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      Do time-varying betas help in asset pricing? evidence from borsa Istanbul

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      Author
      Yayvak, B.
      Akdeniz, L.
      Altay-Salih, A.
      Date
      2015
      Source Title
      Emerging Markets Finance and Trade
      Print ISSN
      1540-496X
      Publisher
      Routledge
      Volume
      51
      Issue
      4
      Pages
      747 - 756
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      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 of an underlying economic variable, the threshold variable, to allow beta to change between two different regimes when the threshold variable hits a certain threshold level. We use interest rate, currency basket, real effective currency index, and market volatility as candidates for the threshold variable. We find there is a significant time variation in betas with respect to changes in the currency basket level.
      Keywords
      Asset pricing
      Threshold CAPM
      Time variation in beta
      Permalink
      http://hdl.handle.net/11693/28441
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/1540496X.2015.1046346
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      • Department of Management 551
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