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Yıl 2014, Cilt: 28 Sayı: 4, 0 - , 16.07.2014

Ender Çoşkun Önal Çınar

Öz

are also effective in explaining the stock return alongside market portfolio in three factor model of Fama French. In this paper we analyze effects of market value and book-to-market value ratio for stock return, i.e. accounting effect of three factor model of Fama French in stock return, in related to firms that were present in Borsa Istanbul for thirteen year without interrupt in years of 2001- 2013. Three different regression models are generated in panel data analysis performed. We found that both market value and book-to-market value ratio have significant and negative effects over stock return in all three models

Anahtar Kelimeler

Size book to market ratio asset pricing Fama French three factor model Borsa Istanbul panel data analysis

Kaynakça

  • Ajili, S. (2002), “Capital Asset Pricing Model and Three Factor Model of Fama and French Revisited in the Case of France”. Working Paper.ss:1-26. www.cereg.dauphine.fr/.../cereg200210.pdf
  • Akdeniz, L., Altay-Salih A. ve Aydoğan, K. (2000), “Cross Section of Expected Stock Returns in ISE”, Russian & East European Finance & Trade, Cilt:36, ss. 6-26.
  • Aksu, M. ve Önder, T. (2003), “The Size and Book-to-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange”, Koç Üniversitesi, Graduate School of Business, Working Paper No. 20000 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=250919.
  • Atakan, T. ve Gökbulut, İ. (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Mufad Dergisi, Sayı:45, ss. 180-189.
  • Baltagi, B. (2005), Econometric Analysis of Panel Data, Third Edition, John Wiley Ltd. England.
  • Banz, R.W. (1981), “The Relationship Between Return And Market Value Of Common Stock”, Journal of Financial Economics, Vol:9, ss. 3-18.
  • Barber, M.B. ve Lyon, J. D. (1997), “Detecting Long-Run Abnormal Stock Returns: The Empirical Power And Specification of Test Statistics”, Journal Of Finansal Economics, 43(3), ss. 341-372.
  • Basu, S. (1983), “The Relationship between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence," Journal of Financial Economics, Vol:12, ss. 129-156.
  • Bhandari, L. (1988), “Debt/Equity Ratio and Expected Common Stock Returns:Emprical Evidence” Journal of Finance, 53(2), ss.507-528.
  • Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data,” Ed.: Baltagi, B., Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161–178.
  • Canbaş, S. ve Arıoğlu, E. (2008), “Testing The Three Factor Model of Fama And French: Evidence From Turkey” Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 17(3), ss:79-92.
  • Chan, L.K.C., Hamao, Y. ve Lakonishok, J. (1991), “Fundamentals and stock returns in japan”, The Journal of Finance 46( 5), ss.1739–64.
  • Chen, N.F., R. Roll, and S.A. Ross, (1986), “Economic forces and the stock market”, Journal of Business Vol:59, s. 383-403.
  • Choi, I. (2001), “Unit Roots Tests for Panel Data”, Journal of International Money and Finance, vol:20, ss.229-272.
  • Chui, A. C.W., Wei, K.J.C. (1998), “Book-to-Market, Firm Size and the Turnof-the-Year Effect: Evidence from Pacific–Basin Emerging Markets”, Pasific–Basin Finance Journal, 6(3-4), ss. 275–293.
  • Doğanay, M. (2006), “Fama - French Üç Faktör Varlık Fiyatlama Modelinin İMKB’de Uygulanması”, İktisat İşletme ve Finans Dergisi, Cilt:21, Sayı:249, ss. 61-71.
  • Er, Ş. ve Vuran, B. (2012), “Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach”, International Journal of Business and Social Research (IJBSR), 2(1), ss.109-122.
  • Eraslan, V. (2013), “Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange”, Business and Economics Research Journal, 4(2), ss.11-22.
  • Erlat, H. (2006), Panel Data : A selective Survey. Ders Notları, ODTÜ, Ankara.
  • Fama, E. ve French, K. (1992), “The Cross Section Of Expected Stock Returns”, The Journal of Finance, Vol:47, No:2, ss.427-465.
  • Fama, E. ve French, K. (1993), “Common Risk Factors In The Returns On Stocks And Bonds”, The Journal of Economics, Vol:33, s.3-56.
  • Fama, E, French K. (1995), ‘Size and Book-to-Market Factors in Earnings and Returns’, The Journal of Finance, March, Vol:50 ss. 131-155.
  • Fama, E. ve French, K. (1996), “Multifactor Explanations Of Asset Pricing Anomalies”. Journal of Finance, Vol:51, ss. 55-83.
  • Gaunt, C. (2004), “Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stockmarket”, Accounting and Finance, 44(1), ss. 27-44. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=513261
  • Gökgöz, F. (2008), “Üç Faktörlü Varlık Fiyatlama Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği”. Ankara Üniversitesi SBF Dergisi, 63(2), ss. 43-64.
  • Gönenç, H. ve Karan, M.B.(2003), “Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from Istanbul Stock Exchange, Journal of International Financial Management & Accounting, 14(1), ss.1-25.
  • Gupta, C. P. ve Kumar, R. (2009), “A Re-Examinations of Factors Affecting Returns in Indian Stock Market”, Journal Of Emerging Market Finance, Forthcoming. https://papers.ssrn.com/sol3/Data_Integrity_Notice.cfm?abid=137623 6
  • Güzeldere, H. ve Sarıoğlu, S.E. (2012), “Varlık Fiyatlamada Fama-French Üç Faktörlü Model’in Geçerliliği: BIST Üzerine Bir Araştırma”, Business and Economics Research Journal, 3(2), ss. 1-19.
  • Im, K., Pesaran, H. ve Shin, Y. (2003), “Testing for Unit Roots in Heterogenous Panels”, Journal of Econometrics, 115(1), ss.53-74.
  • Korkmaz, T.,Yıldız, B. ve Gökbulut, İ. (2010), “FVFM’nin İMKB Ulusal 100 Endeksindeki Geçerliliğinin Panel Veri Analizi İle Test Edilmesi” İstanbul Üniversitesi İşletme Fakültesi Dergisi,39(1), ss.95-105.
  • Levin, A., Lin, C. ve Chu, J. (2002), “Unit Roots Tests in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, 108, ss.1-24.
  • Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, The Review of Economics and Statistics, s.13-37.
  • Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19 (3), ss.425-442.
  • Maddala, G.S ve Wu, S. (1999), “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test”, Oxford Bulletin of Economics and Statistics, No:61, ss.631-652.
  • Mossin, J. (1966), “Equilibrium in A Capital Asset Market”. Econometrics, 34, ss.7687
  • Şakar, B. (2009), “Varlık Fiyatlamada Faktör Modelleri ve Üç Faktörlü Modelin İMKB’de Testi”, Yayımlanmamış Yüksek Lisans Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü İşletme Anabilim Dalı. Şamiloğlu, F. (2006), “Şirket Büyüklüğü, Defter Değeri/Piyasa Değeri ve Ortalama Getiriler: İstanbul Menkul Kıymetler Borsası’nda Ampirik Bir İnceleme”, MUFAD Dergisi, Sayı:32.
  • Ünlü, U. (2012), “Alternatif Varlık Fiyatlama Modellerinin İMKB’de Test Edilmesi”, 16. Finans Sempozyumu Bildiri Kitabı, ss. 1-12, Erzurum. http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasiverileri/sirketler-verileri http://www.tcmb.gov.tr/evds/dibs/istihl.htm

