Publication: The validity test of q-Factor model in Borsa Istanbul
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Authors
Özkan, Nesrin
Authors
Özkan, Nesrin
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Eskişehir Osmangazi Üniversitesi
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Abstract
Asset pricing models are the subject that has attracted much attention in finance for years. Recently Hou, Xue and Zhang (2015) developed a new asset pricing model and denominated "q-factor model". In the model, the excess returns of risk-free rate are explained by market beta, firm size, investment and profitability factors. In this study, the validity of q-factor model in Borsa Istanbul is investigated by using time series regression method. As per GRS-F test results, it is obtained that q-factor model is valid in Borsa Istanbul. The findings revealed that all four factors are priced between July 2009 and June 2016 in Borsa Istanbul and q-factor model can be used in predicting expected returns.
Description
Bu çalışma, Bursa Uludağ Üniversitesi Sosyal Bilimler Enstitüsünde Değer Alper'in danışmanlığında Nesrin Özkan tarafından yazılan "Karlılık, aktif büyüme anomalileri ve alternatif varlık fiyatlama modelleri: Borsa İstanbul uygulaması" adlı doktora tezine dayanılarak hazırlanmıştır.
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Keywords
Investment, Q-factor model, Asset pricing, Returns, Borsa İstanbul, Business & economics