Common risk factors in the returns of stocks trading in the İstanbul Stock Exchange

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buir.advisorSalih, Aslıhan Altay
dc.contributor.authorAkdağ, Muhammed
dc.date.accessioned2016-01-08T18:24:14Z
dc.date.available2016-01-08T18:24:14Z
dc.date.issued2011
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management, İhsan Doğramacı Bilkent University, 2011.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2011.en_US
dc.descriptionIncludes bibliographical references leaves 71-75.en_US
dc.description.abstractThis study investigates the stocks trading in the Istanbul Stock Exchange for the years between 1997 and 2010 in an attempt to determine the common risk factors that capture the variation in stock returns. Time-series regressions are conducted to test the performance of the Fama & French (1993) three-factor model on a sample of 201 non-financial firms. Furthermore, an additional factor (FIP) is introduced and used to measure the effect of foreign investor participation on the common variation in stock returns in the Turkish market. Finally, considering the two financial crises in 2001 and 2008, different results in the sub-periods are examined; and structural break tests are performed using the dummy variable technique and Chow’s (1960) methodology. The results prove that three-factor model is superior to the Capital Asset Pricing Model (CAPM) although the effects of size and book-to-market factors are weak. The excess return on the market portfolio is found to be statistically significant for all model specifications and in each sub-period. The inclusion of the foreign investor participation factor improves the explanatory power of the Fama & French model only slightly; thus it has relatively less impact on the Turkish stock market despite its statistical significance. No structural break is determined for the crisis breakpoints for almost all of the portfolios; thus the model is proven to be robust.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityAkdağ, Muhammeden_US
dc.format.extentix, 93 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/15760
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectAsset pricingen_US
dc.subjectFama-French modelen_US
dc.subjectIstanbul Stock Exchangeen_US
dc.subject.lccHG5706.5.I88 A53 2011en_US
dc.subject.lcshCapital market--Turkey--Istanbul.en_US
dc.subject.lcshStock exchanges--Turkey--Istanbul.en_US
dc.subject.lcshCapital assets pricing model.en_US
dc.titleCommon risk factors in the returns of stocks trading in the İstanbul Stock Exchangeen_US
dc.typeThesisen_US

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