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  Citation Number 4
 Views 67
 Downloands 26
İSTANBUL MENKUL KIYMETLER BORSASI’NDA RİSK, GETİRİ VE PAZAR DENGESİ: SERMAYE VARLIKLARINI FİYATLAMA MODELİ’NİN TEST EDİLMESİ
2001
Journal:  
Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Author:  
Abstract:

This study aims at investigating whether Capital Asset Pricing Model (CAPM) is applicable in the İstanbul Stock Exchange Market. The risk-return structure of Turkish stocks is analyzed by testing the CAPM with Fama-MacBeth’s two-stage approach, a combination of both time series and cross section estimation. The time period covered is between 1991-1998. The findings suggested that there is no significant relationship between the return of portfolios and betas. Residual risk is also insignificant as we expected. In general, the results of the study indicate that CAPM cannot be used as a predictive model in Turkish Equity Markets.

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Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Field :   Eğitim Bilimleri; Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 414
Cite : 408
2023 Impact : 0.082
Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi