ISSN 2756-3677
International Journal of Banking, Economics and Finance ISSN: 8201-4728 Vol. 2 (12), pp. 001-007, December, 2018. © International Scholars Journals
Full Length Research Paper
Comparative analysis of sensitivity coefficient using traditional beta of CAPM and downside beta of D-CAPM in automobile manufacturing companies
Hashem Nikoomaram
Department of Business Management, Science and Research Branch of IAU, Tehran, Iran. E-mail: [email protected]. Tel: +98 21 4486 9664, +98 912 1484018. Fax: +98 21 4486 9705.
Accepted 21 May, 2018
Abstract
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.
Key words: capital asset, pricing model, traditional beta, downside beta, return rat.