Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange

31 Pages Posted: 31 May 2012

See all articles by Atakan Yalcin

Atakan Yalcin

Ozyegin University

Nuri Ersahin

Michigan State University-Department of Finance

Date Written: January, 20 2010

Abstract

This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted portfolio returns remaining after we allow betas to vary over time. Although market betas do vary significantly, the intertemporal variation is not nearly large enough to explain the asset pricing anomalies considered.

Keywords: Market anomalies, Conditional CAPM, ISE

JEL Classification: G12, G15, C22

Suggested Citation

Yalcin, Atakan and Ersahin, Nuri, Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange (January, 20 2010). Available at SSRN: https://ssrn.com/abstract=1539403 or http://dx.doi.org/10.2139/ssrn.1539403

Atakan Yalcin (Contact Author)

Ozyegin University ( email )

Nisantepe Mahallesi
Alemdag, Cekmekoy
Istanbul, 34794
Turkey
+90-216-564-9587 (Phone)
+90-216-564-9045 (Fax)

Nuri Ersahin

Michigan State University-Department of Finance ( email )

Champaign, IL 61820
United States
8478686532 (Phone)

HOME PAGE: http://sites.google.com/site/nuriersahin/

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