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

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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.

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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.