The Intertemporal Asset Pricing Model: Evidence for Borsa Istanbul

---

KAYA E., Gongor B.

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, cilt.14, sa.3, ss.579-595, 2019 (ESCI, TRDizin)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 14 Sayı: 3
• Basım Tarihi: 2019
• Dergi Adı: ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
• Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
• Sayfa Sayıları: ss.579-595
• Atatürk Üniversitesi Adresli: Evet

Özet

The main purpose of this study is to test the power of Intertemporal Asset Pricing Model in explaining stock returns. In this study, Intertemporal Asset Pricing Model was set up by using market premium, firm size, book value/market value rate, economic shocks. The effects of this risk factors on the stock returns were investigated through panel data analysis. Findings show that Intertemporal Asset Pricing Model is valid for Borsa Istanbul.