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      Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market–Borsa Istanbul

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      Author
      Ceylan, N. B.
      Doğan, B.
      Berument, Hakan
      Date
      2015-08-27
      Source 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
      Article
      Item Usage Stats
      134
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      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.
      Keywords
      Fama–French three-factor model
      Foreign portfolio investment
      Portfolio returns
      Permalink
      http://hdl.handle.net/11693/48287
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/1331677X.2015.1075138
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      • Department of Economics 649
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