文章基本信息

标题：Systematic Risk on Istanbul Stock Exchange: Traditional Beta Coefficient Versus Downside Beta Coefficient
其他标题：İstanbul Menkul Kıymetler Borsası’nda Sistematik Risk: Geleneksel Beta Katsayısına Karşı Aşağı Yönlü Beta Katsayısı
本地全文：下载
作者：Gülfen TUNA ; Vedat Ender TUNA
期刊名称：İşletme Araştırmaları Dergisi
印刷版ISSN：1309-0712
出版年度：2013
卷号：5
期号：1
语种：English
出版社：Isarder
摘要：The aim of this study is to test the validity of Downside Capital Asset Pricing Model (D-CAPM) on the ISE. At the same time,the explanatory power of CAPM's traditional beta and D-CAPM's downside beta on the changes in the average return values are examined comparatively. In this context,the monthly data for seventy three stocks that are continuously traded on the ISE for the period 1991-2009 is used. Regression analysis is applied in this study. The research results have shown that DCAPM is valid on the ISE. In addition,it is obtained that the power of downside beta coefficient is higher than traditional beta coefficient on explaining the return changes. Therefore,it can be said that the downside beta is superior to traditional beta in the ISE for chosen period.
其他摘要：Bu çalışmanın amacı,İMKB’de Aşağı Yönlü Finansal Varlık Fiyatlama Modeli’nin (AY-FVFM) geçerliliğini test etmektir. Aynı zamanda geleneksel Finansal Varlık Fiyatlama Modeli'nin (FVFM) betası ile AY-FVFM'nin aşağı yönlü beta değerlerinin,ortalama getiri de
关键词：CAPM;Beta;Downside-CAPM;Downside Beta;Systematic Risk.
其他关键词：FVFM;Beta;AY-FVFM;Aşağı Yönlü Beta;Sistematik Risk