Comparing of the Efficiency of Capital Asset Pricing Model (CAPM) and Consumption-based Capital Asset Pricing Model (CCAPM) in Tehran Stock Exchange (TSE)

The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since. This paper studies another version of CAPM along with the traditional CAPM in Tehran Stock Exchange. The new version of CAPM puts the covariance between stock return and consumption growth as a risk measure and is recognized as the Consumption-based Capital Asset Pricing Model (CCAPM). To this end, we use a sample that includes 134 companies listed in Tehran Stock Exchange. The results indicate the CAPM is more efficient than the CCAPM in anticipating of the expected return in Tehran Stock Exchange.