Beta and Return: Istanbul Stock Exchange Evidence

Recent empirical studies show that beta is not a good measure of risk. These studies test the unconditional relationship between beta and returns. Pettengill et al. (1995) developed a conditional test procedure and showed that there is a conditional relation between beta and returns. This new test is applied to Istanbul Stock Exchange (ISE) data over the period 1990-2000. Results of the paper showed that there is a conditional relationship between beta and returns, thus beta is still living in Istanbul and can be useful for portfolio managers and investors who wants to invest in emerging markets.