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THE VALIDITY OF THREE FACTOR ASSET PRICING MODEL: A STUDY IN BORSA ISTANBUL
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نویسنده
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COŞKUN Ender ,ÇINAR Önal
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منبع
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journal of economics and administrative sciences, ataturk university - 2014 - دوره : 28 - شماره : 4 - صفحه:235 -250
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چکیده
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It is asserted that market value (mv) and book-to-market value ratio (bm) are also effective in explaining the stock return alongside market portfolio in three factor model of fama french. in this paper we analyze effects of market value and book-to-market value ratio for stock return, i.e. accounting effect of three factor model of fama french in stock return, in related to firms that were present in borsa istanbul for thirteen year without interrupt in years of 2001-2013. three different regression models are generated in panel data analysis performed. we found that both market value and book-to-market value ratio have significant and negative effects over stock return in all three models.
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کلیدواژه
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Size ,book to market ratio ,asset pricing ,Fama French three factor model ,Borsa Istanbul ,panel data analysis
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آدرس
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Pamukkale Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Turkey, Pamukkale Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Turkey
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Authors
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