Do Time-Varying Betas Help in Asset Pricing? Evidence from Borsa Istanbul

Creative Commons License

Yayvak B., Akdeniz L., Salih A.

EMERGING MARKETS FINANCE AND TRADE, cilt.51, sa.4, ss.747-756, 2015 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 51 Sayı: 4
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1080/1540496x.2015.1046346
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.747-756
  • Anahtar Kelimeler: asset pricing, threshold CAPM, time variation in beta, CROSS-SECTION, STOCK RETURNS, MARKET VALUE, RISK, PREDICTABILITY, VOLATILITY, EXPOSURE, YIELD, CAPM
  • TED Üniversitesi Adresli: Hayır

Özet

We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the threshold CAPM. The threshold CAPM defines beta as a function of an underlying economic variable, the threshold variable, to allow beta to change between two different regimes when the threshold variable hits a certain threshold level. We use interest rate, currency basket, real effective currency index, and market volatility as candidates for the threshold variable. We find there is a significant time variation in betas with respect to changes in the currency basket level.