%0 Journal Article
%T D-CAPM and RD-CAPM in Return Anticipation at Tehran Stock Exchange
%A Hamidreza Kordlouie
%A Narges Bakhtiari Haftlang
%A Amir Dehghani
%J International Journal of Business and Management
%D 2012
%I 
%R 10.5539/ijbm.v7n11p87
%X From longtime ago, capital market has been engaged in decision-making about providing an optimum high-quality portfolio. Investors were always seeking a logical data base for correct dicision-making about shares. In recent years, Capital Assets Pricing Models (CAPM) have been broadly used to estimate securities return logically. In this research, anticipation power of Downside CAPM (D-CAPM) and Revised Downside CAPM (RD-CAPM) models to estimate destination year return (DYR) was examined. D-CAPM is a developed type of CAPM that anticipates DYR according to past data and systematic risks of company. In contrast, RD-CAPM additionally applies non-systematic risk in frame of financial and operational levers in its mathematical structure to anticipate DYR more precisely. Finally, we compare these two models in Tehran Stock Exchange for a period of eight years (2001-2009) to anticipate return of companies in destination year.
%U http://www.ccsenet.org/journal/index.php/ijbm/article/view/16353