ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches in...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, University of Tuzla
2016-05-01
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| Series: | Economic Review |
| Subjects: | |
| Online Access: | https://www.er.ef.untz.ba/index.php/er/article/view/111 |
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