Doğuş Üniversitesi Dergisi

Doğuş Üniversitesi Dergisi

Test of Capital Asset Pricing Model in Turkey

Yazarlar: Cudi Tuncer GÜRSOY, Gulnara REJEPOVA

Cilt 8 , Sayı 1 , 2007 , Sayfalar -

Konular:-

Anahtar Kelimeler:Beta,Risk Premium,Capital Asset Pricing Model (CAPM),Turkey

Özet: This article attempts to test the validity of CAPM (Capital Asset Pricing Model) in Turkey by regressing the weekly risk premiums (rj - rf ) against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004. ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free rate respectively. Following an in-depth literature survey, Fama and MacBeth (1973), and Pettengil et. al. (1995) approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the other hand, strong beta-risk premium relationships were discovered.

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@article{2007, title={Test of Capital Asset Pricing Model in Turkey}, volume={8}, publisher={Doğuş Üniversitesi Dergisi}, author={Cudi Tuncer GÜRSOY, Gulnara REJEPOVA}, year={2007} }
APA
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Cudi Tuncer GÜRSOY, Gulnara REJEPOVA. (2007). Test of Capital Asset Pricing Model in Turkey (Vol. 8). Vol. 8. Doğuş Üniversitesi Dergisi.
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Cudi Tuncer GÜRSOY, Gulnara REJEPOVA. Test of Capital Asset Pricing Model in Turkey. no., Doğuş Üniversitesi Dergisi, 2007.
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