Testing Agency Model in Capital Asset Pricing

A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models. So, we compared single-factor, FF three-factor and five-factor CAPM concerning agency and direct investment using the data obtained from Tehran Stock Exchange from 2009 to 2016. To test the capital asset pricing models, two methods of zero Alpha of time series models (using GRS statistics) and Beta pricing (based on Fama-Macbeth test) were used. The results of Fama-Macbeth test showed that all the capital asset pricing model, three-factor and five-Factor Model of Fama& French would yield better results in agency conditions compared to the direct conditions