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dc.contributor.authorYayvak, B.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.date.accessioned2016-02-08T12:20:44Z
dc.date.available2016-02-08T12:20:44Z
dc.date.issued2015en_US
dc.identifier.issn1540-496X
dc.identifier.urihttp://hdl.handle.net/11693/28441
dc.description.abstractWe 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.en_US
dc.language.isoEnglishen_US
dc.source.titleEmerging Markets Finance and Tradeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/1540496X.2015.1046346en_US
dc.subjectAsset pricingen_US
dc.subjectThreshold CAPMen_US
dc.subjectTime variation in betaen_US
dc.titleDo time-varying betas help in asset pricing? evidence from borsa Istanbulen_US
dc.typeArticleen_US
dc.citation.spage747en_US
dc.citation.epage756en_US
dc.citation.volumeNumber51en_US
dc.citation.issueNumber4en_US
dc.identifier.doi10.1080/1540496X.2015.1046346en_US
dc.publisherRoutledgeen_US


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