk assessment and comparing it with other risk assessment methods and its relationship with the return of shares of companies accepted in the Tehran Stock Exchange, as well as explaining capital asset pricing models, are the objectives and subject of this research.
In a study conducted by Sadeghi Sharif, titled "Explaining the Conditional Capital Asset Pricing Model in the Tehran Stock Exchange", the impact of risk on expected return in upward and downward markets was investigated.
[4] Research Hypotheses Hypothesis One: The expected risk calculated using the revised capital asset pricing method has a significantly positive difference compared to the risk calculated through CAPM, D-CAPM and A-CAPM, and has higher explanatory power.
Results of the Friedman rank test for comparing deviations of risk calculation methods Calculation Methods Average Rank Revised Capital Asset Pricing Model with Export Variable 2.
The result of the Friedman rank test for comparing the deviations of return calculation methods Calculation methods Average rank Revised Capital Asset Pricing Model with export variable 2.
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