D-CAPM and RD-CAPM in Return Anticipation at Tehran Stock Exchange

Hamidreza Kordlouie, Narges Bakhtiari Haftlang, Amir Dehghani


From longtime ago, capital market has been engaged in decision-making about providing an optimum
high-quality portfolio. Investors were always seeking a logical data base for correct dicision-making about shares.
In recent years, Capital Assets Pricing Models (CAPM) have been broadly used to estimate securities return
logically. In this research, anticipation power of Downside CAPM (D-CAPM) and Revised Downside CAPM
(RD-CAPM) models to estimate destination year return (DYR) was examined. D-CAPM is a developed type of
CAPM that anticipates DYR according to past data and systematic risks of company. In contrast, RD-CAPM
additionally applies non-systematic risk in frame of financial and operational levers in its mathematical structure
to anticipate DYR more precisely. Finally, we compare these two models in Tehran Stock Exchange for a period
of eight years (2001-2009) to anticipate return of companies in destination year.

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DOI: https://doi.org/10.5539/ijbm.v7n11p87

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