# Reward-to-Risk Ratios in Turkish Financial Markets

*K. Ozgur Demi̇rtas* and
*Yigit Atilgan*

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K. Ozgur Demi̇rtas: Baruch College, CUNY

*Iktisat Isletme ve Finans*, 2013, vol. 28, issue 323, 9-32

**Abstract:**
This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher reward-to-risk ratios compared to the sector indices. GDS indices with longer maturities have lower reward-to-risk ratios and this reduction is especially pronounced when the ratios take downside risk into account. The reward-to-risk rankings for the sector indices are similar for each measure and the results are robust to currency conversion.

**Keywords:** Reward-to-risk Ratios; Downside Risk Measures; Value at Risk; Stock Indices; Government Debt Security Indices. (search for similar items in EconPapers)

**JEL-codes:** G10 G11 G12 (search for similar items in EconPapers)

**Date:** 2013

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**Persistent link:** https://EconPapers.repec.org/RePEc:iif:iifjrn:v:28:y:2013:i:323:p:9-32

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