CAPM model for stock selection in Tehran Stock Exchange

mohammad mahdi keianpoor¹ ali dehghani²

1) Department of Management,Shahrood Science and Research Branch, Islamic Azad University,Shahrood, Iran
2) Assistant Professor, Department of Industrial Engineering and Management, University of Shahrood, Shahrood, Iran

Publication : International Conference On Research Science And Technology(rstconf.com)
Abstract :
In the past 20 years, the use of quantitative techniques in financial investment industry has increased dramatically. The first application of these models in the risk management and risk measurement models are different sources. In this study, the CAPM model for stock selection in Tehran Stock Exchange. In this regard, the expected rate of return used to calculate the capital asset pricing model and the actual return on a portfolio basis, portfolio risk and performance compared to market indices portfolios are discussed. To test the hypothesis of time series of monthly, quarterly and annual use. Statistical methods for testing hypotheses, simple linear regression, bivariate regression, the Durbin-Watson statistic and Kolmogorov-Smirnov test charts and graphs PP PLOT Askatr (homogeneity of variances) is used.
Keywords : expected return real return variance risk portfolio