ÜÇ FAKTÖR VARLIK FİYATLAMA MODELİNİN GEÇERLİLİĞİ: BORSA İSTANBUL’DA BİR İNCELEME

Yıl 2014, Cilt: 28 Sayı: 4, 0 - , 16.07.2014

Ender Çoşkun Önal Çınar

Öz

Fama French Üç Faktörlü Varlık Fiyatlama Modelinde, portföyün getirisini, pazarın getirisinin yanında,  büyüklüğün  (PD) ve defter değeri/piyasa değeri (DD/PD) oranının da etkilediği belirtilmektedir.  Bu çerçevede 2001-2013 yılları arasında Borsa İstanbul’da aralıksız faaliyet gösteren şirketler açısından büyüklük ve defter değeri/piyasa değeri değişkenlerinin hisse senedi getirileri üzerine etkisi dolayısı ile Fama French üç faktör varlık fiyatlama modelinin hisse senedi getirisini açıklama gücü incelenmiştir. Bu amaçla yapılan panel veri analizinde üç farklı regresyon modeli oluşturulmuştur. Tüm modellerde hem ölçek hem de piyasa değeri/defter değeri değişkenlerinin hisse senedi getirileri üzerinde anlamlı ve negatif yönde etkiye sahip olduğu tespit edilmiştir

