این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
International Journal of Nonlinear Analysis and Applications، جلد ۱۶، شماره ۷، صفحات ۲۷-۳۶
عنوان فارسی
چکیده فارسی مقاله
کلیدواژه‌های فارسی مقاله
عنوان انگلیسی Predicting the expected returns of cryptocurrencies using CAPM and D-CAPM approaches
چکیده انگلیسی مقاله In the present study, the expected returns of cryptocurrencies were compared capital asset pricing model (CAPM) and downside capital asset pricing model (D-CAPM) approaches. For this purpose, fifty cryptocurrencies were studied as representative of risky assets in a five-year period from 2018 to 2022 with daily frequency. First, the panel was investigated using Levin-Lin-Chu, Im-Pesaran, and Shin and Dickey-Fuller's tests. Then, using paired t-statistics, the difference between the return estimates of the two models was investigated. Finally, using R2 and the generalized linear test model, the better model was selected to justify the changes in asset returns in these cryptocurrencies and portfolios. Based on the results, in almost 90% of the analyzed portfolios, the D-CAPM model was better than the CAPM model and had more justification power than the old CAPM model. In less than 1% of the models, the degree of justification and the appropriateness of the models were the same.
کلیدواژه‌های انگلیسی مقاله cryptocurrency,Capital Asset Pricing Model (CAPM),Downside Capital Asset Pricing Model (D-CAPM)
نویسندگان مقاله Anahita Horri |
Department of Finance Engineering, Faculty of Management, North Tehran Branch, Islamic Azad University, Tehran, Iran

Ali Saeedi |
Department of Finance Engineering, Faculty of Management, North Tehran Branch, Islamic Azad University, Tehran, Iran

Alireza Heidarzade Hanzaei |
Department of Financial Management, North Tehran Branch, Islamic Azad University, Tehran, Iran

نشانی اینترنتی https://ijnaa.semnan.ac.ir/article_8821_0aca0d5da1487180d9cbd047917d1d0f.pdf
فایل مقاله فایلی برای مقاله ذخیره نشده است
کد مقاله (doi)
زبان مقاله منتشر شده en
موضوعات مقاله منتشر شده
نوع مقاله منتشر شده
برگشت به: صفحه اول پایگاه   |   نسخه مرتبط   |   نشریه مرتبط   |   فهرست نشریات