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

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

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 i...

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Bibliographic Details
Main Authors: Mehmet Emin Yildiz, Yaman O. Erzurumlu
Format: Article
Language:English
Published: Elsevier 2018-12-01
Series:Borsa Istanbul Review
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845018300309

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