Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market–Borsa Istanbul
Author
Ceylan, N. B.
Doğan, B.
Berument, Hakan
Date
2015-08-27Source Title
Economic Research-Ekonomska Istraživanja
Print ISSN
1331-677X
Electronic ISSN
1848-9664
Publisher
Routledge
Volume
28
Issue
1
Pages
467 - 486
Language
English
Type
ArticleItem Usage Stats
134
views
views
99
downloads
downloads
Abstract
This article contributes to the asset pricing literature by offering an alternative
missing factor: the excess holdings of foreign investors. To incorporate this factor,
we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to
portfolio preferences (foreign ownership) using the Fama and French’s three-factor
model. Our findings suggest that market factor, size, and book-to-market (B/M)
variables are still statistically significant and Jensen’s alpha is still not significant,
and we obtain a statistically significant negative relationship between the excess
return of foreign investors’ ownership and the return variation of a given portfolio.