FİNANSAL VARLIKLARIN FİYATLANDIRILMASI MODELİNİN TÜRKİYE’DE SINANMASI

Abstract

Bu makale, her biri 10 hisse senedinden oluşan 20 portföyün 1995-2004 dönemindeki haftalık risk primleri rj – rf ile beta katsayıları arasında oluşturulan regresyonlar yardımıyla, Finansal Varlık Fiyatlandırma Modelinin Türkiyedeki geçerliliğini test etmeyi amaçlamaktadır. IMKB-100 endeksi ile Türkiye ve ABD enflasyon oranları farkına uyarlanmış ABD hazine bonosu faizi, sırasıyla, pazar portföyü ve risksiz faiz oranının temsilcisi olarak kullanılmıştır. Derinliğine bir literatür taramasından sonra, Fama ve MacBeth 1973 ve Pettengill ve diğ. 1995 yaklaşımları, araştırmada kullanılacak alternatif metodlar olarak seçilmiştir. Fama ve MacBeth yaklaşımıyla elde edilen araştırma sonuçları oluşturulan portföylerin beta katsayıları ile gerçekleşen risk primleri arasında hiç bir anlamlı ilişki göstermemiştir. Öte yandan Pettengill metodolojisi ile güçlü beta- risk primi ilişkileri bulunmuştur

Keywords

• Beta, risk primi, Finansal Varlıkların Fiyatlandırılması Modeli (FVFM), Türkiye

TEST OF CAPITAL ASSET PRICING MODEL IN TURKEY

Abstract

This article attempts to test the validity of CAPM Capital Asset Pricing Model in Turkey by regressing the weekly risk premiums rj - rf against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004. ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free rate respectively. Following an in-depth literature survey, Fama and MacBeth 1973 , and Pettengil et. al. 1995 approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the other hand, strong beta-risk premium relationships were discovered.

Keywords

• Beta, Risk Premium, Capital Asset Pricing Model (CAPM), Turkey

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