BibTex RIS Cite

THE RELATIONSHIP BETWEEN BOOK VALUE/MARKET VALUE RATE, FIRM SIZE AND ECONOMIC SHOCKS WITH STOCK RETURNS: THE SAMPLE OF INTERTEMPORAL ASSET PRICING MODEL FOR BORSA İSTANBUL

Year 2018, , 761 - 790, 01.06.2018
https://doi.org/10.17130/ijmeb.2018343122

Abstract

The purpose of this study is to determine validty of intertemporal asset pricing model in Borsa İstanbul for 1993:3-2005:2 time period. In this context, the relationship between book value/market value rate, firm size and economic shocks obtained form New Keynesian Dynamic Stochastic Generel Equilibrium model and stock returns was investigated through panel data analysis. According to findings of the study, it was determined that risk factors included in the model Except for Wage Mark-up Shocks affect stock returns statistically significiant. These findigs show the validity of intertemporal asset pricing model on Borsa İstanbul for 1993:32005:2 time period

References

  • Akay, H. K., & Nergeleçekenler, M. (2009). Para politikası şokları hisse senedi fiyatlarını etkiler mi? Türkiye örneği. Marmara Üniversitesi İ.İ.B.F. Dergisi, XXVII(II), 129- 152.
  • Alp, H., & Elekdağ, S. (2011). The role of monetary policy in Turkey during the global financial crisis. IMF Working Paper.
  • Aşık, B. (2014, Temmuz). Yapısal şokların Türkiye ekonomisi üzerine etkileri. International Conference on Eurasian Economies, Makedonya.
  • Baek, S., & Bilson, J. (2015). Size and value risk in financial firms. Journal of Banking & Finance, 55, 295–326.
  • Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 97, 101-131.
  • Barbalau, A., Robotti, C., & Shanken, J. (2015). Testing inequality restrictions in multifactor asset pricing models. Working Paper.
  • Bari, B. (2013). Yeni Keynesyen modelde optimum para politikası: Türkiye için dinamik stokastik genel denge modeli tahmini (Doktora Tezi). Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Belo, F. (2010). Production-based measures of risk for asset pricing. Journal of Monetary Economics, 57, 146–163.
  • Bernanke, B. S., & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy?. The Journal of Finance, LX(3), 1221-1257.
  • Boons, M. (2013). State variables, macroeconomic activity and the cross-section of ındividual stocks. Netspar Discussion Paper No: 12.
  • Brennan, M., Wang, A., & Xia, Y. (2004). Estimation and test of a simple model of intertemporal capital asset pricing. The Journal of Finance, 59, 1743-1775.
  • Brennan, M. J., & Xia, Y. (2003). Risk and valuation under an intertemporal capital asset pricing model. Rodney L. White Center for Financial Research Working Paper, Working Paper No: 09-03.
  • Canbaş, S., Kandır, S., & Erişmiş, A. (2008). İMKB şirketlerinde büyüklük ve defter değeri/ piyasa değeri oranının hisse senedi getirilerine etkisinin analizi. İMKB Dergisi, 10 (39), 1-18.
  • Chang, J., Errunza, R. V., Hogan, K., & Hung, M.-W. (2005). An intertemporal international asset pricing model: Theory and empirical evidence. European Financial Management, 11 (2), 173–194.
  • Chen, J. (2003). Intertemporal CAPM and the cross-section of stock returns. Working Paper.
  • Chen, J. (2002). Intertemporal CAPM. Working Paper.
  • Chen, L., Novy-Marx, R., & Zhang, L. (2010). An alternative three-factor model. University of Rochester Unpublished Working Paper.
  • Cho, S. (2013). New return anomalies and New-Keynesian ICAPM. International Review of Financial Analysis, 29, 87–106.
