Skip to main content
HARESEARCH CONSOLE

Theses

Using Systematic and Nonsystematic Risk Measures, a Capital Asset Pricing Model, and Arbitrage Pricing Theory to Evaluate the Performance of Investment Companies Listed on the Tehran Stock Exchange

2010· Islamic Azad University, Tehran Central Branch, Tehran, Iran· 1 min read ·0 comments ·0 reactions
Return to Theses
Using Systematic and Nonsystematic Risk Measures, a Capital Asset Pricing Model, and Arbitrage Pricing Theory to Evaluate the Performance of Investment Companies Listed on the Tehran Stock Exchange
Authors / roleHamed Ahmadinia
Venue / institutionIslamic Azad University, Tehran Central Branch, Tehran, Iran
Publication date2010-06-01
Record typeMaster’s thesis
Journal / collectionIslamic Azad University, Tehran Central Branch, Tehran, Iran
Suggested citationAhmadinia, H. (2010). Using systematic and nonsystematic risk measures, a capital asset pricing model, and arbitrage pricing theory to evaluate the performance of investment companies listed on the Tehran Stock Exchange. Master’s thesis, Islamic Azad University.
LanguageEnglish
FormatPublication
THESIS ABSTRACT

This is an empirical research that tried to determine the efficiency of portfolio management on investment companies listed in Tehran Stock Exchange that had active portfolio management from 2005 to 2009 by Sharpe, Treynor, Jensen, M2 and Information ratios. For more profound study, the effect of macroeconomic factors on their portfolio return, monthly issued by the central bank, is evaluated. The result of statistical analyzing indicated that the performance of some investment companies is more efficient than market. Therefore, it can be deduced that in the situation of market crisis, investing on such companies are more rational than making individual portfolio. With regard to economic actors, Step Forward Anova showed that the fluctuation of currency rate is the most influential factor on the return of investment companies’ portfolio.

KEYWORDS
Investment companiesPortfolio performanceCapital asset pricing modelArbitrage pricing theoryTehran Stock Exchange

This study evaluates the performance of investment companies listed on the Tehran Stock Exchange (TSE) by employing systematic and nonsystematic risk measures, the Capital Asset Pricing Model (CAPM), and Arbitrage Pricing Theory (APT). The research aims to provide a comprehensive assessment of the risk-return tradeoff in the Iranian capital market, analyzing the extent to which these financial theories can explain stock price movements and investment company performance. Using historical stock price data, market indices, and macroeconomic factors, the study measures systematic risk (beta) and diversifiable risk across selected investment firms. CAPM is utilized to determine expected returns based on market risk premiums, while APT identifies multiple economic and financial variables influencing asset returns. The findings highlight the efficiency of these models in assessing investment performance, offering insights into portfolio diversification strategies and risk management practices within the Iranian financial market. The study contributes to the existing literature on asset pricing models in emerging markets, providing valuable implications for investors, financial analysts, and policymakers in Iran.

READER REACTIONS

How did this post land with you?

DISCUSSION

Reader comments

0 comments

Loading comments…

Join the discussion

Your email address is never published. Comments may be held for moderation.