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Alternative Asset Pricing Models and Borsa Istanbul Application

Year 2020, TBMM 100. Yıl Özel Sayısı, 193 - 206, 28.04.2020

Melih Kutlu , Şeref Kalaycı

https://doi.org/10.18026/cbayarsos.551301

Abstract

The aim of this study is to test whether the portfolio excess return can be explained by independent variables in asset pricing models. Asset pricing model has been used with the Capital Asset Pricing Model and the Fama French Three Factor Pricing Model. In the regression analysis with the time series, there was a positive and significant relationship between the market risk premium and the portfolio excess return in the Capital Asset Pricing Model. In the Fama French Three-Factor Pricing Model, there is a positive and significant relationship between market risk premium and portfolio excess return and between firm size and portfolio excess return.

References

  • AJILI, Souad (2002), The Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France, CEREG University of Paris Working Paper, 2002-10, ss.1-26.
  • AKSU, Mine.H. ve ÖNDER, Türkan (2003), “The Size and Book-to-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange”, Koç University Working Paper, 2000-04, ss.1-41.
  • AL-MWALLA, Mona., KARASNEH, Mahmoud (2011), “Fama & French Three Factor Model: Evidence from Emerging Market”, European Journal of Economics, Finance, and Administrative Sciences, 41, ss.132-140.
  • ATAKAN, Tülin ve GÖKBULUT, İlker (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Muhasebe ve Finansman Dergisi, 45(1), ss.180-189.
  • BILLOU, Nima (2004), Tests of the CAPM and Fama and French Three Factor Model, Faculty of Business Administration of Simon Fraser University, (Yüksek Lisans Tezi), Burnaby, BC Kanada.
  • BLACK, Fischer, MICHAEL C. Jensen and Myron Scholes (1972). “The Capital Asset Pricing Model: Some Empirical Tests”, Michael C. Jensen(Ed.), Studies in the Theory of Capital Markets, New York: Praeger Publishers, pp. ss.79-121.
  • CANBAŞ, Serpil, ARIOĞLU, Emrah (2008),Testing The Three Factor Model of Fama And French: Evıdence From Turkey, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17 (3), ss.79-92.
  • CARHART, Mark M. (1997), On Persistence in Mutual Fund Performance, Journal of Finance, 52(1), ss.57-82.
  • COŞKUN, Ender, ÇINAR, Önal (2014), “Üç Faktörlü Varlık Fiyatlama Modelinin Geçerliliği: Borsa İstanbul’da Bir İnceleme”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(4), ss.235-250.
  • CHARİTOU, A., CONSTANTİNİDİS, E. (2004), Size and Book-to-Market Factors in Earnings and Stock Returns: Empirical Evidence for Japan, University of Cyprus Working Paper.
  • DALGIN, Halim, KESHAV, Gupta, ABDULWAHAB, Sraiheen (2012), “Testing CAPM for the Istanbul Stock Exchange”, International Journal of Economic Perspectives, 6(3), ss.224-234.
  • DJAJADIKARTA, H., NARTEA G. (2005), “The Size and Book-to-Market Effects and The Fama-French Three Factor Model in Small Markets: Preliminary Findings From New Zealand”, Edith Cowan University Working Paper, 0510.
  • DOLINAR, Denis (2013), “Test of the Fama-French three-factor model in Croatia”, UTMS Journal of Economics, 4(2), ss.101-112.
  • DOĞANAY, M. Mete (2006), “Fama-French Üç Faktör Varlık Fiyatlama Modelinin İMKB’de Uygulanması”, İktisat İşletme ve Finans Dergisi, 21(249), ss.61-71.
  • ENDER, Coşkun, ÖNAL Çınar, (2014), “Üç Faktör Varlık Fiyatlama Modelinin Geçerliliği: Borsa İstanbul’da Bir İnceleme”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(4), ss.79-92.
  • ERİŞMİŞ, Ahmet (2007), “İMKB Hisseleri İcin Hisse Senedi Getirilerinde Firmalara Özgu Faktörlerin Etkisinin 1992-2005 Doneminde Incelenmesi”, (Yüksek Lisans Tezi), Çukurova Üniversitesi Sosyal Bilimler Enstitüsü, Adana.
  • ERASLAN, Veysel (2013), “Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange”, Business and Economic Research Journal, 4(2), ss.11-22.
  • FERSON, Wayne E., Harvey, CAMPBELL R. (1991), “The Variation Of Economic Risk Premiums”, Journal Of Political Economy, 99, ss.385-415.
  • DREW, Michael E., NAUGHTON, Tony, VEERARAGHAVAN, Madhu (2003), “Firm Size, Book-to-Market Equityand Security Returns: Evidence from the Shanghai Stock Exchange”, Australian Journal of Management, 28 (2), ss.119-139.
  • GAUNT, Clive (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 (1), ss.27-44.
  • GÖNENÇ, H., KARAN Mehmet.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 and Accounting, 14 (1), ss.1-25.
