Additional tests of multi-index asset pricing models: evidence from an emerging market

Date

2017-01-01

Author

Danışoğlu, Seza

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

225
views

0
downloads

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. Results of the study are supported by metrics such as confidence intervals around the R-2 values and the Gibbons-Ross-Shanken test. Similar to previous findings, the market factor is positive and significant even when models are augmented by the size and B/M factors that are themselves consistently significant and positive. Contrary to evidence from developed markets, contrarian, not momentum, strategies are preferred among the investors, especially for larger firms. Larger firms also are perceived to be less vulnerable when market-wide liquidity decreases.

Subject Keywords

Asset pricing, Multi-factor model, Capital asset pricing model (CAPM), Liquidity beta; GRS test, Emerging markets

URI

https://hdl.handle.net/11511/47899

Journal

SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDA

DOI

https://doi.org/10.1080/02102412.2016.1276313

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

A Test of multi-index asset pricing models: the case of Istanbul Stock Exchange Kalaç, Sırrı Selim; Danışoğlu, Seza; Department of Business Administration (2012) 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.
A data mining application to deposit pricing: Main determinants and prediction models Batmaz, İnci; Danışoğlu, Seza (2017-11-01) This study provides unique empirical evidence regarding the determinants of deposit pricing by employing data mining methods and making use of proprietary data provided by a commercial bank. Results highlight the importance of taking into account customer- and account-specific characteristics in the determination of deposit rates. Contrary to existing evidence obtained from macro-level bank data, the customer- level data used in this study suggest that depositors with a multi-faceted and long-term relations...
An Empirical Investigation Of Payment Performance For Consumer Loans In Turkey Özdemir, Özlem (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2008-12) This paper explores the relationship between consumer credit clients’ payment performance and some demographic and financial variables. Data to examine this relationship is obtained from the customer records of a private bank in Turkey. A logistic binary regression is used to evaluate the data. Financial variables rather than the demographic characteristics of clients have significant influence on customers’ pay back performance. Thus, the longer the maturity time and the higher the interest rate, the highe...
A Comparative study for nonlinear structure of the interest rate pass through Değer, Osman; Yıldırım Kasap, Dilem; Department of Economics (2012) This study investigates the interest rate pass through from the money market rate to the lending rate by utilizing monthly data of fifteen countries, grouped as high income, upper middle income and lower middle income, over the period 1999:01-2011:09. Taking the linear cointegration test of Engle-Granger as benchmark, we employ threshold cointegration tests of Enders and Siklos (2001) in order to account for the possible nonlinearities in the pass-through process. Empirical results reveal that the pass thro...
Two essays on ambiguity and asset pricing Şahin, Baki Cem; Danışoğlu, Seza; Department of Business Administration (2019) This thesis consists of two essays on the impact of ambiguity on asset pricing. In the first essay, we provide a detailed review of theoretical models incorporating ambiguity into both decision-making and asset pricing models. In the framework of these discussions, we derive ambiguity indices and we provide both a comparison among themselves and an analysis showing the impact of ambiguity on asset pricing for Turkey. Our results confirm the existence of impact of ambiguity on asset returns even it is not st...

Citation Formats

S. Danışoğlu, “Additional tests of multi-index asset pricing models: evidence from an emerging market,” SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDA, pp. 431–454, 2017, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/47899.