Capital assets pricing model: Borsa Istanbul application

Risk has always been the most important issue for investors, and the reason is that it is the most important factor affecting return. There are two types of risk, the first is systematic risk and the other is non-systematic risk. Systematic risk is the risk caused by the items that affect all securities in the market simultaneously. Non-systematic risk is specific to the company or the sector in which the company is located and can be reduced or eliminated to a good diversification. The issue of CAPM is the systematic risk that can not be reduced to diversification. CAPM works to explain the systematic risk associated with the beta coefficient and explain the return on assets. The financial literature also has two basic models for determining asset prices. These are Capital Asset Pricing Model and Arbitrage Pricing Theory. This study examines whether the Capital Asset Pricing Model is valid in Bist by using the standard form of CAPM. In the application part of the study, it was tested according to the standard form of SVFM with 60-month returns of 30 stocks traded in Bist between 2011-2015. As a result of the study, it can be said that the standart form of CAPM is not in current BIST between 2011-2015. Keywords: Portfolio, Portfolio Management, Systematic Risk, Beta, Capital Assetment Pricing Model (CAPM)