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Beta Katsayılarının Tahmini: İstanbul Menkul Kıymetler Borsası Üzerine Bir Uygulama

Year 2012, Volume: 12 Issue: 1, 67 - 76, 01.02.2012

Ömer İskenderoğlu

Abstract

Sistematik risk ölçütü olarak ifade edilen beta (β) katsayısı, hisse senedinin getirisi ile pazar getirisi arasındaki ilişkiyi gösterir. Bu çalışmanın amacı beta katsayısının gelecekte ulaşacağı değerin tahmin edilmesidir. Bu bağlamda İstanbul Menkul Kıymetler Borsası (İMKB)’nda işlem gören 74 hisse senedinin 2003 – 2011 dönemleri arası günlük verileri kullanılarak aylık, üç aylık, altı aylık ve yıllık dönemler itibariyle tarihi beta katsayıları hesaplanmıştır. Daha sonra hesaplanan beta katsayılarının rastsal olup olmadığı Levin, Lin ve Chu (2002) ve Im, Pesaran ve Shin (2003) tarafından önerilen panel birim kök testleri ile incelenmiş ve havuzlanmış regresyon yöntemi ve buna bağlı limit teoremi kullanılarak betaların gelecekte alacağı değerler tahmin edilmeye çalışılmıştır. Çalışmadan elde edilen sonuçlar betaların rastsal olmadığını ve ortalamaya dönme eğilimi içerisinde olduklarını göstermektedir. Ayrıca aylık süreçte tahmin sonuçlarından yıllık süreçte tahmin sonuçlarına doğru ilerledikçe betaların artmakta olduğu tespit edilmiştir. Elde edilen bu sonuçlar yatırımcılar açısından değerlendirildiğinde ortalamanın altıda kalan betalara ait hisse senetlerine yatırım yapılması önerilebilir

