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

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Author Info

  • Rumeysa BILGIN

    ()
    (Fatih University, Institute of Social Sciences, Department of Management)

  • Eyup BASTI

    ()
    (Fatih University, Faculty of Economics and Administrative Sciences, Department of Management)

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    Abstract

    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.

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    File URL: http://journals.univ-danubius.ro/index.php/euroeconomica/article/view/932/896
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    Bibliographic Info

    Article provided by Danubius University of Galati in its journal Euroeconomica.

    Volume (Year): (2011)
    Issue (Month): 30 (November)
    Pages: 98-108

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    Handle: RePEc:dug:journl:y:2011:i:30:p:98-108

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    Web page: http://www.euroeconomica-danubius.ro/
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    Keywords: CAPM; beta; risk premium; Istanbul Stock Exchange; unconditional test;

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