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http://ssrn.com/abstract=420245
 
 

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Measuring the Systematic Risk of IPO's Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange


Yaz Gulnur Muradoglu


Queen Mary University of London; City University London - Sir John Cass Business School

Asad Zaman


Pakistan Institute of Development Economics

Mehmet Orhan


Fatih University - Department of Economics

2003

International Journal of Business, Vol. 8, No. 3, 2003
Cass Business School Research Paper
CUBS Finance Working Paper No. 07

Abstract:     
The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE). The sectors that the firms belong to, provide the priors. Comparisons are made with OLS estimators across different estimation and forecasting periods. Two benchmark criteria are used; sum of squared residuals and sum of absolute residuals. The application requires some complicated manipulation of the theory where some inferiors of the ordinary Bayesian approach are avoided. Results show that using the EBE procedure, betas can be calculated with greater precision than OLS. This enables us to evaluate IPO's on similar intuition with other stocks, i.e. in a portfolio context rather than in isolation.

Number of Pages in PDF File: 20

Keywords: Empirical Bayes method, Beta estimation, Forecasting, Capital Asset Pricing Model, Initial public offering

JEL Classification: C2, C11, C52, G1, G12

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Date posted: August 19, 2003  

Suggested Citation

Muradoglu, Yaz Gulnur and Zaman, Asad and Orhan, Mehmet, Measuring the Systematic Risk of IPO's Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange (2003). International Journal of Business, Vol. 8, No. 3, 2003; Cass Business School Research Paper; CUBS Finance Working Paper No. 07. Available at SSRN: http://ssrn.com/abstract=420245 or http://dx.doi.org/10.2139/ssrn.420245

Contact Information

Yaz Gulnur Muradoglu (Contact Author)
Queen Mary University of London ( email )
Dilke House
1 Malet Street
London, WC1E 7JN
United Kingdom
City University London - Sir John Cass Business School ( email )
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)
Asad Zaman
Pakistan Institute of Development Economics ( email )
Quaid-i-Azam University Campus
P.O.Box 1091
Islamabad, Federal Capital 44000
Pakistan
Mehmet Orhan
Fatih University - Department of Economics ( email )
Istanbul
Turkey
+90 212 889 08 10 (Phone)
+ 90 212 889 02 32 (Fax)
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