q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi

Abstract

Varlık fiyatlama modelleri, finans literatüründe yıllardır ilgi çeken bir konu olmuştur. Son dönemde, Hou, Xue ve Zhang (2015) tarafından “q-faktör model” olarak adlandırılan yeni bir varlık fiyatlama modeli geliştirilmiştir. Modelde risksiz faiz oranını aşan getiri, piyasa betası, firma büyüklüğü, yatırım ve karlılık faktörleri ile açıklanmaktadır. Bu çalışmada q-faktör modelinin geçerliliği zaman serisi regresyon yöntemi kullanılarak Borsa İstanbul’da test edilmiştir. GRS-F testi sonuçlarına göre, q-faktör modelinin Borsa İstanbul’da geçerli olduğu bulunmuştur. Elde edilen bulgular, dört faktörün tümünün Temmuz 2009 ile Haziran 2016 döneminde Borsa İstanbul’da fiyatlandığını ve q-faktör modelinin beklenen hisse senedi getirilerini tahminlemede kullanılabileceğini göstermiştir.

Keywords

• q-Faktör Model,Varlık Fiyatlama,Getiriler,Borsa İstanbul

The Validity Test of q-Factor Model in Borsa Istanbul

Abstract

Asset pricing models are the subject that has attracted much attention in finance for years. Recently Hou, Xue and Zhang (2015) developed a new asset pricing model and denominated “q-factor model”. In the model, the excess returns of risk-free rate are explained by market beta, firm size, investment and profitability factors. In this study, the validity of q-factor model in Borsa Istanbul is investigated by using time series regression method. As per GRS-F test results, it is obtained that q-factor model is valid in Borsa Istanbul. The findings revealed that all four factors are priced between July 2009 and June 2016 in Borsa Istanbul and q-factor model can be used in predicting expected returns.

Keywords

• q-Factor Model,Asset Pricing,Returns,Borsa Istanbul

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