Testing the Validity of Standard and Zero Beta Capital Asset Pricing Model in Istanbul Stock Exchange
Sinem Derindere Köseoğlu, Burcu Adıgüzel Mercangöz

The objective of this study is to test the validity of Zero Beta Capital Asset Pricing Model (CAPM), developed by Black (1972),in another words testing validity of the CAPM in an environment with no risk-free asset and with Zero Beta capital asset, in Istanbul Stock Exchange (ISE). For this purpose, analyses have been done by using common stocks within ISE 100. Before doing the validity test of Zero Beta CAPM, test has been done in Standard CAPM. According to the results obtained in ISE test of Standard and Zero Beta CAPM, validity of both models has not been rejected. It is possible to state that both Standard CAPM and Zero Beta CAPM is proper for ISE; however it has been revealed that Zero Beta form is more valid. The result stating that Zero Beta CAPM is more valid is the same as the results of the study, done by Fama and MacBeth (1974). In both models; linearity relation between risk and return, provided by the models has been found valid for ISE.

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