Alternatif Sistematik Risk Ölçütleri ile Sermaye Varlıkları Fiyatlama Modelinin Borsa İstanbul’da Test Edilmesi

Year 2014, Issue: 598, 75 - 92, 01.12.2014

Pelin Bengitöz Mehmet Umutlun

Abstract

Bu çalışmada, betanın zaman içinde değişmesine izin veren koşullu Sermaye Varlıklarını Fiyatlama Modeli’nin (SVFM) ve betanın sabit olarak kabul edildiği statik SVFM’nin geçerliliği Borsa İstanbul’da (BİST) test edilmiştir. BİST üzerine yapılan diğer çalışmalardan farklı olarak, koşullu SVFM testlerinde beta ay içindeki günlük getiri verileri kullanılarak hesaplanmıştır. Sonuçların tutarlılığını test etmek için, değişken betalar önceki yirmi dört aylık getiri verisi kullanılarak hareketli beta olarak da hesaplanmıştır. Sonuç olarak, statik ve koşullu SVFM’nin BİST’de geçerli olmadığı saptanmıştır. Ayrıca örneklem kriz öncesi, kriz ve kriz sonrası dönemlerine ayrılarak, testler bu alt dönemler için de yapılmıştır. Alt dönemler için elde edilen sonuçlar da tüm örneklem sonuçlarını desteklemektedir. Diğer taraftan fiyat-defter değeri oranının ise ortalama hisse senedi getirisi üzerinde anlamlı bir etkiye sahip olduğu bulunmuştur

Keywords

koşullu beta, hareketli beta, statik beta, SVFM, piyasa değeri, fiyat-defter değeri oranı

Testing the Capital Asset Pricing Model in İstanbul Stock Exchange with Alternative Systematic Risk Measures

Abstract

We test the validity of the conditional Capital Asset Pricing Model (CAPM) where beta is allowed to vary through time and of the static CAPM where beta is assumed to be constant in the İstanbul Stock Exchange (ISE). Unlike previous studies on ISE, daily returns within a month are used to estimate monthly betas. As a robustness check, we also use monthly return data of the past twenty four months to estimate monthly betas on a rolling basis. We conclude that the conditional and static CAPM are not valid for ISE. We perform our tests for the pre-, post and during the crisis periods. Sub-period test results also support full sample results. Furthermore, we find that the ratio of stock price to book- value-per-share has a significant impact on average stock returns

Keywords

conditional beta, rolling beta, static beta, CAPM, market equity, price-to-book value

References

• AKSU, Mine H. and Türkan ÖNDER; (2003), “The Size and Book-To-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange”, Koc University, Graduate School of Business, Working Paper No. 2000-04.
• ARIOĞLU, Emrah and Serpil CANBAŞ; (2008), “Testing the Three Factor Model of Fama and French: Evidence from Tur- key”, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (3), pp. 79-92.
• BALİ, Turan G., Nusret ÇAKICI and Yi TANG; (2009), “The
• Conditional Beta and the Cross-section of Expected Returns”, Financial Management, 38 (1), pp. 103-37. BİLGİN, Rümeysa and Eyüp BASTI; (2011), “A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Ex- change”, EuroEconomica 30(4), pp. 98-108.
• BLACK, Fischer; (1972), “Capital Market Equilibrium with Re- stricted Borrowing”, Journal of Business, 45(3), pp. 444-454.
• BLACK, Fischer, Michael C. JENSEN and Myron SCHOLES; (1972), “The Capital Asset Pricing Model: Some Empirical
• Tests”, Studies in the Theory of Capital Markets, 81(3), pp. 121. FAMA, Eugene F. and Kenneth R. FRENCH; (1993), “Common
• Risk Factors in the Returns on Stocks and Bonds”, The Journal of Financial Economics, 33(1), pp. 3-56. FAMA, Eugene F. and Kenneth R. FRENCH; (1995), “Size and Book-to-Market Factors in Earnings and Returns”, The Journal of Finance, 50(1), pp. 131-155.
• FAMA, Eugene F. and Kenneth R. FRENCH; (1992), “The
• Cross-Section of Expected Stock Returns”, The Journal of Fi- nance, 47(2), pp. 427-465. FAMA, Eugene F. and James D. MACBETH; (1973), “Risk, Re- turn, and Equilibrium: Empirical Tests”, The Journal of Political Economy, 81(3), pp. 607-636.
• GÜRSOY, Cudi T. and Gülnara REJEPOVA; (2007), “Test of
• Capital Asset Pricing Model in Turkey”, Dogus Universitesi Der- gisi, 8(1), pp. 47-58. KARACABEY, Ali A. and Yalçın KARATEPE; (2004), “Beta and Returns: Istanbul Stock Exchange Evidence”, Investment Man- agement and Financial Innovations, 3, pp. 86-89.
• KARATEPE, Yalçın, Elif KARAARSLAN ve Fazıl GÖKGÖZ; (1997), “Koşullu CAPM ve İMKB’de Bir Uygulama”, İMKB Der- gisi, 6(21), ss. 21-36.
• LEWELLEN, Jonathan and Stefan NAGEL; (2006), “The Con- ditional CAPM does not Explain Asset-Pricing Anomalies”
• Journal of Financial Economics, 82(2), pp. 289-314. LEWELLEN, Jonathan, Stefan NAGEL and Jay SHANKEN; (2010), “A Skeptical Appraisal of Asset Pricing Tests”, Journal of Financial Economics, 96(2), pp. 175–194.
• LINTNER, John; (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital
• Budgets”, Review of Economics and Statistics, 47(1), pp. 13- PETTENGILL, G.N., SUNDARAM, S., MATHUR, I. (1995). The Conditional Relation between Beta and Returns, Journal of Fi- nancial and Quantitative Analysis, 30(1), 101-116.
• SHARPE, William F.; (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, Journal of Fi- nance, 19(3), pp. 425-442.
• UMUTLU, Mehmet; (2014), “Idiosyncratic Volatility and Ex- pected Returns at the Global Level”, Yaşar University, Working Paper.
• YALÇINER, Kürşat; (2006), “Risk ile Getiri Arasındaki
• Doğrusallığın İMKB’de Analizi”, Muhasebe ve Finansman Der- gisi, 29, ss. 182-189. YALÇIN, Atakan and Nuri ERŞAHİN; (2010), “Does the Con- ditional CAPM Work? Evidence from the Istanbul Stock Ex- change”, Tusiad-Koc University Economic Research Forum Working Paper Series, No. 1025.