Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange

Atakan Yalçın and Nuri Ersşahin

Emerging Markets Finance and Trade, 2011, vol. 47, issue 4, 28-48

Abstract: Using a sample of common stocks traded on the Istanbul Stock Exchange from February 1997 to April 2008, we test whether the conditional capital asset pricing model (CAPM) accurately prices assets. In our empirical analysis, we closely follow the methodology introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fares no better than the static counterpart in pricing assets. Although market betas do vary significantly over time, the intertemporal variation is not large enough to drive average conditional alphas to zero.

Keywords: asset pricing; conditional CAPM; emerging markets; short window regression (search for similar items in EconPapers)
Date: 2011
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