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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

Puni tekst: engleski, pdf (469 KB) str. 467-486 preuzimanja: 253* citiraj
APA 6th Edition
Ceylan, N.B., Dogan, B. i Berument, M.H. (2015). Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul. Economic research - Ekonomska istraživanja, 28 (1), 467-486. https://doi.org/10.1080/1331677X.2015.1075138
MLA 8th Edition
Ceylan, Nildag Basak, et al. "Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul." Economic research - Ekonomska istraživanja, vol. 28, br. 1, 2015, str. 467-486. https://doi.org/10.1080/1331677X.2015.1075138. Citirano 26.01.2020.
Chicago 17th Edition
Ceylan, Nildag Basak, Burak Dogan i M. Hakan Berument. "Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul." Economic research - Ekonomska istraživanja 28, br. 1 (2015): 467-486. https://doi.org/10.1080/1331677X.2015.1075138
Harvard
Ceylan, N.B., Dogan, B., i Berument, M.H. (2015). 'Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul', Economic research - Ekonomska istraživanja, 28(1), str. 467-486. https://doi.org/10.1080/1331677X.2015.1075138
Vancouver
Ceylan NB, Dogan B, Berument MH. Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul. Economic research - Ekonomska istraživanja [Internet]. 2015 [pristupljeno 26.01.2020.];28(1):467-486. https://doi.org/10.1080/1331677X.2015.1075138
IEEE
N.B. Ceylan, B. Dogan i M.H. Berument, "Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul", Economic research - Ekonomska istraživanja, vol.28, br. 1, str. 467-486, 2015. [Online]. https://doi.org/10.1080/1331677X.2015.1075138

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

Posjeta: 345 *