Test of Capital Asset Pricing Model in Turkey | Zendy

Cudi Tuncer Gürsoy | Zendy; Gulnara REJEPOVA | Zendy

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Test of Capital Asset Pricing Model in Turkey

Author(s) -

Cudi Tuncer Gürsoy,

Gulnara REJEPOVA

Publication year - 2007

Publication title -

doğuş üniversitesi dergisi

Language(s) - English

Resource type - Journals

eISSN - 1308-6979

pISSN - 1302-6739

DOI - 10.31671/dogus.2019.241

Subject(s) - consumption based capital asset pricing model , test (biology) , capital asset pricing model , business , economics , asset (computer security) , financial economics , computer science , geology , computer security , paleontology

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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