285
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Drivers of expected returns in Istanbul stock exchange: Fama–French factors and coskewness

&
Pages 2619-2633 | Published online: 11 Apr 2011

References

  • Akdeniz , L , Altay-Salih , A and Aydoğan , K . 2000 . A cross-section of expected stock returns on Istanbul Stock Exchange . Russian and East European Finance and Trade , 36 : 6 – 26 .
  • Aksu , M and Onder , T . 2000 . The size and book-to-market effects and their role as risk proxies in Istanbul Stock Exchange Working Paper, Sabanci University
  • Bekaert , G , Erb , CB , Harvey , CR and Viskanta , TE . 1998 . Distributional characteristics of emerging market returns and asset allocation . Journal of Portfolio Management , 16 : 47 – 61 .
  • Bildik , R and Gulay , G . 2002 . Profitability of contrarian vs momentum strategies: evidence from Istanbul Stock Exchange EFMA 2002 London Meetings. Available at SSRN: http://ssrn.com/abstract=315379 (Accessed 10 June 2006)
  • Black , F , Jensen , MC and Scholes , M . 1972 . “ The capital asset pricing model: some empirical tests ” . In Studies in the Theory of Capital Markets , Edited by: Jensen , MC . 79 – 121 . New York : Praeger .
  • Chung , YP , Johnson , H and Schill , M . 2006 . Asset pricing when returns are nonnormal: Fama-French factors versus higher-order systematic co-moments . Journal of Business , 79 : 923 – 40 .
  • DeBondt , WFM and Thaler , RH . 1985 . Does the stock market overreact? . Journal of Finance , 40 : 793 – 805 .
  • Dittmar , R . 2002 . Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns . Journal of Finance , 57 : 369 – 403 .
  • Estrada , J . 2000 . The cost of equity in emerging markets: a downside risk approach . Emerging Markets Quarterly , 4 : 19 – 30 .
  • Fama , EF and French , KR . 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 65 .
  • Fama , E and French , KR . 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
  • Fama , E and French , KR . 1996 . Multifactor explanations of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
  • Fama , E and French , KR . 1998 . Value versus growth: the international evidence . Journal of Finance , 53 : 1975 – 2000 .
  • Fama , E and MacBeth , J . 1973 . Risk, return and equilibrium: empirical tests . Journal of Political Economy , 81 : 607 – 36 .
  • Gibbons , MR , Ross , SA and Shanken , J . 1989 . A test of efficiency of a given portfolio . Econometrica , 57 : 1121 – 52 .
  • Gonenc , H and Karan , MB . 2003 . Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from Istanbul Stock Exchange . Journal of International Financial Management and Accounting , 14 : 1 – 25 .
  • Hameed , A and Kusnadi , Y . 2002 . Momentum strategies: evidence from the Pacific-Basin stock markets . Journal of Financial Research , 25 : 383 – 97 .
  • Harris , RDF and Kucukozmen , CC . 2001 . The empirical distribution of stock returns: evidence from an emerging European market . Applied Economics Letters , 8 : 367 – 71 .
  • Harvey , CR . 1995 . Predictable risk and returns in emerging markets . Review of Financial Studies , 8 : 773 – 816 .
  • Harvey , CR . 2000 . Drivers of expected returns in international markets . Emerging Markets Quarterly , : 32 – 49 .
  • Harvey , CR and Siddique , A . 2000 . Conditional skewness in asset pricing tests . Journal of Finance , 55 : 1263 – 95 .
  • Hung , DC-H . 2004 . The pricing of co-skewness and co-kurtosis in international size and momentum strategies Working Paper, Lancaster University
  • Hung , DC-H , Shackleton , M and Xu , X . 2004 . CAPM, higher co-moment and factor models of U.K. stock returns . Journal of Business Finance & Accounting , 31 : 87 – 112 .
  • Hwang , S and Pedersen , CS . 2004 . Asymmetric risk measures when modeling emerging markets equities: evidence for regional and timing effects . Emerging Markets Review , 5 : 109 – 28 .
  • Hwang , S and Satchell , SE . 1999 . Modelling emerging market risk premia using higher moments . International Journal of Finance and Economics , 4 : 271 – 96 .
  • Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications from stock market efficiency . Journal of Finance , 48 : 65 – 91 .
  • Kraus , A and Litzenberger , R . 1976 . Skewness preference and the valuation of risk assets . Journal of Finance , 31 : 1085 – 100 .
  • Lim , KG . 1989 . A new test of three-moment capital asset pricing model . Journal of Financial Quantitative Analysis , 24 : 205 – 16 .
  • Lin , B and Wang , JM . 2003 . Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market . Applied Economics , 35 : 1877 – 87 .
  • Lintner , J . 1965 . The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets . Review of Economics and Statistics , 47 : 13 – 37 .
  • MacKinlay , AC . 1985 . An analysis of multivariate financial tests PhD Dissertation, Graduate School of Business, University of Chicago, IL60637, USA
  • Rouwenhorst , KG . 1999 . Local return factors and turnover in emerging stock markets . Journal of Finance , 54 : 1439 – 64 .
  • Scott , RC and Horvath , PA . 1980 . On the Direction of Preference for Moments of Higher Order than the Variance . Journal of Finance , 35 : 915 – 19 .
  • Shanken , J . 1992 . On the estimation of beta-pricing models . Review of Financial Studies , 5 : 1 – 33 .
  • Sharpe , WF . 1964 . Capital asset prices: a theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.