Studying the Expected Returns Based on Carhart Model Com-pared to CAPM Model and Implicit Capital Cost Model Based on Cash and Capital Flow of Growth and Value stocks

Document Type : Research Paper


1 Department of Management, Arak Branch, Islamic Azad University, Arak, Iran

2 Department of Financial Management, Faculty of Management, Tehran University, Tehran, Iran

3 Department of Business Management, Faculty of Management, Tehran University, Tehran


The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies were selected as the statistical sample. The present research is an applied research and is naturally a descriptive study. Descriptive and inferential statistics were used to describe the data, and to analyze the data, SPSS software was used. Also, the results showed that there is a significant difference between the mean of total returns and returns from the capital profit of growth and value stock; while there is no significant difference between the average cash flow of growth and value stocks. In addition to growth stocks, the expected returns on the basis of Carhart model are closer to real returns compared to expected returns based on the capital asset pricing model. But about value stock, the expected returns on the basis of Carhart model are not closer to actual returns compared to expected returns based on the capital asset pricing model and the cost of capital, and ultimately for growth stocks, expected returns based on Carhart model compared with expected returns, the implicit capital cost model is closer to actual returns.


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Volume 2, Issue 4
December 2017
Pages 61-79
  • Receive Date: 02 August 2017
  • Revise Date: 18 December 2017
  • Accept Date: 06 December 2017
  • First Publish Date: 06 December 2017