UNVEILING the COVID-19 SHOCK: ITS INFLUENCE ON BETAS and the SECURITY MARKET LINE—A CAPM ANALYSIS of DOW JONES 30 IIS

Year 2026, Volume: 16 Issue: 1, 23 - 42, 31.01.2026

Orkun Bayram , Selminaz Adıgüzel

Abstract

The most well-known, broadly adopted, and frequently applied asset pricing model is the capital asset pricing model (CAPM). Sharpe (1964), Lintner (1965), and Mossin (1966) independently created the model. Prior to their discovery, there were no asset pricing models constructed from the ground up with unambiguous predictions that are testable about risk and return and the nature of preferences and investment opportunities. Additional improvements were suggested by Fama (1968), Black, Jensen, and Scholes (1972), Fama and Mac Beth (1973), Fama and French (1992), and others. The link between an asset's risk and expected return is precisely predicted by the CAPM. In applications including calculating a firm's cost of equity capital and assessing the managed portfolios' performance, the CAPM is still frequently employed even after 60 years. The widely use of CAPM is directly related with its clear logic and satisfying predictions on measuring the risk and about the risk and return trade-off. Inspite of the empirical results of the model is weak it is employed in practical applications, due to its simplicity. In this study, we tested if the CAPM works in practice to estimate the relationship between the expected return and the risk by using the monthly prices between 1/12/2016 and 1/12/2021 on the securities of Dow Jones Industrial Index (Dow-30). Also, it is tested whether Security Market Line (SML) holds for individual securities.

Keywords

Asset Pricing Theory , CAPM , Alfa and Beta Estimation , Diversification , Risk.

Ethical Statement

Bu çalışma, "UNVEILING the COVID-19 SHOCK: Its Influence on Betas and the Security Market Line—A CAPM Analysis of Dow Jones 30 IIS" başlığıyla hazırlanan akademik araştırma kapsamında gerçekleştirilmiştir. Çalışmada kullanılan tüm veriler kamuya açık, ikincil nitelikte ekonomik ve finansal verilerdir. Araştırmada insan katılımcılar, kişisel veriler veya özel izin gerektiren herhangi bir biyomedikal süreç yer almamaktadır. Bu nedenle, etik kurul izni gerektirecek herhangi bir deneysel uygulama, bireysel anket veya klinik veri toplanmamıştır. Kullanılan tüm veri kaynakları açıkça belirtilmiş, atıf kurallarına uygun şekilde referanslandırılmıştır. Yazar(lar), araştırma sürecinde akademik dürüstlük, şeffaflık ve bilimsel etik ilkelerine uygun hareket ettiklerini beyan eder. Bu bağlamda, bu çalışmanın yürütülmesi ve yayımlanması için etik kurul onayı gerekmemektedir. Doç Dr. Orkun BAYRAM Doç. Dr. Selminaz ADIGÜZEL

COVID-19 ŞOKUNUN ORTAYA ÇIKARILMASI: BETALAR VE MENKUL KIYMET PİYASASI ÇİZGİSİ ÜZERİNDEKİ ETKİSİ - DOW JONES 30 IIS'NİN CAPM ANALİZİ

Abstract

En iyi bilinen, geniş çapta benimsenen ve sıklıkla uygulanan varlık fiyatlandırma modeli sermaye varlıklarını fiyatlandırma modelidir (CAPM). Sharpe (1964), Lintner (1965) ve Mossin (1966) bağımsız olarak bu modeli oluşturmuşlardır.Onların keşfinden önce, risk ve getiri ile tercihlerin ve yatırım fırsatlarının doğası hakkında test edilebilir kesin tahminlere sahip, sıfırdan inşa edilmiş bir varlık fiyatlama modeli yoktu. Fama (1968), Black, Jensen ve Scholes (1972), Fama ve Mac Beth (1973), Fama ve French (1992) ve diğerleri tarafından ilave iyileştirmeler önerilmiştir. Bir varlığın riski ile beklenen getirisi arasındaki bağlantı CAPM tarafından tam olarak tahmin edilmektedir. Bir firmanın öz sermaye maliyetinin hesaplanması ve yönetilen portföylerin performansının değerlendirilmesi gibi uygulamalarda CAPM, 60 yıl sonra bile hala sıklıkla kullanılmaktadır. CAPM'in yaygın kullanımı, açık mantığı ve riskin ölçülmesi ile risk ve getiri ödünleşimine ilişkin tatmin edici öngörüleri ile doğrudan ilişkilidir. Modelin ampirik sonuçları zayıf olmasına rağmen, basitliği nedeniyle pratik uygulamalarda kullanılmaktadır. Bu çalışmada, Dow Jones Sanayi Endeksi (Dow-30) menkul kıymetlerinin 1/12/2016 ve 1/12/2021 tarihleri arasındaki aylık fiyatları kullanılarak CAPM'in beklenen getiri ve risk arasındaki ilişkiyi tahmin etmek için pratikte çalışıp çalışmadığı test edilmiştir. Ayrıca, Menkul Kıymet Piyasası Doğrusu'nun (SML) bireysel menkul kıymetler için geçerli olup olmadığı test edilmiştir.

Keywords

Varlık Fiyatlama Teorisi , CAPM , Alfa ve Beta Tahmini , Çeşitlendirme , Risk.

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