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Title:Does the conditional CAPM work? Evidence from the Istanbul Stock Exchange PDF Logo
Authors:Yalçın, Atakan
Erşahin, Nuri
Issue Date:2010
Series/Report no.:TÜSİAD-Koç University Economic Research Forum working paper series 1025
Abstract:This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fairs no better than the static counterpart in pricing assets. Although market betas do vary significantly over time, the intertemporal variation is not nearly large enough to drive average conditional alphas to zero.
Document Type:Working Paper
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

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