The explanation of risk and expected rate of return by using of Conditional Downside Capital Assets Pricing Model

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 .