Impact of Using Price Return Instead of Total Return on the Results of the Studies on Asset Pricing Models and Portfolio Selection
Muhasebe ve Finansman DergisiMuhasebe ve Finansman Dergisi No. 932021-09-02
Cayirli, Omer, Kayalıdere, Koray, Aktaş, Hüseyin
Özet
In this study, the effect of using price returns instead of total returns, contrary to the assumptions of finance theory, on the findings of the carried analysis while studying topics such as asset pricing models and portfolio selection is examined. The data set of the study consists of daily data over the 2006:1-2020:12 period for the national 100 index and six sub-indices in Borsa Istanbul. The results reveal that the use of price returns causes a bias in portfolio selection in favour of assets with low dividend yields and against those with high dividend yields. It has been observed that…
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