Test of Capital Asset Pricing Model in Turkey

Autor :Cudi Tuncer Gürsoy, Gulnara Relepova
Herausgeber :
Doğuş Üniversitesi
Herkunft :Sondersammelgebiet Vorderer Orient einschl. Nordafrika
Datum :01.01.2007
Dokumente :
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Typ :Forschungsarbeit
Format :Text
Kurzfassung :This article attempts to test the validity of CAPM (Capital Asset Pricing Model) in Turkey by regressing the weekly risk premiums (rj – rf ) against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004. ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free
rate respectively. Following an in-depth literature survey, Fama and MacBeth (1973), and Pettengil et. al. (1995) approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth
approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the
other hand, strong beta-risk premium relationships were discovered.
Schlagwörter :Türkei
Quelle :http://journal.dogus.edu.tr/13026739/2007/Cilt8/Sayi1/M00171.pdf
Rechte :Autor
Anmerkungen :http://www.econturk.org/
Erstellt am :15.03.2012 - 15:03:10
Letzte Änderung :15.03.2012 - 15:03:38
MyCoRe ID :HALCoRe_document_00013089
Statische URL :http://edoc.bibliothek.uni-halle.de/servlets/DocumentServlet?id=13089