Testing the validity of CAPM in ISE national 100 index with panel data analysis

Korkmaz T., Yildiz B., GÖKBULUT R. İ.

ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS, cilt.39, sa.1, ss.95-105, 2010 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 39 Sayı: 1
  • Basım Tarihi: 2010
  • Dergi Adı: ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.95-105
  • İstanbul Üniversitesi Adresli: Evet

Özet

In this study, the applicability of Capital Asset Pricing Model (CAPM), which had a wide coverage in literature, is investigated in accordance with the panel data analysis method for the firms whose shares are included in the Istanbul Stock Exchange (ISE) National 100 Index and for the firms that were lasting between the years 1993-2007. Furthermore, considering the relationship between capital asset return and market return, the market risk premium of capital asset is estimated using the panel regression method alternatively. Findings show that CAPM is valid for the related period and panel regression could be an alternative for estimating market risk premium.