Prediction of Expected Rate of Return in Tehran Stock Exchange

in this paper we examine Arbitrage Pricing theory and Adjusted Capital Assets pricing model in Tehran stock exchange to find best model for predicting of share's expected rate of return. The question in Securities of Iran is which one of pricing models has better and more precise result for pricing stocks of company. The most important factor on investment decisions are rate of investment return, assigning price of investment, predication future from mind of investigator and return of assets predicate by risk. Among recognized patterns for assigning return are Adjusted capital assets pricing model (Adj-CAPM) and Arbitrage pricing theory (APT). In this research the expected rate of return will be explaining in Adj-CAPM on the basis of liquidity risk and in APT on the basis of set of risk price of oil, price of gold, inflation, and rate of foreign exchange, rate of interest and index of stock exchange. The main purpose of this research is the examination of ability explaining Arbitrage pricing theory and Adjusted capital assets pricing model for predicting expected rate of return. For this purpose, first, the Betas have been computed, and then according to betas, expected return of two models will be computed. Therefore by using Regression Analyzing and Pearson Correlation we will reach to this result that Arbitrage Pricing Theory has more performance and ability than Adj-CAPM Pricing Model.