Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns

Abstract

he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables as risk factors in the period 1395-1386 were used. First, the CAPM was tested using the GRS test and then by Fama and Macbeth tests. Then, the factor model for the APT test was using factors including real exchange rate, total stock returns, oil returns, yields of the price index Chemical and petrochemical products, risk-free returns, inflation rate, asset risk, GDP volatility, SMB, and sanction factor.

Keywords

• apt
• capm
• grs