Forecasting Expected Risk and Return Using CAPM & D-CAPM in Tehran Stock Exchange

there are a lot of definitions about risk. One of them is that risk means the differences between real and expected results. The other definition is that risk means occurring the probability of an adverse event. For example, when you make an investment, if you make a profit, there is no risk. We should estimate the downside risk which is a kind of bad risk. Several studies about downside beta are done which investors know this model as an alternative model instead of traditional and common model. This article survey s this subject with considering negative skewness and downside beta in pricing model. The main goal of this article is to prediction of expected risk and return using CAPM and D-CAPM. The null hypothesis is that D -CAPM and D -beta can be better criteria for expected return and risk measurements. Our sample consists of 30 top companies in stock exchange. This model is checked well and has interesting conclusion and causing improving the model.

Keywords:

Beta , Downside Beta , Semi-Variance , Co-Semi variance