Zamanlararası Varlık Fiyatlama Modeli

Year 2019, , 579 - 596, 31.12.2019

Emine Kaya , Bener Güngör

https://doi.org/10.17153/oguiibf.460922

Abstract

Bu çalışmanın temel
amacı, Borsa İstanbul için Zamanlararası Varlık Fiyatlama Modeli’nin hisse
senedi getirilerini açıklama gücünün test edilmesidir. Çalışmada, piyasa
riski, firma büyüklüğü, defter değeri/piyasa değeri oranı ve iktisadi şoklar
risk faktörleri kullanılarak Zamanlararası Varlık Fiyatlama Modeli oluşturulmuştur.
Bu risk faktörlerinin hisse senedi getirileri üzerindeki etkisi panel veri
analiziyle araştırılmıştır. Elde edilen bulgular, Zamanlararası Varlık
Fiyatlama Modeli’nin Borsa İstanbul için geçerli olduğuna işaret etmektedir.

Keywords

Zamanlararası Varlık Fiyatlama Modeli, Dinamik Stokastik Genel Denge Modeli, Anomaliler

The Intertemporal Asset Pricing Model

Abstract

The main purpose of
this study is to test the power of Intertemporal Asset Pricing Model in
explaining stock returns. In this study, Intertemporal Asset Pricing Model was
set up by using market premium, firm size, book value/market value rate,
economic shocks. The effects of this risk factors on the stock returns were investigated
through panel data analysis. Findings show that Intertemporal Asset
Pricing Model is valid for Borsa Istanbul.

Keywords

Intertemporal Asset Pricing Model, Dynamic Stochastic Generel Equilibrium Model, Anomalies

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