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Testing postmodern portfolio theory based on global and local single factor market model: Borsa Istanbul case

机译：基于全球和本地单因素市场模型测试后现代投资组合理论：Borsa Istanbul案例

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摘要

This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single factor models are examined for 2005–2016 period in a panel data setting. Mean-semivariance approach (downside CAPM) based downside betas and downside standard deviations have significant explanatory power for stock returns whereas CAPM based local and global betas fail to explain stock returns. The mean-semivariance approach (downside CAPM) could determine cost of equity more accurately. Deviations of returns below the mean are better risk indicators than deviations of returns below risk free rate of return and negative returns. Borsa Istanbul is partially integrated with the global market index and the degree of integration is higher during periods of negative returns. Results suggest that USD/TRY relationship is the dominating factor compared to MSCI movements.
机译：这项研究对CAPM的解释力和基于伊斯坦布尔证券交易所（Borsa Istanbul）股票收益的下行CAPM风险衡量标准进行了比较分析。在面板数据集中检查了2005-2016年期间使用全球和局部单因素模型基于均值-方差和均值-半方差方法的22种风险度量。基于均值半方差法（下行CAPM）的下行beta和下行标准偏差对股票收益具有重要的解释能力，而基于CAPM的本地和全球beta无法解释股票收益。均值半方差法（下行CAPM）可以更准确地确定权益成本。低于均值的收益偏差是比低于无风险收益率和负收益的收益偏差更好的风险指标。伊斯坦布尔证券交易所（Borsa Istanbul）已与全球市场指数进行部分整合，并且在出现负回报期间，整合程度更高。结果表明，与MSCI走势相比，USD / TRY关系是主要因素。

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