Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC …

The present study investigates the possible existence of a systematic relation between beta and excess-return for … portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excessreturn …-return and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic …