A Test of multi-index asset pricing models: the case of Istanbul Stock Exchange

Download
2012
Kalaç, Sırrı Selim
This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.

Suggestions

An analysis of stock splitz in the İstanbul Stock Exchange
Yılmaz, Işıl Sevilay; Rhoades, Seza Danışoğlu; Department of Business Administration (2003)
The primary purpose of this study is to test the validity of the trading range hypothesis as a basis for stock split decisions of Turkish companies. In the first part, the liquidity effects of stock splits on Turkish stocks are examined. Second, the optimal trading ranges for different-sized firms and firms with different investor bases are determined. Finally, the main empirical question of the study is analyzed by testing whether or not Turkish firms whose share prices rise above their optimal trading ran...
Additional tests of multi-index asset pricing models: evidence from an emerging market
Danışoğlu, Seza (2017-01-01)
This study provides comprehensive evidence on the performance of asset pricing models in an emerging market setting. Tests are conducted on portfolios formed based on Fama-MacBeth betas, Fama-French size and book-to-market (B/M) factors, Carhart's short-and long-term past returns and Pastor and Stambaugh's liquidity beta. This is one of the first studies to provide emerging market evidence on Pastor and Stambaugh's liquidity beta measuring a firm's sensitivity to changing levels of market-wide liquidity. Re...
The effect of financial news on BIST stock prices: a machine learning approach
Kanmaz, Medet; Küçükşenel, Serkan; Department of Economics (2018)
This thesis examines the relationship between the price data of companies in different sectors in the Borsa Istanbul (BIST) stock exchange and the verbal data revealed in the financial news related to these companies. In this work, sentiment analysis, natural language processing and the effect of financial news on individual stock performances are studied with a simple and novel method. Sentiment analysis is created by automatically labelling the news for companies publicly traded in BIST as positive or neg...
Testing for rational bubbles in the Turkish stock market
Başoğlu, Fatma; Sezer, Ali Devin; Department of Financial Mathematics (2012)
In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market b...
The Assessment of macroeconomic variability and monetary transmission mechanisms in Turkey with VAR esrimates
Baştan, Emine Meltem; Gaygısız Lajunen, Esma; Department of Economics (2012)
This thesis investigates the nature of macroeconomic changes by focussing on the monetary policy changes in Turkey between 1990Q1-2011Q4 and assesses the variability of the economy via impulse response functions obtained from VAR analyses. The period of the analyses is characterized with changes of the definitions of monetary aggregates in 2002 and 2007. In order to have consistent monetary series, the new and old series are constructed according to new and old definitions and then analyses are carried out ...
Citation Formats
S. S. Kalaç, “A Test of multi-index asset pricing models: the case of Istanbul Stock Exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2012.