Izvorni znanstveni članak

https://doi.org/10.1080/1331677X.2015.1075138

Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul

Nildag Basak Ceylan
Burak Dogan
M. Hakan Berument

Sažetak

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French’s three-factor model. Our findings suggest that market factor, size, and book-to-market (B/M) variables are still statistically significant and Jensen’s alpha is still not significant, and we obtain a statistically significant negative relationship between the excess return of foreign investors’ ownership and the return variation of a given portfolio.

Ključne riječi

Fama–French three-factor model; foreign portfolio investment; portfolio returns

Hrčak ID:

171541

URI

https://hrcak.srce.hr/171541

Datum izdavanja:

20.12.2015.

Posjeta: 1.406 *