The Value Premium in Capital Asset Pricing; the Case of Tehran Stock Exchange

Capital Asset Pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. This model has many applications in the field of finance. One of anomalies in the Capital Asset Pricing Model is The Value Premium that its proponents believe this risk premium is compensation for a risk not mentioned in original model. Researchers (such as fama & french) believe that if we ignore the value premium, the expected rate of return estimated by CAPM would be biased. This research is going to evaluate The Value Premium in Tehran Stock Exchange and its role in asset pricing.