Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market

Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM (bet...

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Bibliographic Details
Main Authors: Erol Muzir, Cevdet Kizil, Burak Ceylan
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Journal of Risk and Financial Management
Subjects:
static and conditional asset-pricing models
corporate governance quality
international trade capability
robust linear regression
Bayesian regression
Borsa Istanbul
Online Access:https://www.mdpi.com/1911-8074/14/3/125

Internet

https://www.mdpi.com/1911-8074/14/3/125

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