  • FAMA, Eugene (1965a), “Portfolio Analysis in a Stable Paretian Market”, Management Science, 11 (3), ss.404-419.
  • FAMA, Eugene (1965b), “The Behavior of Stock-Market Prices”, Journal of Business, 38 (1), ss.34-105.
  • FAMA, Eugene (1968), “Risk, Return and Equilibrium: Some Clarifying Comments”, Journal of Finance, 23 (1), ss.29-40.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1992), “The Cross Section of Expected Stock Returns”, Journal of Finance, 47(2), ss.427-465.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1993), “The Common Risk Factors in The Returns on Stock and Bonds”, Journal of Financial Economics, 33, ss.3-56.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1997), “Value versus Growth: The International Evidence”, Journal of Finance, 53 (6), ss.1975-1999.
  • FAMA, Eugene F. ve MACBETH, James D. (1973), “Risk, Return, and Equilibrium: EmpiricalTests”, The Journal of Political Economics, 81(3), ss.607-693.
  • GÜRSOY, Cudi Tuncer, REJEPOVA, Gulnura (2007), “Finansal Varlıkların Fiyatlandırılması Modelinin Türkiye’de Sınanması”, Doğuş Üniversitesi Dergisi, 8 (1), ss.47-58.
  • GÖKGÖZ, Fazıl (2007), “Testing the Asset Pricing Models in Turkish Stock Markets: CAPM vs Three Factor Model”, International Journal of Economic Perspectives, 1(2), ss.103-117.
  • GÖKGÖZ, Fazıl (2008), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği”, Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 63(2), ss.43-64.
  • GREGORY, Alan, THARYAN, Rajesh, CHRISTIDİS, Angela (2011), “Constructingand Testing Alternative Versions of the Fama-French and Carhart Models in the UK”, Xfi Centre for Finance and Investment, University of Exeter Working Paper, 11/02, ss.1-67.
  • GÜLTEKİN, Mustafa N., GÜLTEKİN, N. Bülent ( 1987), “Stock Return Anomalies and the Tests of the APT”, Journal of Finance, 42(5), ss.1213-1224.
  • KORKMAZ, Turhan, YILDIZ, Berk, GÖKBULUT, İlker (2010), “FVFM’nin İMKB Ulusal 100 Endeksindeki Geçerliliğinin Panel Veri Analizi ile Test Edilmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss.95-105.
  • KOY, Ayben (2013), “Fama ve French’in Büyüklük ve Değer Risk Primleri BİST’de Geçerli Midir?”, İşletme İktisadı Enstitüsü Yönetim Dergisi, 74(1), ss.102-118.
  • LAM, K., (2005), “Is the Fama-French Three Factor Model Better Than The CAPM?”, Faculty of Economics of Simon Fraser University, (Yüksek Lisans Tezi), Burnaby, BC Kanada.
  • LILTI, Jean Jacques, MONTAGNER, Helene Rainelli-Le (1998). Beta, Size and Returns: a Study on the French Stock Exchange, Applied Financial Economics, 8 (1), ss.13-20.
  • LINTNER, John (1965), “Security Prices, Risk, and Maximal Gains From Diversification”, The Journal of Finance, 20(4), ss.587-615.
  • MALIN, M., VEERARAGHAVAN, M., (2004), “On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom”, International Journal of Business and Economics, 3(2), ss.155-176.
  • MOSSIN, Jan (1966), “Equilibrium in a CapitalAsset Market”, Econometrica, 34(4), ss.768-783.
  • SABUNCU, Birsel, (2005), Varlık Fiyatlama Modelleri Ve İMKB Uygulaması, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı, (Yüksek Lisans Tezi), Denizli.
  • SHARMA, Renuka, MEHTA, Kiran (2013), “Fama and French: Three Factor Model”, SCMS Journal of Indian Management, Nisan-Haziran, ss.90-105.
  • SHARPE, William F. (1963), “A Simplified Model for Portfolio Analysis”, Management Science, 9 (2), ss.277-293.
  • SHARPE, William F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance, 19(3), ss.425-442.
  • TEPLOVA, Tamara, SHUTOVA, Evgeniya (2011), “A Higher Moment Downside Framework For Condıtıonal And Unconditional Capm in The Russian Stock Market”, Eurasian Economic Review, 1(2), ss.157-178.
  • ÜNLÜ, Ulaş (2012), “Alternatif Varlik Fiyatlandirma Modellerinin IMKB’de Test Edilmesi”, 16. Finans Sempozyumu Bildiri Kitabı, Erzurum.
  • ÜNAL, S. ve AKBEY F. (2016), “Firma Büyüklüğü Ve Piyasa Değeri / Defter Değeri Anomalilerinin Birlikte İncelenmesi: Borsa İstanbul Örneği”, CBÜ Sosyal Bilimler Dergisi, 14 (2), ss.257-282.
  • WALID, E.M., AHLEM, E.M, (2008), “New Evidence on the Applicability of Fama and French Three-Factor Model to the Japanese Stock Market”, Osaka University Working Paper.
  • XU, Jin, SHAOJUN, Zhang (2014), “The Fama-French Three Factors in the Chinese Stock Market”, China Accounting and Finance Review, 16(2) , ss.210-227.
  • YÜKSEL, S. (2013), “Determining Systematic Risk Factors in Borsa Istanbul”, Research Department of Borsa Istanbul Working Paper, 4.

