Browsing by Author "Yayvak, B."
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Do time-varying betas help in asset pricing? evidence from borsa Istanbul
Yayvak, B.; Akdeniz, L.; Altay-Salih, A. (Routledge, 2015)We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the threshold CAPM. The threshold CAPM defines beta as a function ...