Borsa İstanbul’da Klasik Varlık Fiyatlama Modeli (CAPM) Analizi

Öz

Klasik varlık fiyatlama modeli (CAPM), risk ile getiri arasında doğrusal bir ilişki olduğunu önermektedir. Beta katsayısı bu ilişkide varlıkların maruz kaldıkları sistematik risk seviyesini ölçer. Dolayısıyla riskin yüksek olması durumu varlığın getirisinin yüksek olmasını gerektirmektedir. Fakat bu model üzerine yapılan çalışmalar bu konuda farklı sonuçlara ulaşarak, CAPM’nin geçerliliğinin kullanılan veriye ve kullanılan metoda göre değiştiğini göstermiştir. Bu ve benzeri sonuçlar bizi beta katsayısının riski ölçme kabiliyetini sorgulamaya yöneltmiştir. Özellikle gelişen piyasalarda sistematik risk daha yüksek olduğu için beta katsayısının rolü daha büyük önem taşımaktadır. Bu çalışmada CAPM zaman serileri yöntemi kullanılarak test edilmiş ve sonuçlar modelin getiri oranlarındaki değişmeyi istatistiksel olarak açıklayabildiğini göstermiştir. Ancak beta katsayısı ile getiri arasındaki ilişkinin beklenenin aksine pozitif olmadığını da göstermiştir.

Anahtar Kelimeler

• Varlık Fiyatlama Modeli,Borsa İstanbul,Beta Katsayısı,Sistematik Risk

A Validity Analysis of Capital Asset Pricing Model (CAPM) in Istanbul Stock Exchange

Abstract

Capital asset pricing model (CAPM) suggests that there exists a linear relationship between stock beta and profit. Beta, in this relationship, measures the level of systematic risk to which an asset is exposed. Accordingly, the higher the beta of an asset is, the higher the return must be. However, studies investigating this relationship have produced mixed results and indicated that the validity of CAPM changes according to the data and the methodology which is used. These and similar tests have led us to question the beta coefficient’s ability to measure the risk. As systematic risk is higher, especially in developing markets, the role of the beta coefficient becomes more significant. In this study, CAPM time series method has been used and the result has shown that the model can statistically explain the changes in the rate of the profits. However, against long odds, it also has shown that the relationship between beta coefficient and profit isn’t positive.

Keywords

• Capital Asset Pricing Model,Istanbul Stock Exchange,Beta Coefficient,Systematic Risk

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