مدل قیمت گذاری دارایی های سرمایه ای (capm)

The lack of reliable information disclosure contributes to information asymmetry, which in turn raises the equity cost of capital. Voluntary information disclosure can mitigate unsystematic risk and this reduction can enhance investor confidence through financial signaling. When investors perceive a company as more resilient to specific market fluctuations, the company’s beta—a measure of systematic risk—tends to decrease. This shift in risk perception can ultimately lower the equity cost of capital. Furthermore, when a company improves the quality of its disclosures, it not only affects its own valuation, but can also influence the broader market. In this sense, the disclosure practices of one company can shape public perception and impact the risk assessments of other companies as well.  This study explored the mediating role of information asymmetry in the relationship between voluntary information disclosure and the equity cost of capital, utilizing the Capital Asset Pricing Model (CAPM). To achieve the research objectives, a sample of 159 companies listed on the Tehran Stock Exchange (TSE) from 2018 to 2023 was selected. Panel data analysis and multivariate linear regression were employed to test the hypotheses. The findings indicated that voluntary information disclosure did not significantly affect the equity cost of capital. Moreover, the mediating variable of information asymmetry also did not significantly influence the relationship between voluntary information disclosure and the equity cost of capital. This lack of significance might be attributed to the generally low level of voluntary disclosure, inefficiencies within the Iranian capital market, and the limited scope of disclosed information. Additionally, the absence of financial analysts and insufficient investor attention had hindered voluntary disclosures from effectively reducing information asymmetry in the capital market.

This paper empirically investigates and compares the capital asset pricing model (CAPM) and arbitrage pricing theory (APT) using 132 monthly market returns of TSE based on TSE main index (TEDPIX) and returns of 30 stocks listed on Tehran Stock Exchange (TSE) for the period of 2008-1997. Our results provide evidences in support of CAPM, inconsistent with previous papers of Bakhshandeh (1992), Hamadani, and Pirsalehi (1995), Shafie zadeh (1997), Hanifi (1998), Zariffard-Ghaemi (2003). However, some other Iranian researches Presents more than one economic factor effective on explanation of stock return consistent with APT but we did not experienced several factors effective on this issue.

In capital market ,the investor gets the return as he experiences the risk. To compare the risk and to evaluate the expected rate of return ,he usually uses the models such as Sharp and Estrada with the calculation of traditional beta and downside beta. The findings of this research show the inefficiency of both models in Tehran Stock Exchange. The researches suggested model is the conditional downside capital asset pricing model(CD-CAPM).The recent research is a kind of applied once. It is considered as correlation research. Its statistical population is among eighty five companies in twenty three industrial groups from 2003to 2007. This research findings show risk premium is determining factor in the explaining of investors the expected rate of return variance. There is a conditional relationship between downside beta and the expected rate of return. So it must be noticed to the market direction for explaining the relationship between risk and return .

This article examines the relationship between return, systematic risk, skewness and kurtosis in Tehran stock Exchange during 2001-2007.Similar research, in this field, shows different results on upward and downward markets, therefore the period under study is divided into sub periods including upward market (2001-2004) and downward market (2004-2007) and the relationship between these sub periods independently are examined. Regarding to this approach, totally 64 firms from different industries are selected. Then daily price and market index data were collected. Findings indicate that beta and skewness play an essential role in describing stock return in both periods. However, in the upward market, excess kurtosis has a significant relationship with the stock returns but in the downward market there is no such relationship.