Behavioral Risk Measurement: Empirical Evidence From NYSE

Year 2023, , 1 - 25, 30.06.2023

Sezgin Demir , Mustafa Ünlü

https://doi.org/10.25229/beta.1189408

Abstract

This study aims to create a risk measure based on systematic investor behavior. For this purpose, as an alternative to the classical risk measure, volatility, the empirical validity of the downside risk measure, which includes skewness and kurtosis values, was tested. Standard deviation, skewness, and kurtosis differences are used to explain the returns of portfolios created using data from stocks listed on the New York Stock Exchange (NYSE) between 1982 and 2020 depending on different risk concepts. Risk definitions are based on the previous period's skewness and kurtosis coefficients of stock returns. Based on the determined measures, stocks are classified according to their risk level. The relationship between returns and risk measures was examined by regression analysis. According to the results, negative skewness did not provide a higher return than positive skewness. In addition, a higher kurtosis value did not provide higher returns than a lower kurtosis value. As a result, the concept of risk, which represents the loss of the investor, emerges as a result of irrational systematic investor behavior and can be modeled with the skewness coefficient of the return distribution. However, taking a risk in this sense does not promise a reward.

Keywords

Systematic Investor Behavior, Psychological Biases, Skewness and Kurtosis

Davranışsal Risk Ölçüsü: NYSE’den Ampirik Kanıtlar

Abstract

Bu çalışmanın amacı sistematik yatırımcı davranışlarına dayalı risk ölçüsü oluşturmaktır. Bu amaç doğrultusunda, klasik risk ölçüsü olan volatiliteye alternatif olarak, çarpıklık ve basıklık değerlerinin dahil olduğu aşağı yönlü risk ölçüsünün ampirik olarak geçerliliği test edilmiştir. 1982 – 2020 yılları arasında NYSE’de listelenen hisse senetlerine ait verilerden yararlanarak ve farklı risk kavramları baz alınarak oluşturulan portföylerin getirilerini açıklamak için standart sapma, çarpıklık ve basıklık farklılıkları kullanılmıştır. Risk tanımlamaları, hisse senetleri getirilerinin bir önceki dönem ait çarpıklık ve basıklık katsayıları üzerinden yapılmıştır. Belirlenen ölçüler üzerinden hisse senetleri risklerine göre sınıflandırılmıştır. Getiriler ile riski tanımlayan ölçüler arasındaki ilişki regresyon analizi ile incelenmiştir. Elde edilen sonuçlara göre negatif çarpıklığın pozitif çarpıklığa göre, daha yüksek basıklık değerinin de daha düşük basıklık değerine göre daha yüksek getiri sağlamadığı görülmüştür. Sonuç olarak, yatırımcının kaybını temsil eden risk kavramı, irrasyonel sistematik yatırımcı davranışının sonucu olarak ortaya çıkmakta ve getiri dağılımının çarpıklık katsayısı ile modellenebilmektedir. Ancak bu anlamdaki riskin üstlenilmesi bir ödül vaat etmemektedir.

Keywords

Sistematik Yatırımcı Davranışı, Psikolojik Yanılsamalar, Çarpıklık ve Basıklık

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