Browsing by Keywords "Time variation in beta"

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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 ...
Do time-varying betas help in asset pricing? Evidence from the Borsa Istanbul Stock Exchange

Yayvak, Berk (Bilkent University, 2013)

The purpose of this thesis is to investigate the time variation in betas of nonfinancial firms traded in the Borsa Istanbul Stock Exchange over the period from January, 1998 to December, 2011 by utilizing the threshold ...