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.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12615136/index.pdf |
| Date | 01 September 2012 |
| Creators | Kalac, Sirri Selim |
| Contributors | Danisoglu, Seza |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.B.A. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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