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Determinants of Financial vs. Non Financial Stock Returns: Evidence from Istanbul Stock Exchange

Caglayan, M. and Lajeri-Chaherli, F. (2009) Determinants of Financial vs. Non Financial Stock Returns: Evidence from Istanbul Stock Exchange. Working Paper. Department of Economics, University of Sheffield ISSN 1749-8368


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We estimate a four-factor model for a sample of financial and nonfinancial firms traded on the Istanbul Stock Exchange (ISE). The factors relate to market return, interest, inflation and exchange rates. By investigating the effects of these factors simultaneously for different exchange rate regimes, we show that market return, interest, inflation, and exchange rates play a separate role in financial and nonfinancial firms´ stock returns. We also show that all factors are priced during the period of free float. These results are important for determining financial institutions' cost of capital and for identifying the risks that should be hedged.

Item Type: Monograph (Working Paper)
Copyright, Publisher and Additional Information: The Sheffield Economics Research Paper (SERP) series offers a forum for the research output of the academic staff and research students of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. All papers may be downloaded free on the understanding that the contents are preliminary and therefore permission from the author(s) should be sought before they are referenced.
Keywords: interest rate risk, inflation risk, Foreign exchange risk
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series
Depositing User: Repository Officer
Date Deposited: 23 Oct 2009 13:54
Last Modified: 04 Jun 2014 23:05
Published Version: http://www.shef.ac.uk/economics/research/serps/yea...
Status: Published
Publisher: Department of Economics, University of Sheffield
Identification Number: Sheffield Economic Research Paper Series 2009007
URI: http://eprints.whiterose.ac.uk/id/eprint/10003

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