文章基本信息

标题：A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange
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作者：Rumeysa Bilgin ; Eyup Basti
期刊名称：EuroEconomica
印刷版ISSN：1582-8859
电子版ISSN：2065-3883
出版年度：2011
卷号：30
期号：4
页码：98-108
出版社：Danubius University of Galati
摘要：CAPM is one of the subjects that contitute fundamentals of modern finance theory. Although the research that test the validity of CAPM give conflicting results, CAPM is widely used in portfolio investments and capital budgeting. In this study, we test validity of the CAPM in Istanbul Stock Exchange (ISE) by utilising 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.