Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market - Borsa Istanbul


Ceylan N. B. , Dogan B., Berument M. H.

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, cilt.28, ss.467-486, 2015 (SSCI İndekslerine Giren Dergi)

  • Cilt numarası: 28
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1080/1331677x.2015.1075138
  • Dergi Adı: ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA
  • Sayfa Sayısı: ss.467-486

Özet

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French's three-factor model. Our findings suggest that market factor, size, and book-to-market (B/M) variables are still statistically significant and Jensen's alpha is still not significant, and we obtain a statistically significant negative relationship between the excess return of foreign investors' ownership and the return variation of a given portfolio.