engleski

Market Portfolio Impact on Textile, Wearing Apparel and Leather Industries in Turkey: Sharpe Diagonal Model Approach

In this paper we examined zhe use of the Sharpe diagonal model as a way to assess the risk in the textile, wearing apparel, and leather industries in Turkey within the framework of the CAPM over the period between January 2002 and June 2008 when there is no financial crisis and big schocks in the market. The purposes of this paper are threefold: first is to examine the explanatory power of market portfolio's return on stock returns in Istanbul Stock Exchange (ISE), second is to investigate how the CAPM performs on the sample of stocks in those industries, and third is to explore if the CAPM is a valid model to estimate the expected returns. The results show that the CAPM is not rejected in the second pass regression whereas tests of alphas and betas partially validate some of its assumptions.

modern portfolio theory ; Sharpe diagonal model ; CAPM ; diversification ; asset allocation

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