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dc.contributor.authorCeylan, N. B.en_US
dc.contributor.authorDoğan, B.en_US
dc.contributor.authorBerument, Hakanen_US
dc.date.accessioned2019-01-23T14:47:49Z
dc.date.available2019-01-23T14:47:49Z
dc.date.issued2015-08-27en_US
dc.identifier.issn1331-677X
dc.identifier.urihttp://hdl.handle.net/11693/48287
dc.description.abstractThis 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.en_US
dc.language.isoEnglishen_US
dc.source.titleEconomic Research-Ekonomska Istraživanjaen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/1331677X.2015.1075138en_US
dc.subjectFama–French three-factor modelen_US
dc.subjectForeign portfolio investmenten_US
dc.subjectPortfolio returnsen_US
dc.titleThree-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market–Borsa Istanbulen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage467en_US
dc.citation.epage486en_US
dc.citation.volumeNumber28en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1080/1331677X.2015.1075138en_US
dc.publisherRoutledgeen_US
dc.contributor.bilkentauthorBerument, Hakan
dc.identifier.eissn1848-9664


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