بررسي توان توضيح دهندگي CAPM در مقايسه با DCAPM

Investigation of CAPM explanatory ability in comparison with DCAPM

هدف اين مقاله، مقايسه توان توضيح‌دهندگي CAPM1 در مقابل DCAPM 2 مي‌باشد. در اين مقاله با استفاده از داده‌هاي ماهانه مشتمل بر 95 شركت در بازه زماني 1380 تا 1389 در بورس اوراق‌بهادار تهران از طريق برخي معيارهاي ريسك مطلوب و نامطلوب شامل بتا و انحراف‌معيار، به بررسي اين موضوع مي‌پردازيم. نتايج نشان مي‌دهد هرچند بازده موردانتظار محاسبه شده با معيار بتاي نامطلوب نسبت به بازده مورد انتظار محاسبه شده با معيار بتا، بازده واقعي را بهتر تشريح مي‌كند، ليكن شواهد محكمي مبني بر برتري معني‌دار معيارهاي نامطلوب نسبت به معيارهاي مطلوب بدست نيامد. همچنين شواهدي مبني بر برتري بازده پرتفوي با بتاي نامطلوب بالا نسبت به پرتفوي با بتاي نامطلوب پايين، مشاهده نشد.

The effort for explaining the relationship between risk and return has a long history in finance. One of the most common models in this field is capital asset pricing model. Most of finance models, including CAPM, are based on the existence assumption of the Mean Variance Behavior, while most of studies have shown that investors are risk neutral for returns which are more than expected returns and risk averse for upper risks and in their utility function loss is more important than benefit. According to this, the purpose of this research is to compare the CAPM explanatory ability with DCAPM. In DCAPM model beta is modified by downside risk and the expected return is estimated by using that. This research examines the subject by monthly data gathered from 95 companies from 2001 to 2010 in Tehran Stock Exchange, and by using some upside and downside risk measures such as beta and standard deviation. The results show that although the expected return calculated with downside beta can better describe the real return than the expected return calculated with beta, there is no strong evidence for superiority of the downside measures against upside measures. Also, there is no evidence to prove the superiority of portfolio with high downside beta against portfolio with lower downside beta.