Alternatif Varlık Fiyatlandırma Modelleri ve Borsa İstanbul'da Uygulama

Year 2020, TBMM 100. Yıl Özel Sayısı, 193 - 206, 28.04.2020

Melih Kutlu , Şeref Kalaycı

https://doi.org/10.18026/cbayarsos.551301

Abstract

Bu çalışmanın amacı portföy aşırı getirilerinin varlık fiyatlandırma modellerinde yer alan bağımsız değişkenler ile açıklanıp açıklanamayacağını test etmektir. Varlık fiyatlandırma modeli olarak Finansal Varlık Fiyatlandırma Modeli ve Fama French Üç Faktörlü Fiyatlandırma Modeli kullanılmıştır. Zaman serisi ile regresyon analizinde Finansal Varlık Fiyatlandırma Modeli'nde piyasa risk primi ile portföy aşırı getirileri arasında pozitif ve anlamlı ilişkiler bulunmuştur. Fama French Üç Faktörlü Fiyatlandırma Modelin de ise piyasa risk primi ve firma büyüklüğü ile portföy aşırı getirileri arasında pozitif ve anlamlı bir ilişki bulunmuştur.

Keywords

Varlık Fiyatlandırma Portföy Aşırı Getirileri Borsa İstanbul 100 Endeksi

References

  • AJILI, Souad (2002), The Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France, CEREG University of Paris Working Paper, 2002-10, ss.1-26.
  • AKSU, Mine.H. ve ÖNDER, Türkan (2003), “The Size and Book-to-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange”, Koç University Working Paper, 2000-04, ss.1-41.
  • AL-MWALLA, Mona., KARASNEH, Mahmoud (2011), “Fama & French Three Factor Model: Evidence from Emerging Market”, European Journal of Economics, Finance, and Administrative Sciences, 41, ss.132-140.
  • ATAKAN, Tülin ve GÖKBULUT, İlker (2010), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi”, Muhasebe ve Finansman Dergisi, 45(1), ss.180-189.
  • BILLOU, Nima (2004), Tests of the CAPM and Fama and French Three Factor Model, Faculty of Business Administration of Simon Fraser University, (Yüksek Lisans Tezi), Burnaby, BC Kanada.
  • BLACK, Fischer, MICHAEL C. Jensen and Myron Scholes (1972). “The Capital Asset Pricing Model: Some Empirical Tests”, Michael C. Jensen(Ed.), Studies in the Theory of Capital Markets, New York: Praeger Publishers, pp. ss.79-121.
  • CANBAŞ, Serpil, ARIOĞLU, Emrah (2008),Testing The Three Factor Model of Fama And French: Evıdence From Turkey, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17 (3), ss.79-92.
  • CARHART, Mark M. (1997), On Persistence in Mutual Fund Performance, Journal of Finance, 52(1), ss.57-82.
  • COŞKUN, Ender, ÇINAR, Önal (2014), “Üç Faktörlü Varlık Fiyatlama Modelinin Geçerliliği: Borsa İstanbul’da Bir İnceleme”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(4), ss.235-250.
  • CHARİTOU, A., CONSTANTİNİDİS, E. (2004), Size and Book-to-Market Factors in Earnings and Stock Returns: Empirical Evidence for Japan, University of Cyprus Working Paper.
  • DALGIN, Halim, KESHAV, Gupta, ABDULWAHAB, Sraiheen (2012), “Testing CAPM for the Istanbul Stock Exchange”, International Journal of Economic Perspectives, 6(3), ss.224-234.
  • DJAJADIKARTA, H., NARTEA G. (2005), “The Size and Book-to-Market Effects and The Fama-French Three Factor Model in Small Markets: Preliminary Findings From New Zealand”, Edith Cowan University Working Paper, 0510.
