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Zamanlararası Varlık Fiyatlama Modeli

Year 2019, Volume: 14 Issue: 3, 579 - 596, 31.12.2019
https://doi.org/10.17153/oguiibf.460922

Abstract






Bu çalışmanın temel
amacı, Borsa İstanbul için Zamanlararası Varlık Fiyatlama Modeli’nin hisse
senedi getirilerini açıklama gücünün test edilmesidir. Çalışmada, piyasa
riski, firma büyüklüğü, defter değeri/piyasa değeri oranı ve iktisadi şoklar
risk faktörleri kullanılarak Zamanlararası Varlık Fiyatlama Modeli oluşturulmuştur.
Bu risk faktörlerinin hisse senedi getirileri üzerindeki etkisi panel veri
analiziyle araştırılmıştır. Elde edilen bulgular, Zamanlararası Varlık
Fiyatlama Modeli’nin Borsa İstanbul için geçerli olduğuna işaret etmektedir.




References

  • Akay, Hülya Kanalıcı; Nargeleçekenler, Mehmet (2009), “Para Politikası Şokları Hisse Senedi Fiyatlarını Etkiler mi? Türkiye Örneği”, Marmara Üniversitesi İ.B.B.F. Dergisi, C. XXVII, S. II: 129-152.
  • Alp, Harun; Elekdağ, Selim (2011), “The Role of Monetary Policy in Turkey during The Global Financial Crisis”, IMF Working Paper.
  • Aşık, Bekir (2014), “Yapısal Şokların Türkiye Ekonomisi Üzerine Etkileri”, International Conference on Eurasian Economies, Temmuz 1-3, Makedonya.
  • Atakan, Tülin; Gökbulut, İlker (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Mufad Dergisi, C. 45: 180-189.
  • Bali, Turan G. (2008), “The Intertemporal Relation between Expected Returns and Risk”, Journal of Financial Economics, Vol. 97: 101-131.
  • Barbalau, Adelina; Robotti, Cesare; Shanken, Jay (2015), “Testing Inequality Restrictions in Multifactor Asset-Pricing Models”, Working Paper.
  • Bari, Bilgin (2013), “Yeni Keynesyen Modelde Optimum Para Politikası: Türkiye İçin Dinamik Stokastik Genel Denge Modeli Tahmini”, Yayınlanmamış Doktora Tezi, Eskişehir, Anadolu Üniversitesi Sosyal Bilimler Enstitüsü.
  • Bernanke, Ben S.; Kuttner, Kenneth (2004), “What Explains The Stock Market’s Reaction to Federal Reserve Policy?”, NBER Working Paper Series, Series No: 10402.
  • Black, Fischer.; Jensen, Micheal; Scholes, Myron S. (1972), The Capital Asset Pricing Model: Some Empirical Tests, New York: Praeger.
  • Boons, Maio (2013), “State Variables, Macroeconomic Activity and The Cross-Section of Individual Stocks”, Netspar Discussion Paper No: 12.
  • Brennan, Michael J.; Wang, Ashley; Xia, Yihong (2001), “Intertemporal Capital Asset Pricing and The Fama-French Three-Factor Model”, University of Pennsylvania Working Paper.
  • Chang, Jow-ran; Errunza, R. Vihang; Hogan, Ked; Hung, Mao-Wei (2005), “An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence”, European Financial Management, Vol. 11, No. 2: 173–194.
  • Chen, Joseph (2003), “Intertemporal CAPM and The Cross-Section of Stock Returns”, Working Paper.
  • Chen, Joseph (2002), “Intertemporal CAPM”, Working Paper.
  • Cho, Sungjun (2013), “New Return Anomalies and New-Keynesian ICAPM”, International Review of Financial Analysis, Vol. 29: 87–106.Cooper, Ilan; Maio, Paulo (2016), “Equity Risk Factors and The Intertemporal CAPM”, BEROC Conference.
  • Cooper, Ilan; Maio, Paulo (2016), “Equity Risk Factors and The Intertemporal CAPM”, SSRN Working Paper.
  • Çebi, Cem (2012), “The Interaction between Monetary and Fiscal Policies in Turkey: An Estimated New Keynesian DSGE Model”, Economic Modelling, Vol. 29: 1258–1267.
  • Davis, James L.; Fama, Eugene; French, Kenneth (2000), “Characteristics, Covariances, and Average Return 1929 to 1997”, Journal of Finance, Vol. 55, No. 1: 389-406.
  • Dissanayake, Ruchith (2016), “Government Spending Shocks and Asset Prices”, SSRN Papers, Papers No: 2667871.
  • Dissanayake, Ruchith; Watanabe, Akiko; Watanabe, Masahiro (2015), “Investment Shocks and Asset Prices: International Evidence”, Working Paper.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, No. 2: 383-417.
  • Fama, Eugene F.; French, Kenneth (1996), “Multifactor Explanations of Asset Pricing Anomalies”, Journal of Finance, Vol. 51, No. 1: 55-84.
