Prediction of systematic risk: "a case from Turkey"
| buir.advisor | Akdoğan, Haluk | |
| dc.contributor.author | Sağlam, İsmail | |
| dc.date.accessioned | 2016-01-08T20:10:22Z | |
| dc.date.available | 2016-01-08T20:10:22Z | |
| dc.date.issued | 1993 | |
| dc.department | Department of Economics | en_US |
| dc.description | Ankara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent Univ., 1993. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 1993. | en_US |
| dc.description | Includes bibliographical references. | en_US |
| dc.description.abstract | This stjid}^ sugpjosts Bayesian and time-varying models to adjust for the regression tc'ndeiK'y of lietas [iresent in standard asset i)ricing applications. Beta, adjustment techniciues are a])])li('d to the Istcinl.^ul Stock Exchange da.ta. Empirical findings show tlia.t MSE (Mean Square Error) are lowest among all models used in tlie study when log-linear or sciuare-root linear Blume modcds are used and lietas predicted according to Bayesian models have lower MSl·^ tlian unadjusted Ivetas. Also, it is oliserved tha,t inediciency ])art of tlie MSE changes most when various adjustment teclmiques are uschL | en_US |
| dc.description.degree | M.A. | en_US |
| dc.description.statementofresponsibility | Sağlam, İsmail | en_US |
| dc.format.extent | vii, 32 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/17447 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Systematic Risk | en_US |
| dc.subject | Mean Square Error. | en_US |
| dc.subject | Beta Prediction | en_US |
| dc.subject | Empirical Bayes | en_US |
| dc.subject | İstanbul Stock Exchange | en_US |
| dc.subject.lcc | HG4661 .S24 1993 | en_US |
| dc.subject.lcsh | Stock price forecasting. | en_US |
| dc.subject.lcsh | Stocks. | en_US |
| dc.subject.lcsh | Investments--Mathematical models. | en_US |
| dc.title | Prediction of systematic risk: "a case from Turkey" | en_US |
| dc.type | Thesis | en_US |
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