Comparative analysis of sensitivity coefficient using traditional beta of CAPM and downside beta of D-CAPM in automobile manufacturing companies

The main purpose of this research was to compare the two widely-used pricing models, capital asset pricing model (CAPM) and downside capital asset pricing model (D-CAPM), in the automobile manufacturing industry so as to suggest more suitable model that can be used to estimate the expected return rate in such industries. The comparison was made through defining four hypotheses each focusing on the risk premium correlation rate as an independent variable with the expected return in the two models, CAPM traditional beta and D-CAPM downside beta, the expected return rate of the two models, and finally the deviation rate of the expected return from the realized return in both models. The statistical results of testing the hypotheses proved the superiority of D-CAPM over CAPM to determine the expected return rate in automobile manufacturing companies.