%0 Journal Article
%T The Comparison of Capital Assets Pricing Model (CAPM) and Capital Assets Pricing Model Under Inflation (CAPMUI)
%J Financial Accounting Research
%I University of Isfahan
%Z 2322-3405
%A Mojtahedzadeh, V
%A Emami, S
%D 2011
%\ 02/20/2011
%V 2
%N 4
%P 109-124
%! The Comparison of Capital Assets Pricing Model (CAPM) and Capital Assets Pricing Model Under Inflation (CAPMUI)
%K Key Words: CAPM
%K CAPMUI
%K MPR
%K Uncertain Conditions of Inflation
%R
%X Â The aim of this Paper is to compare Capital Assets Pricing Model (CAPM) and Capital Assets Pricing Model under Inflation (CAPMUI) in respect to compute the stock returns. So, three hypotheses have been formed. To test the hypotheses, monthly data of 72 listed companies in Tehran Stock Exchange (TSE) during 1382-1386 were collected. The results indicated that regarding to computing the asset returns, CAPMUI model has a deviation coefficient smaller to CAPM and the existence of inflation factor in this model increases the precision of the model comparing to the first model. In other words, inflation factor has an important effect on computing the assets returns. Â In inflation conditions, if there is a positive correlation between the portfolio return and the inflation rate, market price of risk is understated by CAPM. Â Â
%U https://far.ui.ac.ir/article_16894_d2a4e71706f7a85dd8b50b4c47854857.pdf