Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği

Year 2008, Volume: 63 Issue: 02, 43 - 64, 01.02.2008

Fazıl Gökgöz

https://doi.org/10.1501/SBFder_0000002064

Cited By: 7

Abstract

Keywords

-

ÜÇ FAKTÖRLÜ VARLIK FİYATLANDIRMA MODELİNİN İSTANBUL MENKUL KIYMETLER BORSASINDA UYGULANABİLİRLİĞİ

Abstract

Hisse senedi getirilerinin zamana bağlı değişiminin analizinde, piyasa portföyünün getirisi haricinde portföy büyüklüğünün ve piyasa değeri/defter değeri (PD/DD) oranı da etkili olmaktadır. Standart Sermaye Varlıklarını Fiyatlandırma Modeli’ne (CAPM) belirtilen iki yeni faktörün ilave edilmesi suretiyle Fama ve French tarafından 1996 yılında “Üç Faktörlü Varlık Fiyatlandırma Modeli” geliştirilmiştir. Bu çalışmada, literatürde geniş uygulama alanı bulan Üç Faktörlü Modelin, 2001-2006 (ilk 6 aylık) dönemine ilişkin İMKB endeks verileri üzerindeki uygulanabilirliği araştırılmıştır. Modelin İMKB-Sınai, Hizmetler, Gayrimenkul, Menkul Kıymetler ve Teknoloji endeksleri üzerindeki geçerliliğinin test edilebilmesi amacıyla piyasa değeri ve PD/DD oranına göre oluşturulan portföylerin getirileri modelin içerisine ilave edilerek, zaman serisi ve kesit regresyonu analizleri gerçekleştirilmiştir. Zaman serisi regresyonu çalışmalarında; modelin seçilen endekslerde istatistiksel olarak anlamlı sonuçlar verdiği belirlenmiş olup, GRS F-testi uygulamalarında fiyatlandırma hataları (j) arasında girişimin bulunmadığı gözlemlenmiştir.

Keywords

Üç faktörlü model, zaman serisi regresyonu, kesit regresyonu, İMKB, risk

References

• ARSHANAPALLI, B. / COGGIN, T.D. / DOUKAS, J. (1998), “Multifactor Asset Pricing Analysis of International Value Investment Strategies,” Journal of Portfolio Management, Summer: 10-23.
• BILLOU, N. (2004), “Tests of CAPM and Fama and French Three-Factor Model,” MBA Project (Canada: Simon Fraser University).
• BLACK, F. / JENSEN, M. / SCHOLES, M. (1972), “The Capital Asset Pricing Model : Some Emprical Tests,” Studies in Theory of Capital Markets (New York: Praeger): 79-121.
• COGGI, P./ MANESCU, B. (2004), “A Multifactor Model of Stock Returns with Stochastic Regime Switching,” Universität St. Galen Working Paper: 1-27.
• CONNOR, G. / SEHGAL, S. (2001), “Tests of the Fama and French Model in India,” Working Paper, May 2001: 1-23.
• DANIEL, K. / TITMAN, S. (1997), “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52: 1-31.
• DAVIS, J.L. / FAMA, E.F. / FRENCH, K.R. (2000), “Characteristics and Average Returns: 1929 to 1997,” Journal of Finance, 56 : 389-405.
• DIETHER, K. (2001), “GRS Reviews,” University of Chicago – Seminar Presentation : 1-17.
• FAMA, E.F. / FRENCH, K.R. (1992), “The Cross-Section of Expected Stocks Returns,” Journal of Finance, 47: 427-465.
• FAMA, E.F. / FRENCH, K.R. (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33 : 3-56.
• FAMA, E.F. / FRENCH, K.R. (1995), “Size and Book-to-Market Factors in Earnings and Returns,” Journal of Finance, 50 /1: 131-155.
• FAMA, E.F. / FRENCH, K.R. (1996), “Multifactor Explanations of Asset-Pricing Anomalies,” Journal of Finance, 51/1:55-84.
• FAMA, E.F. / FRENCH, K.R. (1997), “INDUSTRY Costs of Equity,” Journal of Financial Economics, 43: 153-193.
• FAMA, E.F. / FRENCH, K.R. (2000), “The Capital Asset Pricing Model: Theory and Evidence,” Journal of Economic Perspectives, 18: 25-46.
• FAMA, E.F. / FRENCH, K.R. (2004), “The Capital Asset-Pricing Model :Theory and Evidence,” Journal of Economic Perspectives, 25-46.
• FAMA, E.F. / MACBETH, J.D. (1973), “Risk, Return and Equilibrium: Emprical Tests,” Journal of Political Economy, 81:607-636.
• FANT, L.F./ PETERSON, D.R. (1995), “The Effect of Size, Book-to-Market Equity, Prior Returns, and Beta on Stock Returns: January versus the Remainder of the Year,” Journal of Financial Research, XVIII/2: 129-142.
• GAUNT, C. (2004), “Size and Book to Market Effects and the Fama-French Three Factor Asset Pricing Model : Evidence from the Australian Stock Market,” Accounting and Finance, 44: 27-44.
• GIBBONS, M.S. / ROSS, S. / SHANKEN, J. (1989), “A Test of the Efficiency of a Given Portfolio,” Econometrica, 57: 1121-1152.
• GRAUER, R. (2001), “Asset Pricing Theory and Tests,” Working Paper: 1-56.
• GRAUER, R. / JANMAAT, J. (2004), ”The Unintended Consequences of Grouping in Tests of Asset Pricing Models,” Journal of Banking and Finance, 28 : 2889-2914.
• JABSON, J.D./ KORKIE, B.M. (1985), “Some Tests of Linear Asset-Pricing with Multivariate Normality,” Canadian Journal of Administrative Sciences, 2 : 116-140.
• LAM, K. (2005), “Is the Fama-French Three-Factor Model Better Than CAPM ?” MA Project (Canada: Simon Fraser University).
• LORAN, C. (2004), “Asset Pricing Implications of Liquidity and its Volatility, Job Market Paper, January: 1-50.
• MARONEY, N. / PROTOPAPADAKIS, A. (1999), “The Book-to-Market and Size Effects in A General Asset Pricing Model: Evidence From Seven National Markets,” Working Paper, 1-57.
• ROSS, S.A. (1976), “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, 13/3: 341-360.
• SHEFRIN, H. / STATMAN, M. (1995), “Making Sense of Beta, Size, and Book-to-Market,” Journal of Portfolio Management, Winter : 26-33.
• WANG, K. (2001), “Multifactor Model of Growth and Z Score for Projecting Stock Return and Evaluating Risk,” SSRN Working Paper.
• WHEELWRIGHT, S.C. / MAKRIDAKIS S. / MC.GEE, V.E. (1983), Forecasting: Methods and Applications (New York : John Wiley & Sons, 2nd.Edition).