  • Cho, S. (2007). Stock returns and New-Keynesian factors. (Doctoral Dissertation). Columbia University, Columbia.
  • Cochrane, J. H. (2005). Asset pricing. New Jersey: Princeton University Press.
  • Cooper, I., & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. BEROC Conference.
  • Cooper, I., & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. SSRN Working Paper.
  • Çebi, C. (2012). The interaction between monetary and fiscal policies in Turkey: An estimated New Keynesian DSGE Model. Economic Modelling, 29, 1258–1267.
  • Davis, J. L., French, E., & French, K. (2000). Characteristics, covariances, and average return 1929 to 1997. Journal of Finance, 55 (1), 389-406.
  • Dissanayake, R. (2016). Government spending shocks and asset prices. SSRN Papers, Papers No: 2667871.
  • Dissanayake, R., Watanabe, A., & Watanabe, M. (2015). Investment shocks and asset prices: International evidence. Working Paper.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383-417.
  • Fama, E. F., & French, K. (1998). Value versus growth: The international evidence. Journal of Finance, 53 (6), 1975-1999.
  • Fama, E. F., & French, K. (1996). Multifactor exlanations of asset pricing anomalies. Journal of Finance, 51 (1), 55-84.
  • Fama, E. F., & French, K. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, L (1), 131-155.
  • Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
  • Fama, E. F., & Macbeth, J. (1973). Risk, return, and equilibrium: empirical tests. Journal of Political Economy, 81 (3), 607-636.
  • Farhadi, R., & Mousavi, S. M. (2013). Inter-temporal relationship between risk and return: Evidence from Tehran Securities Exchange (TSE). International Research Journal of Applied and Basic Sciences, 4 (6), 1366-1369.
  • Ferson, W. E., & Harvey, C. (1999). Conditioning variables and croos-section of stock returns. The Journal of Finance, LIV (4), 1325-1360.
  • Florackis, C., Kontonikas, A., & Kostakis, A. (2014). Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis. Journal of International Money and Finance, 44, 97–117.
  • Fragetta, M., & Kirsanova, T. (2010). Strategic Monetary and fiscal policy interactions: An empirical investigation. European Economic Review, 54 (7), 855–879.
  • Galí, J., Smets, F., & Wouters, R. (2012). Unemployment in an estimated New Keynesian model. National Bank of Poland Working Paper, Paper No: 106.
  • Garlappi, L., & Song, Z. (2016 ). Can investment shocks explain the cross-section of equity returns?. Management Science, Forthcoming.
  • Gaudet, G., & Khadr, A. (1991). University the evolution of natural resource prices under stochastic ınvestment opportunities: an intertemporal asset-pricing approach. International Economic Review, 30 (2), 441-455.
  • Gilchrist, S., & Leahy, J. (2002). Monetary policy and asset prices. Journal of Monetary Economics, 49, 75-97.
  • Gregoriou, A., Kontonikas, A., & MacDonald, R. (2009). Monetary policy shocks and stock returns: Evidence from the British market. Financ. Mark. Portf. Manag, 23, 401–410.
  • Guo, H., & Savickas, R. (2003). On the cross section of conditionally expected stock returns. Working Paper Series, No: 2003-043A.
  • Kazar, A. (2012). Merkez bankası ve parasal şokların etkileri. Adana: Nobel Kitap Evi.
  • Li, E. X., Li, H., & Yu, C. (2013). Macroeconomic risks and asset pricing: Evidence from a dynamic stochastic general equilibrium model. Working Paper.
  • Maio, P. (2013). Return decomposition and the intertemporal CAPM. Journal of Banking & Finance, 37, 4958–4972.
