Estimating the capital asset pricing model based on Tobin's minimum rate of return

Document Type : Research Paper

Authors
Narges Rashidbeigi 1
Mahmood Rahmani 2
Farzad Moayeri 3
1 Department of Accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran
2 Department of Management, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran
3 Department of Economics, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran
10.22075/ijnaa.2024.36111.5347
Abstract
This study aims to present a capital asset pricing model based on Tobin's minimum rate of return in the Iranian stock market. In research conducted in Iran, the bank deposit interest rate has been used as the risk-free interest rate to estimate the capital asset pricing model. Because this rate is determined arbitrarily in Iran, it is not an appropriate estimate of the macroeconomic, social, and political realities of society, and it is not considered a complete index for determining returns in the stock market. Therefore, in this study, Tobin's minimum rate of return has been used instead of the bank deposit interest rate to express the economic, social, and political reality of society. In this regard, information on 32 companies listed on the Tehran Stock Exchange, which were selected through multi-stage sampling, has been collected from 2006 to 2010, and with the panel data model, the monthly returns of the sample companies have been calculated and used as the basis for the tests. The results of the tests showed that the capital asset pricing model based on Tobin's minimum rate of return, compared to the CAPM method in different cases, has a more appropriate explanation of the stock return rate and the estimation of systematic risk in the Iranian stock market.
Keywords
Tobin minimum rate of return
Tobin model
Panel data
Critical interest rate
Capital asset pricing model
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International Journal of Nonlinear Analysis and Applications
Volume 17, Issue 7
July 2026
Pages 123-132

  • Receive Date 01 October 2024
  • Revise Date 25 December 2024
  • Accept Date 25 December 2024