  • Fama, Eugene F.; French, Kenneth (1993), “Common Risk Factors in The Returns on Stocks and Bonds”, Journal of Financial Economics, Vol. 33: 3-56.
  • Fama, Eugene F.; French, Kenneth (1992), “The Cross Section of Expected Stock Returns”, The Journal of Finance, Vol. XLVII, No. 2: 427-464.
  • Fama, Eugene F.; Macbeth, James (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, Vol. 81, No. 3: 607-636.
  • Farhadi, Rouhollah; Mousavi, S. Mohsen (2013), “Inter-Temporal Relationship between Risk and Return: Evidence from Tehran Securities Exchange (TSE)”, International Research Journal of Applied and Basic Sciences, Vol. 4, No. 6: 1366-1369.
  • Ferson, Wayne E.; Harvey, Campbell (1999), “Conditioning Variables and Cross-Section of Stock Returns”, The Journal of Finance, Vol. LIV, No. 4: 1325-1360.
  • Florackis, Chris; Kontonikas, Alexandros; Kostakis, Alexandros (2014), “Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from The 2007–2009 Financial Crisis”, Journal of International Money and Finance, Vol. 44: 97–117.
  • Galí, Jordi; Smets, Frank; Wouters, Rafael (2012), “Unemployment in an Estimated New Keynesian Model”, National Bank of Poland Working Paper, Paper No: 106.
  • Gaudet, Gérard; Khadr, Ali (1991), “The Evolution of Natural Resource Prices under Stochastic Investment Opportunities: An Intertemporal Asset-Pricing Approach”, International Economic Review, Vol. 30, No. 2: 441-455.
  • Gibbons, Michael; Ross, Stephen; Shanken, Jay (1989), “A Test of The Efficiency of A Given Portfolio”, Econometrica, Vol. 57: 1121-1152.
  • Guo, Hui; Savickas, Robert (2003), “On The Cross Section of Conditionally Expected Stock Returns”, Working Paper Series, No: 2003-043A.Kazar, Altuğ (2012), Merkez Bankası ve Parasal Şokların Etkileri, Adana: Nobel Kitap Evi.
  • Li, Zheng; Li, Haito; Yu, Cindy (2013), “Macroeconomic Risks and Asset Pricing: Evidence from A Dynamic Stochastic General Equilibrium Model”, Working Paper.
  • Maio, Paulo (2013), “Intertemporal CAPM with Conditioning Variables”, Management Science, Vol. 59, No. 1: 22–141.
  • Maio, Paulo; Santa-Clara, Pedro (2012), “Multifactor Models and Their Consistency with The ICAPM”, Journal of Financial Economics, Vol. 106: 586–613.Malkhozov, Aytek; Tamoni, Andrea (2015), “News Shocks and Asset Prices”, SRC Discussion Paper No: 34.
  • Merola, Rossana (2014), “The Role of Financial Frictions during The Crises: An Estimated DSGE Model”, Dynare Working Papers Series, Series No: 33.Merton, Robert C. (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, Vol. 41,No. 5: 867-887.
  • Öğünç, Fethi; Sarıkaya, Çağrı (2011), “Görünmez Ama Hissedilmez Değil: Türkiye’de Çıktı Açığı”, Central Bank Review, Vol. 11: 15-28.
  • Öztürkatalay, M. Volkan (2005), Hisse Senedi Piyasalarında Görülen Kesitsel Anomaliler ve İMKB’ye Yönelik Bir Araştırma, İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Paetz, Michael; Gupta, Rangan (2014), “Stock Price Dynamics and The Business Cycle in An Estimated DSGE Model for South Africa”, WiSo-HH Working Paper Series, Series No: 18.
  • Perez-Quiros, Gabriel; Timmermann, Allan (2000), “Firm Size and Cyclical Variations in Stock Returns”, The Journal of Finance, Vol. LV, No. 3: 1229-1262.
  • Ross, Stephen A. (1976), “The Arbitrage Teory Capital Asset Pricing”, Journal of Economic Theory, Vol. 13: 341-360.
  • Shanken, Jay (1990), “Intertemporal Asset Pricing An Empirical Investigation”, Journal of Econometrics, Vol. 45: 99-120.
  • Smets, Frank; Wouters, Rafael (2007), “Shocks and Frictions in US Business Cycles A Bayesian DSGE Approach”, Working Paper Series, Series No: 722.
  • Tatoğlu, F. Y. (2012), İleri Panel Veri Analizi Stata Uygulamalı, İstanbul: Beta Basım A.Ş.
  • Yüksel, Canan (2013), “Role of Investment Shocks in Explaining Business Cycles in Turkey”, Central Bank of the Republic of Turkey Working Paper, Working Paper No: 13/12.
  • http://www.tcmb.gov.tr
  • http://www.tüik.gov.tr