  • Maio, P. (2013). Intertemporal CAPM with conditioning variables. Management Science, 59 (1), 22–141.
  • Maio, P., & Philip, D. (2013). Macro factors and the cross-section of stock returns. Hanken School of Economics Working Paper.
  • Maio, P., & Santa-Clara, P. (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106, 586–613.
  • Malkhozov, A., & Tamoni, A. (2015). News shocks and asset prices. SRC Discussion Paper No: 34.
  • Merola, R. (2014). The role of financial frictions during the crises: An estimated DSGE model. Dynare Working Papers Series, Series No: 33.
  • Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41 (5), 867-887.
  • Öğünç, F., & Sarıkaya, Ç. (2011). Görünmez ama hissedilmez değil: Türkiye’de çıktı açığı.
  • Öztürkatalay, M. V. (2005). Hisse senedi piyasalarında görülen kesitsel anomaliler ve İMKB’ye yönelik bir araştırma. İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Paetz, M., & Gupta, R. (2014). Stock price dynamics and the business cycle in an estimated DSGE model for south Africa. WiSo-HH Working Paper Series, Series No: 18.
  • Perez-Quiros, G., & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, LV(3), 1229-1262.
  • Shanken, J. (1990). Intertemporal asset pricing an empirical investigation. Journal of Econometrics, 45, 99-120.
  • Smets, F., & Wouters, R. (2007). Shocks and frictions in us business cycles a Bayesian DSGE approach. Working Paper Series, Series No: 722.
  • Tatoğlu, F. Y. (2012). İleri panel veri analizi Stata uygulamalı. İstanbul: Beta Basım A.Ş.
  • Ünlü, U. (2011). Kesitsel anomaliler, momentum ve çok faktörlü varlık fiyatlama modelleri: İMKB örneği. (Doktora Tezi). Erciyes Üniversitesi Sosyal Bilimler Enstitüsü, Kayseri
  • Yüksel, C. (2013). Role of investment shocks in explaining business cycles in Turkey. Central Bank of the Republic of Turkey Working Paper, Working Paper No: 13/12.
  • EK 1. 1993:3-2005:2 Analiz Dönemi İçin Makro Değişkenlere Ait ADF Birim Kök Testi Sonuçları Değişkenler Seviye Değerleri 1. Fark Değerleri Değer Sabitli Sabitli/ Sabitli Trendli Sabitli/ Trendli GSYİH
  • Özel Kesim Nihai Tüketim Harcamaları
  • Özel Kesim Sabit Yatırım Harcamaları
  • İmalat Sanayide Brüt Ücret- Maaş Endeksi
  • İmalat Sanayide Çalışılan Saat Endeksi Faiz Oranı Enflasyon
  • *(a) ve (b) ifadeleri, sırasıyla değişkenlerin %1 ve %5 anlamlılık seviyelerinde durağan olduklarını ve parantez içindeki
  • rakamlar ADF birim kök testi için Schwarz Bilgi Kriterine göre seçilen gecikme uzunluklarını ifade etmektedir.
  • EK 2: 1993:3-2005:2 ve 2005:3-2014:2 Analiz Dönemleri İçin Önsel Dağılımlar Önsel Dağılım Parametre Önsel Dağılım Beta Beta Beta Normal Normal Normal Normal Normal Normal Beta Normal Gamma Gamma Beta Beta Beta Normal Normal Normal Normal Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Beta Beta Beta Beta Beta Beta Beta Beta Beta Önsel Standart Sapma 0,10 0,10 0,10 0,75 0,375 1,5 0,25 0,05 0,05 0,10 0,10 0,10 0,10
  • Durağan Durum İskonto Oranı
  • Emek Piyasası Geçmişe Dönük Endeksleme
  • Mal Piyasası Geçmişe Dönük Endeksleme
  • Kapasite Kullanım Elastikiyeti
  • Üretimde Sabit Maliyetlerin Payı 1,5 4 1,5 0,125 0,125 0,75 0,40 0,62 0,25 0,50 0,50 0,50 1,25 0,125 2 0,50 0,30 0,10 0,10 0,10 0,10 0,10 0,10 0,10 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,20
  • Ücret Mark-up Şokunun MA Parametresi
  • EK 4. 1993:3-2005:2 Analiz Dönemi İçin MCMC Diagnostik Sonuçlar

