بررسي رابطه ي بين نرخ بازده مورد انتظار و ريسك نظام مند (بتا) در چهار طبقه ي دارايي عمده در اقتصاد ايران

Estimating Relationship between Systematic Risk (Beta) and Expected Returns of Four Aggregate Assets in Iranian Economy

The capital asset pricing model (CAPM) is an equilibrium model for explaining the relationship between risk and returns of individual assets. In other words, the CAPM shows that how assets are priced according to their risk. CAPM is based on the assumption that investors is finding the efficient portfolio act in such a way that the efficient portfolio theory explains and their choices of the portfolio are based on their degree of risk aversion. Up to now, most studies based on CAPM theory in Iran and other countries are in in dividual asset levels, or at most, in a basket of several company stocks that are a subset of the market indices. There are not enough researches based on CAPM in aggregate level assets. In this paper, we have tried to asses the systematic risk of four aggregate assets in Iranian economy and its relationship with their expected returns. The assets are housing and real estate, gold, stock, and foreign exchange. JEL Classification: G12, G32, E44