Keywords

Beta blume vasicek İMKB

References

  • Acaravcı, S.K., Kandır, S.Y.,Erişmiş A. (2009) “His- se Senedi Beta Katsayılarının Tahmini ve Düzeltilmesi: İstanbul Menkul Kıymetler Borsası Üzerine Bir Uygula- ma” Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Der- gisi, 18(2):270–280.
  • Adrian, T. ve Franzoni, F. (2005) “Learning About Beta: Time-Varying Factor Loadings, Expected Returns, And The Conditional CAPM” Federal Reserve Bank of New York, Working Paper Series, No.08-36.
  • Ang, A. ve Chen, J. (2003) “CAPM Over the Long-Run: 1926-2001” NBER Working Paper Series, No.11903.
  • Aygören, H., Sarıtaş H. (2007) “Beta Tahmini İçin Düzeltme Gerekli mi?” Akdeniz İktisadi ve İdari Bilimler Fakültesi Dergisi, 14:110–121.
  • Beatty, R. ve Ritter, J. (1986) “Investment Banking, Reputation and the Underpricing of Initial Public Offe- ring” Journal of Financial Economics, 15:213-232.
  • Bera, A.K. ve Kannan, S. (1986) “An Adjustment Procedure for Predicting Systematic Risk” Journal of Applied Econometrics, 1(4):317-332.
  • Beyazıt, M.F. (2005) “İMKB Betaları, Korelasyon Tahmini ve Değişkenlik” Doğuş Üniversitesi Dergisi, 6(1):28–34.
  • Blume, M. (1971) “On The Assessment of Risk” Jo- urnal of Finance, 6(1):1-10.
  • Blume, M. (1975) “Betas and Their Regression Ten- dencies” Journal of Finance, 10(3):785– 795.
  • Burnett, J. E., Carroll, C. ve Thistle P. (1996) “The Detection of Nonstationarity in the Market Model” Qu- arterly Journal of Business and Economics, 35(1):36-50.
  • Campbell, J. ve Vuolteenaho, T. (2002) “Bad Beta, Good Beta” NBER Working Paper Series, No.9509.
  • Couto G. ve Duque, J. (2010) “An Empirical Tes- ton The Forecast Ability of the Bayesian AND Blume Techniques for Infrequently Traded Stocks” 1st Finance Conference of the Portuguese Finance Network.
  • Dimson, E. (1979) “Risk Management When Shares are Subject to Infrequent Trading” Journal of Financial Economics, 7:197–226
  • Dimson, E. ve Marsh, P. R. (1983) “The Stability of Risk Measures and the Problem of Thin Trading” Journal of Finance, 38(3):753-783.
  • Elton, E. J., Gruber, M. J. ve Urich, T. (1978) “Are Betas Best?” Journal of Finance, 13(5): 1375-1384.
  • Eubank, J. A. A. ve Zumwalt, J. K. (1979) “An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes” Journal of Fi- nance, 34(3):761-776.
  • Fabozzi F. J. ve Francis J. C. (1978) “Beta as a Ran- dom Coefficient” Journal of Financial and Quantitative Analysis, 13:101 - 116.
  • Fama, E. F. ve French, K. R. (1997) “Industry Costs Of Equity” Journal of Financial Economics, 43(2):153−193.
  • Gangemi, M., Brooks, R. ve Faff, R. (1999) “Mean Reversion and the Forecasting of Country Betas: A Note” Global Finane Journal, 10(2):231–248.
  • Goldberg, M. (1981) “An Explanation of Security Beta Regression Tendencies” Southern Economic Journal, 47(3):809-815.
  • Goldberg, S.R. ve Heflin, L. F. (1995) “The Associ- ation Between the Level of International Diversification and Risk” Journal of International Financial Management & Accounting, 6:1-25.
  • Gooding, A. E. ve O’Malley, T. P. (1977) “Market Phase and the Stationarity of Beta” Journal of Financial and Quantitative Analysis, 12(5):833-857.
  • Gümrah, Ü., Demirci, E. (2009) “İstanbul Menkul Kıymetler Borsası’nda (İMKB) Hisse Senedi Getiri Ara- lığı ve Yatırım Ufku” İstanbul Üniversitesi İşletme Fakülte- si Dergisi, 38(2): 184–196.
  • Hawawini, G.A., Michel, P. ve Corthay, A. (1985) “New Evidence on Beta Stationarity and Forecast for Belgian Common Stocks” Journal of Banking and Finan- ce, 9(4):553-560.
  • Im, K.S., Pesaran, M.H. ve Shin, Y. (2003) “Testing for Unit Roots in Heterogeneous Panels” Journal of Eco- nometrics, 115:53-74.
  • Jostova, G. ve Philipov, A. (2005) “Bayesian Analy- sis Of Stochastic Betas” Journal of Financial and Quanti- tative Analysis, 40(4):747−778.
  • Klemkosky, R. C. ve Martin, J. D. (1975) “The Ef- fect of Market Risk on Portfolio Diversification” Journal of Finance, 10(1): 147-153.
  • Kolb, R. W., ve Rodriguez, R. J. (1989) “The Regres- sion Tendencies of Betas: A Reappraisal” Financial Revi- ew, 24(2)2:319-334.
  • Lally, M. (1998) “An examination of Blume and Va- sicek Betas” The Financial Review, 33:183-198.
  • Levin, A., Lin, C.F. ve Chu, C-S.J. (2002) “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties” Journal of Econometrics, 108: 1-24.
  • Levy, R. (1971) “On the Short-Term Stationarity of Beta Coefficients” Financial Analysts Journal, 27(5):55-62.
  • Luoma, M., Martikainen, T. ve Perttunen, J. (1996) “A Pseudo Criterion for Security Betas in the Finnish Stock Market” Applied Economics, 28(1):65-69.
  • Martikainen, T. (1991) “The Impact of Infrequent Trading on Betas Based on Daily, Weekly and Monthly Return Intervals: Empirical Evidence with Finnish Data” Finnish Economic Papers, 4(1):52-64.
  • Mauer, D. C. ve Lemma W. S. (1992) “The Effect of the Secondary Market on the Pricing of Initial Pub- lic Offerings: Theory and Evidence” Journal of Financial and Quantitative Analysis, 27(1):55-25.
  • Mergner, S. ve Bulla, J. (2005) “Time-Varying Beta Risk of Pan-European Industry Portfolios: A Compari- son Of Alternative Modeling Techniques” ECON Wor- king Paper Series, No. 0510029.
  • Murray, L. (1995) “An Examination of Beta Estima- tion Using Daily Irish Data” Journal of Business Finance and Accounting, 22: 893-906.
  • Odabaşı, A. (2002) “İstanbul Menkul Kıymetler Borsasında Betaların Değişkenliği Üzerine Bir İnceleme” İMKB Dergisi, 6(24): 17–34.
  • Rock, K. (1986) “Why New Issues Are Underpriced” Journal of Financial Economics, 15: 187-212.
  • Rosenberg, B. (1973) “The Analysis of a Cross Secti- on of Time Series by Stochastically Convergent Parame- ter Regression” Annals of Economic and Social Measure- ment, 2:399-428.
  • Rosenberg, B. (1985) “Prediction of Common Stock Betas” Journal of Portfolio Management, 11:5-14.
  • Serindere, S., Dizdarlar, H.I. (2008) “Getiri Aralığı- nın Sitematik Risk Ölçüsü Olan Beta Üzerine Etkileri: İMKB’de Bir Uygulama” Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1):1–17.
  • Sunder, S. (1980) “Stationarity of Market Risks: Random Coefficient Tests for Individual Stock” Journal of Finance, 35:883-896.
  • Tetik, N., Uğur, A. (2010) “Beta Katsayısının Tah- mininde Getiri Aralığının Sektörler İtibariyle Analizi: İMKB’de Bir Araştırma” Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(1):15–24.
  • Tunçel, A. K. (2009) “Beta Tahmininde Getiri Aralı- ğı Etkisi: İMKB Örneği” Ege Akademik Bakış, 9(1):131– 139.
  • Vasicek, O. (1973) “A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas” Journal of Finance, 8(5):1233-1239.
  • Wells, C. (1994) “Variable Betas on the Stockholm Exchange 1971–1989” Applied Financial Economics, 4:75−92.

Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange

Year 2012, Volume: 12 Issue: 1, 67 - 76, 01.02.2012

Ömer İskenderoğlu

Abstract

As a systematic risk parameter, the beta (β) coefficient shows the relation between stock and market. The aim of this study is to estimate the future value of beta coefficient. Accordingly, utilizing with the daily data, historical beta coefficients for 74 common stocks of Istanbul Stock Exchange (ISE) is computed on monthly quarterly, semiannually and annually for the period 2003 – 2011. Afterwards the panel unit root tests proposed by Levin, Lin and Chu (2002) and Im, Pesaran and Shin (2003) is employed to reveal if the betas are on a random walk. Meanwhile pooled regression analysis and limit theorem is utilized to estimate the future value of betas. The results of the study indicate that betas are not on random walk and they are on mean reversion. Consequently the expected beta result seems to increase with the increase in the period. These results could be considered as investing to the stock where betas under mean value for investors

Keywords

Beta blume vasicek ISE

References

  • Acaravcı, S.K., Kandır, S.Y.,Erişmiş A. (2009) “His- se Senedi Beta Katsayılarının Tahmini ve Düzeltilmesi: İstanbul Menkul Kıymetler Borsası Üzerine Bir Uygula- ma” Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Der- gisi, 18(2):270–280.
  • Adrian, T. ve Franzoni, F. (2005) “Learning About Beta: Time-Varying Factor Loadings, Expected Returns, And The Conditional CAPM” Federal Reserve Bank of New York, Working Paper Series, No.08-36.
  • Ang, A. ve Chen, J. (2003) “CAPM Over the Long-Run: 1926-2001” NBER Working Paper Series, No.11903.
  • Aygören, H., Sarıtaş H. (2007) “Beta Tahmini İçin Düzeltme Gerekli mi?” Akdeniz İktisadi ve İdari Bilimler Fakültesi Dergisi, 14:110–121.
  • Beatty, R. ve Ritter, J. (1986) “Investment Banking, Reputation and the Underpricing of Initial Public Offe- ring” Journal of Financial Economics, 15:213-232.
  • Bera, A.K. ve Kannan, S. (1986) “An Adjustment Procedure for Predicting Systematic Risk” Journal of Applied Econometrics, 1(4):317-332.
  • Beyazıt, M.F. (2005) “İMKB Betaları, Korelasyon Tahmini ve Değişkenlik” Doğuş Üniversitesi Dergisi, 6(1):28–34.
  • Blume, M. (1971) “On The Assessment of Risk” Jo- urnal of Finance, 6(1):1-10.
  • Blume, M. (1975) “Betas and Their Regression Ten- dencies” Journal of Finance, 10(3):785– 795.
  • Burnett, J. E., Carroll, C. ve Thistle P. (1996) “The Detection of Nonstationarity in the Market Model” Qu- arterly Journal of Business and Economics, 35(1):36-50.
  • Campbell, J. ve Vuolteenaho, T. (2002) “Bad Beta, Good Beta” NBER Working Paper Series, No.9509.
  • Couto G. ve Duque, J. (2010) “An Empirical Tes- ton The Forecast Ability of the Bayesian AND Blume Techniques for Infrequently Traded Stocks” 1st Finance Conference of the Portuguese Finance Network.
  • Dimson, E. (1979) “Risk Management When Shares are Subject to Infrequent Trading” Journal of Financial Economics, 7:197–226
  • Dimson, E. ve Marsh, P. R. (1983) “The Stability of Risk Measures and the Problem of Thin Trading” Journal of Finance, 38(3):753-783.
  • Elton, E. J., Gruber, M. J. ve Urich, T. (1978) “Are Betas Best?” Journal of Finance, 13(5): 1375-1384.
  • Eubank, J. A. A. ve Zumwalt, J. K. (1979) “An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes” Journal of Fi- nance, 34(3):761-776.
  • Fabozzi F. J. ve Francis J. C. (1978) “Beta as a Ran- dom Coefficient” Journal of Financial and Quantitative Analysis, 13:101 - 116.
  • Fama, E. F. ve French, K. R. (1997) “Industry Costs Of Equity” Journal of Financial Economics, 43(2):153−193.
  • Gangemi, M., Brooks, R. ve Faff, R. (1999) “Mean Reversion and the Forecasting of Country Betas: A Note” Global Finane Journal, 10(2):231–248.
  • Goldberg, M. (1981) “An Explanation of Security Beta Regression Tendencies” Southern Economic Journal, 47(3):809-815.