The Intertemporal Asset Pricing Model

Year 2019, Volume: 14 Issue: 3, 579 - 596, 31.12.2019
https://doi.org/10.17153/oguiibf.460922

Abstract






The main purpose of
this study is to test the power of Intertemporal Asset Pricing Model in
explaining stock returns. In this study, Intertemporal Asset Pricing Model was
set up by using market premium, firm size, book value/market value rate,
economic shocks. The effects of this risk factors on the stock returns were investigated
through panel data analysis. Findings
show that Intertemporal Asset
Pricing Model
is valid for Borsa Istanbul.




References

  • Akay, Hülya Kanalıcı; Nargeleçekenler, Mehmet (2009), “Para Politikası Şokları Hisse Senedi Fiyatlarını Etkiler mi? Türkiye Örneği”, Marmara Üniversitesi İ.B.B.F. Dergisi, C. XXVII, S. II: 129-152.
  • Alp, Harun; Elekdağ, Selim (2011), “The Role of Monetary Policy in Turkey during The Global Financial Crisis”, IMF Working Paper.
  • Aşık, Bekir (2014), “Yapısal Şokların Türkiye Ekonomisi Üzerine Etkileri”, International Conference on Eurasian Economies, Temmuz 1-3, Makedonya.
  • Atakan, Tülin; Gökbulut, İlker (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Mufad Dergisi, C. 45: 180-189.
  • Bali, Turan G. (2008), “The Intertemporal Relation between Expected Returns and Risk”, Journal of Financial Economics, Vol. 97: 101-131.
  • Barbalau, Adelina; Robotti, Cesare; Shanken, Jay (2015), “Testing Inequality Restrictions in Multifactor Asset-Pricing Models”, Working Paper.
  • Bari, Bilgin (2013), “Yeni Keynesyen Modelde Optimum Para Politikası: Türkiye İçin Dinamik Stokastik Genel Denge Modeli Tahmini”, Yayınlanmamış Doktora Tezi, Eskişehir, Anadolu Üniversitesi Sosyal Bilimler Enstitüsü.
  • Bernanke, Ben S.; Kuttner, Kenneth (2004), “What Explains The Stock Market’s Reaction to Federal Reserve Policy?”, NBER Working Paper Series, Series No: 10402.
  • Black, Fischer.; Jensen, Micheal; Scholes, Myron S. (1972), The Capital Asset Pricing Model: Some Empirical Tests, New York: Praeger.
  • Boons, Maio (2013), “State Variables, Macroeconomic Activity and The Cross-Section of Individual Stocks”, Netspar Discussion Paper No: 12.
  • Brennan, Michael J.; Wang, Ashley; Xia, Yihong (2001), “Intertemporal Capital Asset Pricing and The Fama-French Three-Factor Model”, University of Pennsylvania Working Paper.
  • Chang, Jow-ran; Errunza, R. Vihang; Hogan, Ked; Hung, Mao-Wei (2005), “An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence”, European Financial Management, Vol. 11, No. 2: 173–194.
  • Chen, Joseph (2003), “Intertemporal CAPM and The Cross-Section of Stock Returns”, Working Paper.
  • Chen, Joseph (2002), “Intertemporal CAPM”, Working Paper.