Anahtar Sözcükler: Büyüklük, piyasa değeri/defter değeri oranı, varlık fiyatlama,  üç faktör varlık fiyatlama modeli,  Borsa İstanbul,  panel veri analizi

JEL Sınıflandırması: G11, G12,  G14, D53, C33

Anahtar Kelimeler

Büyüklük piyasa değeri/defter değeri oranı varlık fiyatlama üç faktör varlık fiyatlama modeli Borsa İstanbul panel veri analizi

Kaynakça

  • Ajili, S. (2002), “Capital Asset Pricing Model and Three Factor Model of Fama and French Revisited in the Case of France”. Working Paper.ss:1-26. www.cereg.dauphine.fr/.../cereg200210.pdf
  • Akdeniz, L., Altay-Salih A. ve Aydoğan, K. (2000), “Cross Section of Expected Stock Returns in ISE”, Russian & East European Finance & Trade, Cilt:36, ss. 6-26.
  • Aksu, M. ve Önder, T. (2003), “The Size and Book-to-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange”, Koç Üniversitesi, Graduate School of Business, Working Paper No. 20000 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=250919.
  • Atakan, T. ve Gökbulut, İ. (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Mufad Dergisi, Sayı:45, ss. 180-189.
  • Baltagi, B. (2005), Econometric Analysis of Panel Data, Third Edition, John Wiley Ltd. England.
  • Banz, R.W. (1981), “The Relationship Between Return And Market Value Of Common Stock”, Journal of Financial Economics, Vol:9, ss. 3-18.
  • Barber, M.B. ve Lyon, J. D. (1997), “Detecting Long-Run Abnormal Stock Returns: The Empirical Power And Specification of Test Statistics”, Journal Of Finansal Economics, 43(3), ss. 341-372.
  • Basu, S. (1983), “The Relationship between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence," Journal of Financial Economics, Vol:12, ss. 129-156.
  • Bhandari, L. (1988), “Debt/Equity Ratio and Expected Common Stock Returns:Emprical Evidence” Journal of Finance, 53(2), ss.507-528.
  • Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data,” Ed.: Baltagi, B., Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161–178.
  • Canbaş, S. ve Arıoğlu, E. (2008), “Testing The Three Factor Model of Fama And French: Evidence From Turkey” Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 17(3), ss:79-92.
  • Chan, L.K.C., Hamao, Y. ve Lakonishok, J. (1991), “Fundamentals and stock returns in japan”, The Journal of Finance 46( 5), ss.1739–64.
  • Chen, N.F., R. Roll, and S.A. Ross, (1986), “Economic forces and the stock market”, Journal of Business Vol:59, s. 383-403.
  • Choi, I. (2001), “Unit Roots Tests for Panel Data”, Journal of International Money and Finance, vol:20, ss.229-272.
  • Chui, A. C.W., Wei, K.J.C. (1998), “Book-to-Market, Firm Size and the Turnof-the-Year Effect: Evidence from Pacific–Basin Emerging Markets”, Pasific–Basin Finance Journal, 6(3-4), ss. 275–293.
  • Doğanay, M. (2006), “Fama - French Üç Faktör Varlık Fiyatlama Modelinin İMKB’de Uygulanması”, İktisat İşletme ve Finans Dergisi, Cilt:21, Sayı:249, ss. 61-71.
  • Er, Ş. ve Vuran, B. (2012), “Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach”, International Journal of Business and Social Research (IJBSR), 2(1), ss.109-122.
  • Eraslan, V. (2013), “Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange”, Business and Economics Research Journal, 4(2), ss.11-22.
  • Erlat, H. (2006), Panel Data : A selective Survey. Ders Notları, ODTÜ, Ankara.
  • Fama, E. ve French, K. (1992), “The Cross Section Of Expected Stock Returns”, The Journal of Finance, Vol:47, No:2, ss.427-465.