  • DOLINAR, Denis (2013), “Test of the Fama-French three-factor model in Croatia”, UTMS Journal of Economics, 4(2), ss.101-112.
  • DOĞANAY, M. Mete (2006), “Fama-French Üç Faktör Varlık Fiyatlama Modelinin İMKB’de Uygulanması”, İktisat İşletme ve Finans Dergisi, 21(249), ss.61-71.
  • ENDER, Coşkun, ÖNAL Çınar, (2014), “Üç Faktör Varlık Fiyatlama Modelinin Geçerliliği: Borsa İstanbul’da Bir İnceleme”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(4), ss.79-92.
  • ERİŞMİŞ, Ahmet (2007), “İMKB Hisseleri İcin Hisse Senedi Getirilerinde Firmalara Özgu Faktörlerin Etkisinin 1992-2005 Doneminde Incelenmesi”, (Yüksek Lisans Tezi), Çukurova Üniversitesi Sosyal Bilimler Enstitüsü, Adana.
  • ERASLAN, Veysel (2013), “Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange”, Business and Economic Research Journal, 4(2), ss.11-22.
  • FERSON, Wayne E., Harvey, CAMPBELL R. (1991), “The Variation Of Economic Risk Premiums”, Journal Of Political Economy, 99, ss.385-415.
  • DREW, Michael E., NAUGHTON, Tony, VEERARAGHAVAN, Madhu (2003), “Firm Size, Book-to-Market Equityand Security Returns: Evidence from the Shanghai Stock Exchange”, Australian Journal of Management, 28 (2), ss.119-139.
  • GAUNT, Clive (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 (1), ss.27-44.
  • GÖNENÇ, H., KARAN Mehmet.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 and Accounting, 14 (1), ss.1-25.
  • FAMA, Eugene (1965a), “Portfolio Analysis in a Stable Paretian Market”, Management Science, 11 (3), ss.404-419.
  • FAMA, Eugene (1965b), “The Behavior of Stock-Market Prices”, Journal of Business, 38 (1), ss.34-105.
  • FAMA, Eugene (1968), “Risk, Return and Equilibrium: Some Clarifying Comments”, Journal of Finance, 23 (1), ss.29-40.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1992), “The Cross Section of Expected Stock Returns”, Journal of Finance, 47(2), ss.427-465.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1993), “The Common Risk Factors in The Returns on Stock and Bonds”, Journal of Financial Economics, 33, ss.3-56.
  • FAMA, Eugene F. ve FRENCH, Kenneth R. (1997), “Value versus Growth: The International Evidence”, Journal of Finance, 53 (6), ss.1975-1999.
  • FAMA, Eugene F. ve MACBETH, James D. (1973), “Risk, Return, and Equilibrium: EmpiricalTests”, The Journal of Political Economics, 81(3), ss.607-693.
  • GÜRSOY, Cudi Tuncer, REJEPOVA, Gulnura (2007), “Finansal Varlıkların Fiyatlandırılması Modelinin Türkiye’de Sınanması”, Doğuş Üniversitesi Dergisi, 8 (1), ss.47-58.
  • GÖKGÖZ, Fazıl (2007), “Testing the Asset Pricing Models in Turkish Stock Markets: CAPM vs Three Factor Model”, International Journal of Economic Perspectives, 1(2), ss.103-117.
  • GÖKGÖZ, Fazıl (2008), “Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği”, Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 63(2), ss.43-64.
  • GREGORY, Alan, THARYAN, Rajesh, CHRISTIDİS, Angela (2011), “Constructingand Testing Alternative Versions of the Fama-French and Carhart Models in the UK”, Xfi Centre for Finance and Investment, University of Exeter Working Paper, 11/02, ss.1-67.
  • GÜLTEKİN, Mustafa N., GÜLTEKİN, N. Bülent ( 1987), “Stock Return Anomalies and the Tests of the APT”, Journal of Finance, 42(5), ss.1213-1224.