DEFTER DEĞERİ /PİYASA DEĞERİ ORANI, FİRMA BÜYÜKLÜĞÜ VE İKTİSADİ ŞOKLAR İLE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİ: BORSA İSTANBUL İÇİN ZAMANLARARASI VARLIK FİYATLAMA MODELİ ÖRNEĞİ

Year 2018, , 761 - 790, 01.06.2018
https://doi.org/10.17130/ijmeb.2018343122

Abstract

Bu çalışmanın amacı, zamanlararası varlık fiyatlama modelinin Borsa İstanbul’da geçerliliğini 1993:3-2005:2 dönemi için belirlemektir. Bu kapsamda, defter değeri/piyasa değeri oranı, firma büyüklüğü ve Yeni Keynesyen Dinamik Stokastik Genel Denge modelinden elde edilen iktisadi şoklar ile hisse senedi getirileri arasındaki ilişki panel veri analizi ile incelenmiştir. Çalışmada elde edilen bulgulara göre, modele dâhil edilen risk faktörlerinin Ücret Mark-up Şokları hariç hisse senedi getirilerini istatistiki olarak anlamlı bir şekilde etkilediği tespit edilmiştir. Bu bulgular ise, zamanlararası varlık fiyatlama modelinin 1993:3-2005:2 zaman aralığı için Borsa İstanbul’da geçerli olduğuna işaret etmektedir.