  • Goldberg, S.R. ve Heflin, L. F. (1995) “The Associ- ation Between the Level of International Diversification and Risk” Journal of International Financial Management & Accounting, 6:1-25.
  • Gooding, A. E. ve O’Malley, T. P. (1977) “Market Phase and the Stationarity of Beta” Journal of Financial and Quantitative Analysis, 12(5):833-857.
  • Gümrah, Ü., Demirci, E. (2009) “İstanbul Menkul Kıymetler Borsası’nda (İMKB) Hisse Senedi Getiri Ara- lığı ve Yatırım Ufku” İstanbul Üniversitesi İşletme Fakülte- si Dergisi, 38(2): 184–196.
  • Hawawini, G.A., Michel, P. ve Corthay, A. (1985) “New Evidence on Beta Stationarity and Forecast for Belgian Common Stocks” Journal of Banking and Finan- ce, 9(4):553-560.
  • Im, K.S., Pesaran, M.H. ve Shin, Y. (2003) “Testing for Unit Roots in Heterogeneous Panels” Journal of Eco- nometrics, 115:53-74.
  • Jostova, G. ve Philipov, A. (2005) “Bayesian Analy- sis Of Stochastic Betas” Journal of Financial and Quanti- tative Analysis, 40(4):747−778.
  • Klemkosky, R. C. ve Martin, J. D. (1975) “The Ef- fect of Market Risk on Portfolio Diversification” Journal of Finance, 10(1): 147-153.
  • Kolb, R. W., ve Rodriguez, R. J. (1989) “The Regres- sion Tendencies of Betas: A Reappraisal” Financial Revi- ew, 24(2)2:319-334.
  • Lally, M. (1998) “An examination of Blume and Va- sicek Betas” The Financial Review, 33:183-198.
  • Levin, A., Lin, C.F. ve Chu, C-S.J. (2002) “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties” Journal of Econometrics, 108: 1-24.
  • Levy, R. (1971) “On the Short-Term Stationarity of Beta Coefficients” Financial Analysts Journal, 27(5):55-62.
  • Luoma, M., Martikainen, T. ve Perttunen, J. (1996) “A Pseudo Criterion for Security Betas in the Finnish Stock Market” Applied Economics, 28(1):65-69.
  • Martikainen, T. (1991) “The Impact of Infrequent Trading on Betas Based on Daily, Weekly and Monthly Return Intervals: Empirical Evidence with Finnish Data” Finnish Economic Papers, 4(1):52-64.
  • Mauer, D. C. ve Lemma W. S. (1992) “The Effect of the Secondary Market on the Pricing of Initial Pub- lic Offerings: Theory and Evidence” Journal of Financial and Quantitative Analysis, 27(1):55-25.
  • Mergner, S. ve Bulla, J. (2005) “Time-Varying Beta Risk of Pan-European Industry Portfolios: A Compari- son Of Alternative Modeling Techniques” ECON Wor- king Paper Series, No. 0510029.
  • Murray, L. (1995) “An Examination of Beta Estima- tion Using Daily Irish Data” Journal of Business Finance and Accounting, 22: 893-906.
  • Odabaşı, A. (2002) “İstanbul Menkul Kıymetler Borsasında Betaların Değişkenliği Üzerine Bir İnceleme” İMKB Dergisi, 6(24): 17–34.
  • Rock, K. (1986) “Why New Issues Are Underpriced” Journal of Financial Economics, 15: 187-212.
  • Rosenberg, B. (1973) “The Analysis of a Cross Secti- on of Time Series by Stochastically Convergent Parame- ter Regression” Annals of Economic and Social Measure- ment, 2:399-428.
  • Rosenberg, B. (1985) “Prediction of Common Stock Betas” Journal of Portfolio Management, 11:5-14.
  • Serindere, S., Dizdarlar, H.I. (2008) “Getiri Aralığı- nın Sitematik Risk Ölçüsü Olan Beta Üzerine Etkileri: İMKB’de Bir Uygulama” Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1):1–17.
  • Sunder, S. (1980) “Stationarity of Market Risks: Random Coefficient Tests for Individual Stock” Journal of Finance, 35:883-896.
  • Tetik, N., Uğur, A. (2010) “Beta Katsayısının Tah- mininde Getiri Aralığının Sektörler İtibariyle Analizi: İMKB’de Bir Araştırma” Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(1):15–24.
  • Tunçel, A. K. (2009) “Beta Tahmininde Getiri Aralı- ğı Etkisi: İMKB Örneği” Ege Akademik Bakış, 9(1):131– 139.
  • Vasicek, O. (1973) “A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas” Journal of Finance, 8(5):1233-1239.
  • Wells, C. (1994) “Variable Betas on the Stockholm Exchange 1971–1989” Applied Financial Economics, 4:75−92.
There are 46 citations in total.

