Evidence to Support Multifactor Asset Pricing Models: The Case of The Istanbul Stock Exchange
Year: 2013
Type: article
Abstract: The objective of this study is to test, instead of the single factor CAPM, the power of three factor, four factor and five factor models to explain stock returns for the Istanbul Stock Exchange (ISE). The test results of all models in the ISE indicate that the models are applicable. During the period covering July 1992-June 2011 it is consequently established that, in addition to the market risk, size, book to market ratio, momentum and liquidity factors also constitute significant risk factors that affect the expected stock returns in the ISE and that the risk premiums belonging to these five factors are priced by the market.
Author: Ulas Unlu
Institution: Nevşehir Hacı Bektaş Veli University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2012155492