References

  • Akay, H. K., & Nergeleçekenler, M. (2009). Para politikası şokları hisse senedi fiyatlarını etkiler mi? Türkiye örneği. Marmara Üniversitesi İ.İ.B.F. Dergisi, XXVII(II), 129- 152.
  • Alp, H., & Elekdağ, S. (2011). The role of monetary policy in Turkey during the global financial crisis. IMF Working Paper.
  • Aşık, B. (2014, Temmuz). Yapısal şokların Türkiye ekonomisi üzerine etkileri. International Conference on Eurasian Economies, Makedonya.
  • Baek, S., & Bilson, J. (2015). Size and value risk in financial firms. Journal of Banking & Finance, 55, 295–326.
  • Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 97, 101-131.
  • Barbalau, A., Robotti, C., & Shanken, J. (2015). Testing inequality restrictions in multifactor asset pricing models. Working Paper.
  • Bari, B. (2013). Yeni Keynesyen modelde optimum para politikası: Türkiye için dinamik stokastik genel denge modeli tahmini (Doktora Tezi). Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Belo, F. (2010). Production-based measures of risk for asset pricing. Journal of Monetary Economics, 57, 146–163.
  • Bernanke, B. S., & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy?. The Journal of Finance, LX(3), 1221-1257.
  • Boons, M. (2013). State variables, macroeconomic activity and the cross-section of ındividual stocks. Netspar Discussion Paper No: 12.
  • Brennan, M., Wang, A., & Xia, Y. (2004). Estimation and test of a simple model of intertemporal capital asset pricing. The Journal of Finance, 59, 1743-1775.
  • Brennan, M. J., & Xia, Y. (2003). Risk and valuation under an intertemporal capital asset pricing model. Rodney L. White Center for Financial Research Working Paper, Working Paper No: 09-03.
  • Canbaş, S., Kandır, S., & Erişmiş, A. (2008). İMKB şirketlerinde büyüklük ve defter değeri/ piyasa değeri oranının hisse senedi getirilerine etkisinin analizi. İMKB Dergisi, 10 (39), 1-18.
  • Chang, J., Errunza, R. V., Hogan, K., & Hung, M.-W. (2005). An intertemporal international asset pricing model: Theory and empirical evidence. European Financial Management, 11 (2), 173–194.
  • Chen, J. (2003). Intertemporal CAPM and the cross-section of stock returns. Working Paper.
  • Chen, J. (2002). Intertemporal CAPM. Working Paper.
  • Chen, L., Novy-Marx, R., & Zhang, L. (2010). An alternative three-factor model. University of Rochester Unpublished Working Paper.
  • Cho, S. (2013). New return anomalies and New-Keynesian ICAPM. International Review of Financial Analysis, 29, 87–106.
  • Cho, S. (2007). Stock returns and New-Keynesian factors. (Doctoral Dissertation). Columbia University, Columbia.
  • Cochrane, J. H. (2005). Asset pricing. New Jersey: Princeton University Press.
  • Cooper, I., & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. BEROC Conference.
  • Cooper, I., & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. SSRN Working Paper.
  • Çebi, C. (2012). The interaction between monetary and fiscal policies in Turkey: An estimated New Keynesian DSGE Model. Economic Modelling, 29, 1258–1267.
  • Davis, J. L., French, E., & French, K. (2000). Characteristics, covariances, and average return 1929 to 1997. Journal of Finance, 55 (1), 389-406.
  • Dissanayake, R. (2016). Government spending shocks and asset prices. SSRN Papers, Papers No: 2667871.
  • Dissanayake, R., Watanabe, A., & Watanabe, M. (2015). Investment shocks and asset prices: International evidence. Working Paper.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383-417.
  • Fama, E. F., & French, K. (1998). Value versus growth: The international evidence. Journal of Finance, 53 (6), 1975-1999.
  • Fama, E. F., & French, K. (1996). Multifactor exlanations of asset pricing anomalies. Journal of Finance, 51 (1), 55-84.
  • Fama, E. F., & French, K. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, L (1), 131-155.
  • Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
  • Fama, E. F., & Macbeth, J. (1973). Risk, return, and equilibrium: empirical tests. Journal of Political Economy, 81 (3), 607-636.
  • Farhadi, R., & Mousavi, S. M. (2013). Inter-temporal relationship between risk and return: Evidence from Tehran Securities Exchange (TSE). International Research Journal of Applied and Basic Sciences, 4 (6), 1366-1369.
  • Ferson, W. E., & Harvey, C. (1999). Conditioning variables and croos-section of stock returns. The Journal of Finance, LIV (4), 1325-1360.
  • Florackis, C., Kontonikas, A., & Kostakis, A. (2014). Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis. Journal of International Money and Finance, 44, 97–117.
  • Fragetta, M., & Kirsanova, T. (2010). Strategic Monetary and fiscal policy interactions: An empirical investigation. European Economic Review, 54 (7), 855–879.
  • Galí, J., Smets, F., & Wouters, R. (2012). Unemployment in an estimated New Keynesian model. National Bank of Poland Working Paper, Paper No: 106.
  • Garlappi, L., & Song, Z. (2016 ). Can investment shocks explain the cross-section of equity returns?. Management Science, Forthcoming.
