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PurposeThe beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset pricing model (CAPM) and downside CAPM risk parameters to gain further insight into which risk parameter leads to better performing risk measures at explaining stock returns.Design/methodology/approachThe study conducts a comparative analysis of 16 risk measures at explaining the stock returns of 4531 companies of 20 developed and 25 emerging market index for 2000–2018. The analyses are conducted using both the global and local indices and both USD and local currency returns. Calculated risk measures are analyzed in a panel data setup using a univariate model. Results are investigated in country-specific and model-specific subsets.FindingsThe results show that (1) downside betas are better than CAPM betas at explaining the stock returns, (2) both risk measure groups perform better for emerging markets, (3) global downside beta model performs better than global beta model, implying the existence of the contagion effect, (4) high significance levels of total risk and unsystematic risk measures further support the shortfall of CAPM betas and (5) higher correlation of markets after negative shocks such as pandemics puts global CAPM based downside beta to a more reliable position.Research limitations/implicationsThe data are limited to the index securities as beta could be time varying.Practical implicationsResults overall provide insight into the cost of equity calculation and emerging market assets valuation.Originality/valueThe framework and methodology enable us to compare and contrast CAPM and downside-CAPM risk measures at the firm level, at the global/local level and in terms of the level of market development.

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Yatırımcıların kayıplara kazançlardan daha fazla önem vermesi ve getiri serilerindeki asimetrik dağılım, portföy teorisinin ortalama-varyans yaklaşımından ortalama-semivaryans yaklaşımına evrilmesine neden olmuştur. Gelişmekte olan piyasalarda, pay getirilerindeki asimetrik eğilim de aşağı yönlü risk ölçütlerinin kullanımını desteklemektedir. Çalışmanın nihai amacı portföy seçiminde ortalama-varyans yaklaşımının, ortalama-semivaryans yaklaşımından farklı sonuçlara neden olup olmadığını araştırmaktır. Bu doğrultuda BIST30 endeksinde yer alan payların, 2016-2020 yılları arasındaki aylık getirileri kullanılarak Tek Endeksli Piyasa Modeli ile betaları ve aşağı yönlü betaları hesaplanmıştır. Daha sonra CAPM ve D-CAPM uygulanarak elde edilen istenen getiriler, gerçekleşen getiriler ile karşılaştırılmış ve pozitif/negatif alfalı paylar belirlenmiştir. Çalışma sonucunda, betalar ve aşağı yönlü betalar arasındaki fark istatistiksel olarak anlamlı olmasına rağmen hem CAPM hem de D-CAPM kullanılarak portföye alınması veya portföyden çıkarılması gereken payların aynı olduğu ortaya konulmuştur. Diğer bir sonuç da ortalama-semivaryans yaklaşımı kullanılarak yapılan çeşitlendirmenin, ortalama-varyans yaklaşımı kullanarak yapılan çeşitlendirmeden daha başarılı olmadığıdır. Çalışmanın sonuçları D-CAPM'in, gelişmekte olan bir piyasa olarak Borsa İstanbul' da, CAPM' den daha yüksek istenen getiriler sunması bakımından da önemlidir.

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This paper analyses Turkey's country risk using a time-varying country beta market model incorporating various macroeconomic variables over the period January 2004 to August 2015. To our knowledge this is the first study exploring Turkey's country risk using country beta approach. We confirmed that Turkey's country beta is time-varying and demonstrates a huge amount of volatility especially between 2004 and 2007. We find that government and private sector external debt and market interest rates are the significant macroeconomic factors that have influenced Turkey's country beta during the analysis period. These findings reveal an important structural macroeconomic change in Turkish economy that is concerns about the sustainability of government debt and public finances have shifted to private sector related issues. Specifically, while private sector external debt, which increased rapidly during this period, has a significant positive impact on Turkey's country beta, substantially lowered levels of government external debt (as a percentage of GDP) acts as a risk-reducing macroeconomic factor.

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