  • Fama, E. ve French, K. (1993), “Common Risk Factors In The Returns On Stocks And Bonds”, The Journal of Economics, Vol:33, s.3-56.
  • Fama, E, French K. (1995), ‘Size and Book-to-Market Factors in Earnings and Returns’, The Journal of Finance, March, Vol:50 ss. 131-155.
  • Fama, E. ve French, K. (1996), “Multifactor Explanations Of Asset Pricing Anomalies”. Journal of Finance, Vol:51, ss. 55-83.
  • Gaunt, C. (2004), “Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stockmarket”, Accounting and Finance, 44(1), ss. 27-44. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=513261
  • Gökgöz, F. (2008), “Üç Faktörlü Varlık Fiyatlama Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği”. Ankara Üniversitesi SBF Dergisi, 63(2), ss. 43-64.
  • Gönenç, H. ve Karan, M.B.(2003), “Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from Istanbul Stock Exchange, Journal of International Financial Management & Accounting, 14(1), ss.1-25.
  • Gupta, C. P. ve Kumar, R. (2009), “A Re-Examinations of Factors Affecting Returns in Indian Stock Market”, Journal Of Emerging Market Finance, Forthcoming. https://papers.ssrn.com/sol3/Data_Integrity_Notice.cfm?abid=137623 6
  • Güzeldere, H. ve Sarıoğlu, S.E. (2012), “Varlık Fiyatlamada Fama-French Üç Faktörlü Model’in Geçerliliği: BIST Üzerine Bir Araştırma”, Business and Economics Research Journal, 3(2), ss. 1-19.
  • Im, K., Pesaran, H. ve Shin, Y. (2003), “Testing for Unit Roots in Heterogenous Panels”, Journal of Econometrics, 115(1), ss.53-74.
  • Korkmaz, T.,Yıldız, B. ve Gökbulut, İ. (2010), “FVFM’nin İMKB Ulusal 100 Endeksindeki Geçerliliğinin Panel Veri Analizi İle Test Edilmesi” İstanbul Üniversitesi İşletme Fakültesi Dergisi,39(1), ss.95-105.
  • Levin, A., Lin, C. ve Chu, J. (2002), “Unit Roots Tests in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, 108, ss.1-24.
  • Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, The Review of Economics and Statistics, s.13-37.
  • Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19 (3), ss.425-442.
  • Maddala, G.S ve Wu, S. (1999), “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test”, Oxford Bulletin of Economics and Statistics, No:61, ss.631-652.
  • Mossin, J. (1966), “Equilibrium in A Capital Asset Market”. Econometrics, 34, ss.7687
  • Şakar, B. (2009), “Varlık Fiyatlamada Faktör Modelleri ve Üç Faktörlü Modelin İMKB’de Testi”, Yayımlanmamış Yüksek Lisans Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü İşletme Anabilim Dalı. Şamiloğlu, F. (2006), “Şirket Büyüklüğü, Defter Değeri/Piyasa Değeri ve Ortalama Getiriler: İstanbul Menkul Kıymetler Borsası’nda Ampirik Bir İnceleme”, MUFAD Dergisi, Sayı:32.
  • Ünlü, U. (2012), “Alternatif Varlık Fiyatlama Modellerinin İMKB’de Test Edilmesi”, 16. Finans Sempozyumu Bildiri Kitabı, ss. 1-12, Erzurum. http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasiverileri/sirketler-verileri http://www.tcmb.gov.tr/evds/dibs/istihl.htm
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Ender Çoşkun

Önal Çınar Bu kişi benim

Yayımlanma Tarihi 16 Temmuz 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 28 Sayı: 4

Kaynak Göster

APA Çoşkun, E., & Çınar, Ö. (2014). ÜÇ FAKTÖR VARLIK FİYATLAMA MODELİNİN GEÇERLİLİĞİ: BORSA İSTANBUL’DA BİR İNCELEME. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 28(4). https://doi.org/10.16951/iibd.87121

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