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- W571099702 abstract "The estimation of systematic risk, or beta, is important to many applications in finance. The Capital Asset Pricing Model assumes that the beta coefficient is constant through time. However, many studies on developed equity markets and some on emerging markets have found evidence that individual stock betas are time varying. The purpose of this study is to investigate the issue of beta stability in the Istanbul Stock Exchange from 1992 to 1999. The tests are conducted on individual stocks over the full sample period and his subintervals. It seems that Betas are highly time varying over four- and eight-year estimation periods in the ISE. In addition, the incidence of instability gets lower as the estimation sub-period shortens from eight-year to a year. This finding can be explained by fast changes in companies and the market in Turkey. It also questions the existence of an estimation length effect on beta estimates." @default.
- W571099702 created "2016-06-24" @default.
- W571099702 creator A5003048165 @default.
- W571099702 date "2003-01-01" @default.
- W571099702 modified "2023-09-26" @default.
- W571099702 title "An Investigation of Beta Instability in the Istanbul Stock Exchange" @default.
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