آیا بتای زمان‌متغیر، قیمت‌گذاری دارایی را بهبود می‌بخشد؟ شواهدی از بورس تهران

نوع مقاله: کاربردی

نویسندگان

1 دانشجوی دکترای مالی، بانکداری، دانشکدة مدیریت، دانشگاه تهران، تهران، ایران

2 کارشناسی ارشد مهندسی مالی، دانشکدة مدیریت، دانشگاه تهران، تهران، ایران

چکیده

مدل قیمت‌گذاری دارایی سرمایه‌ای یکی از مدل‌های متداول در برآورد نرخ بازدة مورد انتظار است. در مدل یک دوره‌ای CAPM استاندارد، فرض می‌شود سرمایه‌گذاران انتظارات همگن در خصوص بازده، ریسک و کواریانس بین دارایی‌ها دارند، از این‌رو در این مدل ضریب بتا ثابت است. در حالی‌که در بازارهای مالی این امکان وجود دارد که با تغییر شرایط اقتصادی، هزینه-منفعت سرمایه‌گذاران در خصوص بازده و ریسک تغییر کند و در نتیجه بتا در طول زمان متغیر باشد، از مدل آستانه‌ای برای برآورد بتای زمان متغیر استفاده شده است. در این پژوهش سعی شده در بازۀ زمانی 1385 تا 1394 قدرت پیش‌بینی مدل CAPM آستانه‌ای و مدل CAPM استاندارد در بورس اوراق بهادار تهران آزمون شود. بدین منظور بازدة مورد انتظار بر اساس دو مدل یاد شده برآورد و نتایج با بازدة تحقق‌یافته مقایسه شد و از شاخص میانگین قدرمطلق درصد خطا برای سنجش قدرت پیش‌بینی مدل‌های پژوهش‌ استفاده شد. با استفاده از آزمون دایبولد-ماریانو بر روی شاخص میانگین قدرمطلق درصد خطای مدل‌های پژوهش با یکدیگر مقایسه شده‌اند. نتایج نشان می‌دهد در نظرگرفتن مدل آستانه‌ای باعث افزایش قدرت پیش‌بینی بازدة تحقق‌یافته با استفاده از مدل قیمت‌گذاری دارایی سرمایه‌ای می‌شود.
JEL: C22, G12
نحوه استناد به این مقاله : آسیما، م.، و علی عباس‌زاده اصل، ا. (1396). آیا بتای زمان‌متغیر، قیمت‌گذاری دارایی را بهبود می‌بخشد؟ شواهدی از بورس تهران. فصلنامة مدلسازی ریسک و مهندسی مالی، 2(2)، 263-277.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE

نویسندگان [English]

  • mahdi asima 1
  • amir ali abbaszade asl 2
1 PhD. Candidate, Banking Finance, Faculty of Management, University of Tehran, Iran
2 MSc, Financial Engineering, Faculty of Management, University of Tehran, Iran
چکیده [English]

Capital asset pricing model (CAPM) has been among the common models to estimate expected rate of return. Single-period standard capital asset pricing model assumes that investors have homogeneous expectations regarding return, risk and covariance of assets, therefore, the coefficient beta is constant. Because of changes in economic conditions, it is possible to revolve trade-off of investors in terms of return and risk in financial markets and beta was time-varying. Hence, threshold model has been used to estimate time-varying beta.Therefore, in this study, predictive power of the threshold CAPM and standard CAPM in Tehran Stock Exchange in the period from 2006 to 2015 has been tested. For this purpose, expected returns has estimated with regard to two abovementioned models during period of the study and the results have compared with realized returns. Mean absolute percentage error and especially Diebold-Mariano test are used to measure predictive power of the models. The results indicate that using threshold capital asset pricing model significantlyincreases predictive power of realized returns.
JEL: C22, G12
How to cite this paper: Asima, M., & Ali Abbaszadeh Asl, A. (2017). Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE. Quarterly Journal of Risk Modeling and Financial Engineering, 2(2), 263–277. (In Persian)

کلیدواژه‌ها [English]

  • Time-Varying Beta
  • Threshold regression
  • Linear Capital Asset Pricing Model
  • Nonlinear Capital Asset Pricing Model

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