Details

Other ID JA32SH94CU
Journal Section Research Article
Authors

Ömer İskenderoğlu This is me

Publication Date February 1, 2012
Published in Issue Year 2012 Volume: 12 Issue: 1

Cite

APA İskenderoğlu, Ö. (2012). Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange. Ege Academic Review, 12(1), 67-76.
AMA İskenderoğlu Ö. Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange. ear. February 2012;12(1):67-76.
Chicago İskenderoğlu, Ömer. “Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange”. Ege Academic Review 12, no. 1 (February 2012): 67-76.
EndNote İskenderoğlu Ö (February 1, 2012) Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange. Ege Academic Review 12 1 67–76.
IEEE Ö. İskenderoğlu, “Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange”, ear, vol. 12, no. 1, pp. 67–76, 2012.
ISNAD İskenderoğlu, Ömer. “Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange”. Ege Academic Review 12/1 (February 2012), 67-76.
JAMA İskenderoğlu Ö. Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange. ear. 2012;12:67–76.
MLA İskenderoğlu, Ömer. “Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange”. Ege Academic Review, vol. 12, no. 1, 2012, pp. 67-76.
Vancouver İskenderoğlu Ö. Estimation of the Beta Coefficients: An Empirical Analysis in Istanbul Stock Exchange. ear. 2012;12(1):67-76.