A test of multi-index asset pricing models: The case of İstanbul Stock Exchange

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2012

Öğrenci: SIRRI SELİM KALAÇ

Danışman: SEZA DANIŞOĞLU

Özet:

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.