بررسي عملكرد مدل هاي Adj-CAPMو APT در پيش بيني بازده مورد انتظار سهام

A study of APT and Adj-CAPM Models for Forecasting Expected Return

The question in a Securities of Iran is which one of models of pricing have better and more precise result in financial science for pricing stocks of company. In this research the expected return will be explaining in Adj-CAPM on the basis of liquidity and in APT on the basis of set of risk«price of oil, price of gold, inflation, and rate of foreign exchange, rate of interest and index of stock exchange». The main purpose of this research is the examination of ability explaining Arbitrage pricing theory and Liquidity adjusted capital assets pricing model. For this purpose, first, the Betas have been computed, and then according to betas, expected return of two models will be computed. Therefore by using Regression Analyzing and Pearson Correlation we will reach to this result that Arbitrage Pricing Theory has more performance and ability than Adjusted Capital Asset Pricing Model.