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A Test of multi-index asset pricing models: the case of Istanbul Stock Exchange
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Date
2012
Author
Kalaç, Sırrı Selim
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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.
Subject Keywords
Stock exchanges.
,
Capital market.
,
Capital assets pricing model
URI
http://etd.lib.metu.edu.tr/upload/12615136/index.pdf
https://hdl.handle.net/11511/22228
Collections
Graduate School of Social Sciences, Thesis
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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.
