Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange

作者：Yalcin Atakan^*; Ersahin Nuri

来源：Emerging Markets Finance and Trade, 2011, 47(4): 28-48.

DOI：10.2753/REE1540-496X470402

• asset pricing
• conditional CAPM
• emerging markets
• short window regression

Using a sample of common stocks traded on the Istanbul Stock Exchange from February 1997 to April 2008, we test whether the conditional capital asset pricing model (CAPM) accurately prices assets. In our empirical analysis, we closely follow the methodology introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fares no better than the static counterpart in pricing assets. Although market betas do vary significantly over time, the intertemporal variation is not large enough to drive average conditional alphas to zero.

• 出版日期2011-8
• 单位西北大学