A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange
AbstractCAPM 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.
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Bibliographic InfoArticle provided by Danubius University of Galati in its journal Euroeconomica.
Volume (Year): (2011)
Issue (Month): 30 (November)
CAPM; beta; risk premium; Istanbul Stock Exchange; unconditional test;
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