Analysis of Arbitr
Analysis of Arbitrage
Pricing Theory to Predict Stock Returns during and after the Stock Market
Bubble in Tehran
Zahra sarlak *1,
Morteza Ghasemi 2, Mohammahe Skandari 1, Hamid
Reza Malek Hossini 1, Jafar Nekounam 1
*1. Department of
Accounting, Science and Research Branch, Islamic Azad University, Khomein, Iran
2. Department of Accounting, Arak
Branch, Islamic Azad University, Arak, Iran
Abstract Understanding
the mechanism and efficiency of a risk and return in capital markets, is one of
the important issues that have attracted the view of financial user for long
time. Pattern introduce the process of return, risk and return relationship of
various factors as independent. Among these models there are capital asset
pricing model (CAPM) and arbitrage pricing. This study uses two basic
hypotheses to test the arbitrage pricing theory of capital market in the period
of 1999 to 2008 in Tehran. First the number of factors that influence the
efficiency is estimated that involved 13 in the pre-bubble, 12 in the bubble
period and 14 after bubble period. The main purpose is the test arbitrage
pricing theory (APT) technique using factor analysis and the efficiency of the
odd week, and finally with an average balance equation obtained by even weeks
were analyzed to estimate the model predictive power The results should that
there is no significant difference between the mean squared errors of odd and
even days with the 95 confidence Research findings suggest that the arbitrage
pricing. Theory is true only in the bubble period, and Iran’s stock market
returns is affected of two-factor model, these two factors supply 48.6 percent
of total output fluctuations.
[Zahra
sarlak, Morteza Ghasemi, Mohammahe Skandari, Hamid Reza Malek Hossini, Jafar
Nekounam. Analysis of Arbitrage Pricing Theory to Predict Stock Returns
during and after the Stock Market Bubble in Tehran. Life
Sci J 2013;10(7s):92-98] (ISSN:1097-8135). http://www.lifesciencesite.com. 16
Keywords: arbitrage
pricing theory, bubbles, risk, efficiency.
