Test of Capital Asset Pricing Model in Turkey

Cudi Tuncer GÜRSOY, Gulnara REJEPOVA

Öz


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.

Anahtar Kelimeler


Beta; Risk Premium; Capital Asset Pricing Model (CAPM); Turkey

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Doğuş Üniversitesi Dergisi'nin içeriği Creative Commons Atıf-Gayriticari 4.0 Uluslararası Lisansı ile lisanslanmıştır.
 

İletişim:

Doğuş Üniversitesi Dergisi
Acıbadem Zeamet Sokak, No: 21
34722 - Kadıköy, İSTANBUL
E-posta: journal@dogus.edu.tr