Abstract: The purpose of the study is presenting on improved version of arbitrage pricing theory as downside arbitrage pricing theory by the use of deviation standard concepts and its comparsion with Arbitrage Pricing Theory. This research by including 84 stocks traded in the Tehran Stock Exchange and by using four macro-economic variables as dependent and independent variables deals with the evaluation of relationship between adjusted returns and downside beta and conventional beta in two model APT and D-APT throughout 2005-2014. The research deals with representing a new version of Arbitrage Pricing Theory as Downside Arbitrage Pricing Theory (D-APT) by more efficient measures of downside beta and semi-deviation standard beside conventional measures. The research indicate in APT, macro-economic factors except oil price are capable of pricing stock returns as exchange rate has negative correlation and inflation rate and stock index has positive correlation with return and explain 59.60% of returns changes in total. Besides, D-APT test results indicates a significant relationship of exchange rate, stock index, inflation rate with stock return as exchange rate has negative correlation and stock index and inflation rate has positive correlation with stock return and explains 29.7% of returns changes in total. The results of determination coefficient indicate higher efficiency of APT compared with D-APT.
Moslem Moradzadeh, Mohammad Nabi Shahiki Tash and Mohammad Esmael Ezazi, 2016. Investigating and Comparing the Relationship between Macro-Economic Variables and Stock Returns Using APT and D-APT Models in Tehran Stock Exchange. Research Journal of Applied Sciences, 11: 209-214.