q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi

Year 2019, Volume: 14 Issue: 2, 441 - 456, 30.08.2019

Nesrin Özkan

https://doi.org/10.17153/oguiibf.489738

Cited By: 2

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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