An Empirical Test and Comparison of CAPM and APT

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.