University of Isfahan Journal of Asset Management and Financing 2383-1189 5 3 2017 10 23 Extending Capital Asset Pricing Model for Industrial Portfolio in Tehran Stock Exchange Extending Capital Asset Pricing Model for Industrial Portfolio in Tehran Stock Exchange 89 104 21177 10.22108/amf.2017.21177 FA Hasan Heidari Associate Professor of Economics, Urmia University, Faculty of Economics and Management, Department of Economics Ali Hidarpour Lecturer of Economics, West Azarbaijan Payame Nour University, Faculty of Economics and Management, Department of Economics Journal Article 2015 07 27 In order to model, estimate and make a comparative analysis of the behavior of systematic risk, this paper, by using daily data from 09.28.1997 to 09.22.2015, estimates and extends the traditional Capital Asset Pricing Model for industrial portfolio in Tehran Stock Exchange, with DBEKK_GARCH and Shwert_Seguin Models. Findings show that estimated systematic risk for the Iranian industrial portfolio is time-varying. Therefore, using the traditional Capital Asset Pricing Model, with constant beta, may not be a good idea for modeling systematic risk and forecasting the expected returns of capital assets, as it may lead us to misleading results. Also findings show that the traditional CAPM and Shwert_Seguin models have almost identical forecast accuracy, although their accuracy is less than the DBEKK_GARCH model. The estimated systematic risk, from DBEKK_GARCH and Shwert_Seguin models, does not show any trend behavior over time. In order to model, estimate and make a comparative analysis of the behavior of systematic risk, this paper, by using daily data from 09.28.1997 to 09.22.2015, estimates and extends the traditional Capital Asset Pricing Model for industrial portfolio in Tehran Stock Exchange, with DBEKK_GARCH and Shwert_Seguin Models. Findings show that estimated systematic risk for the Iranian industrial portfolio is time-varying. Therefore, using the traditional Capital Asset Pricing Model, with constant beta, may not be a good idea for modeling systematic risk and forecasting the expected returns of capital assets, as it may lead us to misleading results. Also findings show that the traditional CAPM and Shwert_Seguin models have almost identical forecast accuracy, although their accuracy is less than the DBEKK_GARCH model. The estimated systematic risk, from DBEKK_GARCH and Shwert_Seguin models, does not show any trend behavior over time. https://amf.ui.ac.ir/article_21177_f40aa06ebe63b3ffdc4530902020d5b9.pdf