Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Skewness and kurtosis factors and asset pricing in Borsa İstanbul
Download
index.pdf
Date
2014
Author
Gürbüz, Aybike
Metadata
Show full item record
Item Usage Stats
197
views
91
downloads
Cite This
Asset pricing always attracted a lot of attention in the finance world literature and it is built mainly on the mean-variance framework of the Capital Asset Pricing Model (CAPM). Although CAPM is commonly used by academics and practitioners, its validity is often questioned. The researchers have investigated the significance of CAPM by empirical tests, and there is a fairly large body of the literature about the shortcomings of the model. For these reasons, researchers on asset pricing have started to develop different models and consider higher moments in asset pricing. The aim of this study is to determine the effect of skewness and kurtosis factors on the variation of portfolio excess returns in Borsa Istanbul (BIST) over the period from January 1990 to June 2013. Excess returns are calculated for portfolios that are formed according to the size, book to market, momentum, coskewness, and cokurtosis factors. The Fama-French three-factor model is used as the base model and skewness and kurtosis factors are added to the base model separately. The incremental effect of skewness and kurtosis factors over the Fama- French factors is examined with time series regressions.
Subject Keywords
Stock exchanges.
,
Assets (Accounting).
,
Investments
,
Finance
URI
http://etd.lib.metu.edu.tr/upload/12618210/index.pdf
https://hdl.handle.net/11511/24221
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
Financial modelling with random bridge signals and forward information
Aydın, Nadi Serhan; Weber, Gerhard Wilhelm; Constantinides, Anthony G.; Department of Financial Mathematics (2016)
In this thesis, we focus on modelling financial information flow, and information-based asset pricing. The fundamental properties of the framework under study are recovered in detail, after which a brief information-theoretic perspective is offered to quantify the information content of signals. A link to the existing literature on asymmetric information/belief equilibrium is established through a sequential auction model with heterogeneous signals. The effects of differential information on the allocation ...
Modelling and implementation of local volatility surfaces
Animoku, Abdulwahab; Yolcu Okur, Yeliz; Uğur, Ömür; Department of Financial Mathematics (2014)
In this thesis, Dupire local volatility model is studied in details as a means of modeling the volatility structure of a financial asset. In this respect, several forms of local volatility equations have been derived: Dupire's local volatility, local volatility as conditional expectation, and local volatility as a function of implied volatility. We have proven the main results of local volatility model discussed in the literature in details. In addition, we have also proven the local volatility model under ...
Volatility indexes and an implementation of the Turkish BIST 30 index
Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
Overconfidence and bubbles in experimental asset markets
Şahin, Serkan; Küçükkaya, Halit Engin; Yılmaz, Özlem; Department of Business Administration (2013)
The aim of this study is to investigate uncertainty levels of industries and explore those financial ratios that have the highest information content in determining the set of industry characteristics and use the most informative ratios selected in developing industry specific financial distress models. First, we employ factor analysis to determine the set of ratios that are most informative in specified industries. Second, we use entropy method as a Multiple Attribute Decision Making Model, to measure the ...
On forward interest rate models : via random fields and Markov jump processes
Altay, Sühan; Körezlioğlu, Hayri; Department of Financial Mathematics (2007)
The essence of the interest rate modeling by using Heath-Jarrow-Morton framework is to find the drift condition of the instantaneous forward rate dynamics so that the entire term structure is arbitrage free. In this study, instantaneous forward interest rates are modeled using random fields and Markov Jump processes and the drift conditions of the forward rate dynamics are given. Moreover, the methodology presented in this study is extended to certain financial settings and instruments such as multi-country...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
A. Gürbüz, “Skewness and kurtosis factors and asset pricing in Borsa İstanbul,” M.S. - Master of Science, Middle East Technical University, 2014.