Beta and returns: Istanbul Stock Exchange evidence

Karacabey A. A., KARATEPE Y.

Investment Management and Financial Innovations, vol.1, no.3, pp.86-89, 2004 (Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 1 Issue: 3
  • Publication Date: 2004
  • Journal Name: Investment Management and Financial Innovations
  • Journal Indexes: Scopus, International Bibliography of Social Sciences, ABI/INFORM, Directory of Open Access Journals
  • Page Numbers: pp.86-89
  • Ankara University Affiliated: Yes

Abstract

Recent empirical studies show that beta is not a good measure of risk. These studies test the unconditional relationship between beta and returns. Pettengill et al. (1995) developed a conditional test procedure and showed that there is a conditional relation between beta and returns. This new test is applied to Istanbul Stock Exchange (ISE) data over the period of 1990-2000. Results of the paper showed that there is a conditional relationship between beta and returns, thus beta is still living in Istanbul and can be useful for portfolio managers and investors who want to invest in emerging markets. © Publishing Company Business Perspectives All rights reserved.