  • KORKMAZ, Turhan, YILDIZ, Berk, GÖKBULUT, İlker (2010), “FVFM’nin İMKB Ulusal 100 Endeksindeki Geçerliliğinin Panel Veri Analizi ile Test Edilmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss.95-105.
  • KOY, Ayben (2013), “Fama ve French’in Büyüklük ve Değer Risk Primleri BİST’de Geçerli Midir?”, İşletme İktisadı Enstitüsü Yönetim Dergisi, 74(1), ss.102-118.
  • LAM, K., (2005), “Is the Fama-French Three Factor Model Better Than The CAPM?”, Faculty of Economics of Simon Fraser University, (Yüksek Lisans Tezi), Burnaby, BC Kanada.
  • LILTI, Jean Jacques, MONTAGNER, Helene Rainelli-Le (1998). Beta, Size and Returns: a Study on the French Stock Exchange, Applied Financial Economics, 8 (1), ss.13-20.
  • LINTNER, John (1965), “Security Prices, Risk, and Maximal Gains From Diversification”, The Journal of Finance, 20(4), ss.587-615.
  • MALIN, M., VEERARAGHAVAN, M., (2004), “On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom”, International Journal of Business and Economics, 3(2), ss.155-176.
  • MOSSIN, Jan (1966), “Equilibrium in a CapitalAsset Market”, Econometrica, 34(4), ss.768-783.
  • SABUNCU, Birsel, (2005), Varlık Fiyatlama Modelleri Ve İMKB Uygulaması, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı, (Yüksek Lisans Tezi), Denizli.
  • SHARMA, Renuka, MEHTA, Kiran (2013), “Fama and French: Three Factor Model”, SCMS Journal of Indian Management, Nisan-Haziran, ss.90-105.
  • SHARPE, William F. (1963), “A Simplified Model for Portfolio Analysis”, Management Science, 9 (2), ss.277-293.
  • SHARPE, William F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance, 19(3), ss.425-442.
  • TEPLOVA, Tamara, SHUTOVA, Evgeniya (2011), “A Higher Moment Downside Framework For Condıtıonal And Unconditional Capm in The Russian Stock Market”, Eurasian Economic Review, 1(2), ss.157-178.
  • ÜNLÜ, Ulaş (2012), “Alternatif Varlik Fiyatlandirma Modellerinin IMKB’de Test Edilmesi”, 16. Finans Sempozyumu Bildiri Kitabı, Erzurum.
  • ÜNAL, S. ve AKBEY F. (2016), “Firma Büyüklüğü Ve Piyasa Değeri / Defter Değeri Anomalilerinin Birlikte İncelenmesi: Borsa İstanbul Örneği”, CBÜ Sosyal Bilimler Dergisi, 14 (2), ss.257-282.
  • WALID, E.M., AHLEM, E.M, (2008), “New Evidence on the Applicability of Fama and French Three-Factor Model to the Japanese Stock Market”, Osaka University Working Paper.
  • XU, Jin, SHAOJUN, Zhang (2014), “The Fama-French Three Factors in the Chinese Stock Market”, China Accounting and Finance Review, 16(2) , ss.210-227.
  • YÜKSEL, S. (2013), “Determining Systematic Risk Factors in Borsa Istanbul”, Research Department of Borsa Istanbul Working Paper, 4.
There are 50 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Melih Kutlu 0000-0002-8634-6330

Şeref Kalaycı 0000-0001-5439-0858

Publication Date April 28, 2020
Published in Issue Year 2020 TBMM 100. Yıl Özel Sayısı

Cite

APA Kutlu, M., & Kalaycı, Ş. (2020). Alternatif Varlık Fiyatlandırma Modelleri ve Borsa İstanbul’da Uygulama. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 18(Özel Sayı), 193-206. https://doi.org/10.18026/cbayarsos.551301
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