A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange

A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange

CAPM is one of the subjects that constitute fundamentals of modern finance theory. Although the research that test validity of CAPM give conflicting results, CAPM is widely used especially in portfolio investments and capital budgeting. In this study, we test validity of the CAPM in Istanbul Stock E...

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Veröffentlicht in:EuroEconomica 2011, Vol.30 (4), p.98-108
Hauptverfasser: Bilgin, Rümeysa, Basti, Eyup
Format: Artikel
Sprache:eng
Schlagworte:
Asset pricing
Capital
Econometric models
Economy
Investment
Portfolio management
Stock exchange
Turkey
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Zusammenfassung:CAPM is one of the subjects that constitute fundamentals of modern finance theory. Although the research that test validity of CAPM give conflicting results, CAPM is widely used especially in portfolio investments and capital budgeting. In this study, we test validity of the CAPM in Istanbul Stock Exchange (ISE) by utilizing Fama and McBeth’s (1973) unconditional testing approach. Our results show that there is no meaningful relationship between betas and risk premiums; therefore CAPM is not valid in ISE over the sample period.
ISSN:1582-8859
1582-8859