  • Cho, Sungjun (2013), “New Return Anomalies and New-Keynesian ICAPM”, International Review of Financial Analysis, Vol. 29: 87–106.Cooper, Ilan; Maio, Paulo (2016), “Equity Risk Factors and The Intertemporal CAPM”, BEROC Conference.
  • Cooper, Ilan; Maio, Paulo (2016), “Equity Risk Factors and The Intertemporal CAPM”, SSRN Working Paper.
  • Çebi, Cem (2012), “The Interaction between Monetary and Fiscal Policies in Turkey: An Estimated New Keynesian DSGE Model”, Economic Modelling, Vol. 29: 1258–1267.
  • Davis, James L.; Fama, Eugene; French, Kenneth (2000), “Characteristics, Covariances, and Average Return 1929 to 1997”, Journal of Finance, Vol. 55, No. 1: 389-406.
  • Dissanayake, Ruchith (2016), “Government Spending Shocks and Asset Prices”, SSRN Papers, Papers No: 2667871.
  • Dissanayake, Ruchith; Watanabe, Akiko; Watanabe, Masahiro (2015), “Investment Shocks and Asset Prices: International Evidence”, Working Paper.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, No. 2: 383-417.
  • Fama, Eugene F.; French, Kenneth (1996), “Multifactor Explanations of Asset Pricing Anomalies”, Journal of Finance, Vol. 51, No. 1: 55-84.
  • Fama, Eugene F.; French, Kenneth (1993), “Common Risk Factors in The Returns on Stocks and Bonds”, Journal of Financial Economics, Vol. 33: 3-56.
  • Fama, Eugene F.; French, Kenneth (1992), “The Cross Section of Expected Stock Returns”, The Journal of Finance, Vol. XLVII, No. 2: 427-464.
  • Fama, Eugene F.; Macbeth, James (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, Vol. 81, No. 3: 607-636.
  • Farhadi, Rouhollah; Mousavi, S. Mohsen (2013), “Inter-Temporal Relationship between Risk and Return: Evidence from Tehran Securities Exchange (TSE)”, International Research Journal of Applied and Basic Sciences, Vol. 4, No. 6: 1366-1369.
  • Ferson, Wayne E.; Harvey, Campbell (1999), “Conditioning Variables and Cross-Section of Stock Returns”, The Journal of Finance, Vol. LIV, No. 4: 1325-1360.
  • Florackis, Chris; Kontonikas, Alexandros; Kostakis, Alexandros (2014), “Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from The 2007–2009 Financial Crisis”, Journal of International Money and Finance, Vol. 44: 97–117.
  • Galí, Jordi; Smets, Frank; Wouters, Rafael (2012), “Unemployment in an Estimated New Keynesian Model”, National Bank of Poland Working Paper, Paper No: 106.
  • Gaudet, Gérard; Khadr, Ali (1991), “The Evolution of Natural Resource Prices under Stochastic Investment Opportunities: An Intertemporal Asset-Pricing Approach”, International Economic Review, Vol. 30, No. 2: 441-455.
  • Gibbons, Michael; Ross, Stephen; Shanken, Jay (1989), “A Test of The Efficiency of A Given Portfolio”, Econometrica, Vol. 57: 1121-1152.
