Zamanlararası Varlık Fiyatlama Modeli

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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