  • Gaudet, G., & Khadr, A. (1991). University the evolution of natural resource prices under stochastic ınvestment opportunities: an intertemporal asset-pricing approach. International Economic Review, 30 (2), 441-455.
  • Gilchrist, S., & Leahy, J. (2002). Monetary policy and asset prices. Journal of Monetary Economics, 49, 75-97.
  • Gregoriou, A., Kontonikas, A., & MacDonald, R. (2009). Monetary policy shocks and stock returns: Evidence from the British market. Financ. Mark. Portf. Manag, 23, 401–410.
  • Guo, H., & Savickas, R. (2003). On the cross section of conditionally expected stock returns. Working Paper Series, No: 2003-043A.
  • Kazar, A. (2012). Merkez bankası ve parasal şokların etkileri. Adana: Nobel Kitap Evi.
  • Li, E. X., Li, H., & Yu, C. (2013). Macroeconomic risks and asset pricing: Evidence from a dynamic stochastic general equilibrium model. Working Paper.
  • Maio, P. (2013). Return decomposition and the intertemporal CAPM. Journal of Banking & Finance, 37, 4958–4972.
  • Maio, P. (2013). Intertemporal CAPM with conditioning variables. Management Science, 59 (1), 22–141.
  • Maio, P., & Philip, D. (2013). Macro factors and the cross-section of stock returns. Hanken School of Economics Working Paper.
  • Maio, P., & Santa-Clara, P. (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106, 586–613.
  • Malkhozov, A., & Tamoni, A. (2015). News shocks and asset prices. SRC Discussion Paper No: 34.
  • Merola, R. (2014). The role of financial frictions during the crises: An estimated DSGE model. Dynare Working Papers Series, Series No: 33.
  • Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41 (5), 867-887.
  • Öğünç, F., & Sarıkaya, Ç. (2011). Görünmez ama hissedilmez değil: Türkiye’de çıktı açığı.
  • Öztürkatalay, M. V. (2005). Hisse senedi piyasalarında görülen kesitsel anomaliler ve İMKB’ye yönelik bir araştırma. İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Paetz, M., & Gupta, R. (2014). Stock price dynamics and the business cycle in an estimated DSGE model for south Africa. WiSo-HH Working Paper Series, Series No: 18.
  • Perez-Quiros, G., & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, LV(3), 1229-1262.
  • Shanken, J. (1990). Intertemporal asset pricing an empirical investigation. Journal of Econometrics, 45, 99-120.
  • Smets, F., & Wouters, R. (2007). Shocks and frictions in us business cycles a Bayesian DSGE approach. Working Paper Series, Series No: 722.
  • Tatoğlu, F. Y. (2012). İleri panel veri analizi Stata uygulamalı. İstanbul: Beta Basım A.Ş.
  • Ünlü, U. (2011). Kesitsel anomaliler, momentum ve çok faktörlü varlık fiyatlama modelleri: İMKB örneği. (Doktora Tezi). Erciyes Üniversitesi Sosyal Bilimler Enstitüsü, Kayseri
  • Yüksel, C. (2013). Role of investment shocks in explaining business cycles in Turkey. Central Bank of the Republic of Turkey Working Paper, Working Paper No: 13/12.
  • EK 1. 1993:3-2005:2 Analiz Dönemi İçin Makro Değişkenlere Ait ADF Birim Kök Testi Sonuçları Değişkenler Seviye Değerleri 1. Fark Değerleri Değer Sabitli Sabitli/ Sabitli Trendli Sabitli/ Trendli GSYİH
  • Özel Kesim Nihai Tüketim Harcamaları
  • Özel Kesim Sabit Yatırım Harcamaları
  • İmalat Sanayide Brüt Ücret- Maaş Endeksi
  • İmalat Sanayide Çalışılan Saat Endeksi Faiz Oranı Enflasyon
  • *(a) ve (b) ifadeleri, sırasıyla değişkenlerin %1 ve %5 anlamlılık seviyelerinde durağan olduklarını ve parantez içindeki
  • rakamlar ADF birim kök testi için Schwarz Bilgi Kriterine göre seçilen gecikme uzunluklarını ifade etmektedir.
  • EK 2: 1993:3-2005:2 ve 2005:3-2014:2 Analiz Dönemleri İçin Önsel Dağılımlar Önsel Dağılım Parametre Önsel Dağılım Beta Beta Beta Normal Normal Normal Normal Normal Normal Beta Normal Gamma Gamma Beta Beta Beta Normal Normal Normal Normal Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Ters-Gamma Beta Beta Beta Beta Beta Beta Beta Beta Beta Önsel Standart Sapma 0,10 0,10 0,10 0,75 0,375 1,5 0,25 0,05 0,05 0,10 0,10 0,10 0,10
  • Durağan Durum İskonto Oranı
  • Emek Piyasası Geçmişe Dönük Endeksleme
  • Mal Piyasası Geçmişe Dönük Endeksleme
  • Kapasite Kullanım Elastikiyeti
  • Üretimde Sabit Maliyetlerin Payı 1,5 4 1,5 0,125 0,125 0,75 0,40 0,62 0,25 0,50 0,50 0,50 1,25 0,125 2 0,50 0,30 0,10 0,10 0,10 0,10 0,10 0,10 0,10 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,50 0,20
  • Ücret Mark-up Şokunun MA Parametresi
  • EK 4. 1993:3-2005:2 Analiz Dönemi İçin MCMC Diagnostik Sonuçlar
There are 75 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Emine Kaya This is me

Bener Güngör This is me

Publication Date June 1, 2018
Published in Issue Year 2018

Cite

APA Kaya, E., & Güngör, B. (2018). DEFTER DEĞERİ /PİYASA DEĞERİ ORANI, FİRMA BÜYÜKLÜĞÜ VE İKTİSADİ ŞOKLAR İLE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİ: BORSA İSTANBUL İÇİN ZAMANLARARASI VARLIK FİYATLAMA MODELİ ÖRNEĞİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 14(3), 761-790. https://doi.org/10.17130/ijmeb.2018343122