  • Guo, Hui; Savickas, Robert (2003), “On The Cross Section of Conditionally Expected Stock Returns”, Working Paper Series, No: 2003-043A.Kazar, Altuğ (2012), Merkez Bankası ve Parasal Şokların Etkileri, Adana: Nobel Kitap Evi.
  • Li, Zheng; Li, Haito; Yu, Cindy (2013), “Macroeconomic Risks and Asset Pricing: Evidence from A Dynamic Stochastic General Equilibrium Model”, Working Paper.
  • Maio, Paulo (2013), “Intertemporal CAPM with Conditioning Variables”, Management Science, Vol. 59, No. 1: 22–141.
  • Maio, Paulo; Santa-Clara, Pedro (2012), “Multifactor Models and Their Consistency with The ICAPM”, Journal of Financial Economics, Vol. 106: 586–613.Malkhozov, Aytek; Tamoni, Andrea (2015), “News Shocks and Asset Prices”, SRC Discussion Paper No: 34.
  • Merola, Rossana (2014), “The Role of Financial Frictions during The Crises: An Estimated DSGE Model”, Dynare Working Papers Series, Series No: 33.Merton, Robert C. (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, Vol. 41,No. 5: 867-887.
  • Öğünç, Fethi; Sarıkaya, Çağrı (2011), “Görünmez Ama Hissedilmez Değil: Türkiye’de Çıktı Açığı”, Central Bank Review, Vol. 11: 15-28.
  • Öztürkatalay, M. Volkan (2005), Hisse Senedi Piyasalarında Görülen Kesitsel Anomaliler ve İMKB’ye Yönelik Bir Araştırma, İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Paetz, Michael; Gupta, Rangan (2014), “Stock Price Dynamics and The Business Cycle in An Estimated DSGE Model for South Africa”, WiSo-HH Working Paper Series, Series No: 18.
  • Perez-Quiros, Gabriel; Timmermann, Allan (2000), “Firm Size and Cyclical Variations in Stock Returns”, The Journal of Finance, Vol. LV, No. 3: 1229-1262.
  • Ross, Stephen A. (1976), “The Arbitrage Teory Capital Asset Pricing”, Journal of Economic Theory, Vol. 13: 341-360.
  • Shanken, Jay (1990), “Intertemporal Asset Pricing An Empirical Investigation”, Journal of Econometrics, Vol. 45: 99-120.
  • Smets, Frank; Wouters, Rafael (2007), “Shocks and Frictions in US Business Cycles A Bayesian DSGE Approach”, Working Paper Series, Series No: 722.
  • Tatoğlu, F. Y. (2012), İleri Panel Veri Analizi Stata Uygulamalı, İstanbul: Beta Basım A.Ş.
  • Yüksel, Canan (2013), “Role of Investment Shocks in Explaining Business Cycles in Turkey”, Central Bank of the Republic of Turkey Working Paper, Working Paper No: 13/12.
  • http://www.tcmb.gov.tr
  • http://www.tüik.gov.tr
There are 47 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Emine Kaya 0000-0002-7035-9241

Bener Güngör 0000-0002-0523-3810

Publication Date December 31, 2019
Submission Date September 18, 2018
Published in Issue Year 2019 Volume: 14 Issue: 3

Cite

APA Kaya, E., & Güngör, B. (2019). Zamanlararası Varlık Fiyatlama Modeli. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 14(3), 579-596. https://doi.org/10.17153/oguiibf.460922