Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model

Işıl Candemır

doi:10.17541/optimum.1285716

EN TR

Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model

Abstract

A common practice in the literature examining Turkish equity premia involves the application of time-invariant models that assume the constancy of parameters across time. The present study examines whether the cross-sectional variability among equity returns can be explained by market, size, value and momentum factors and whether the parameters are time varying, utilizing a conditional asset pricing model formulated by Ferson and Harvey (1999). The study yields four main findings. Firstly, I find that the market dividend yield has a positive and significant effect on portfolio returns over the period from July 1989 to May 2021. Secondly, I reject the time-invariance in betas, while not rejecting it for alpha. Thirdly, none of the factors I examined have been priced, indicating that the four-asset pricing model is not sufficient to explain time-varying premia. Finally, the results are sensitive to the methodology employed for portfolio construction.

Keywords

Equity Risk Premium, Conditional Asset Pricing Models, Emerging Markets

Koşullu Varlık Fiyatlama Modeli Kullanarak Hisse Senedi Getirilerinde Kesitsel Varyasyonun Anlaşılması

Abstract

Türk hisse senetleri üzerine yapılan çalışmalarda genel olarak, parametrelerin zaman içerisinde değişmediğini varsayan modeller kullanılmaktadır. Bu çalışma, Ferson ve Harvey'in (1999) geliştirdiği koşullu varlık fiyatlama modelini kullanarak, hisse senedi getirileri arasındaki kesitsel değişkenliğin piyasa, büyüklük, değer ve momentum faktörleri tarafından açıklanabilirliğini ve parametrelerin zamanla değişip değişmediğini incelemektedir. Çalışma dört ana bulgu ortaya koymaktadır. İlk olarak, Temmuz 1989'dan Mayıs 2021'e kadar olan dönemde, piyasa temettü getirisinin, portföy getirileri üzerinde pozitif ve anlamlı bir etkiye sahip olduğu saptandı. İkinci olarak, betaların zaman içerisinde sabit kaldığı hipotezi reddedilirken, alfaların zaman içerisinde sabit kaldığı hipotezi reddedilmedi. Üçüncü olarak, incelenen faktörlerin hiçbirinin fiyatlandırılmadığı belirlendi, bu da dört varlık fiyatlandırma modelinin zamanla değişen primleri açıklamak için yeterli olmadığını göstermektedir. Son olarak, sonuçların, portföy oluşturma için kullanılan yönteme duyarlı olduğu tespit edildi.

Keywords

Hisse Senedi Risk Primi, Koşullu Varlık Fiyatlama Modellleri, Gelişmekte Olan Piyasalar

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Details

Primary Language

English

Subjects

Finance

Journal Section

Research Article

Authors

Işıl Candemır ^*
0000-0003-1526-7042
Türkiye

Publication Date

July 14, 2023

Submission Date

April 19, 2023

Acceptance Date

July 14, 2023

Published in Issue

Year 2023 Volume: 10 Number: 2

DOI

https://doi.org/10.17541/optimum.1285716

IZ

https://izlik.org/JA49SN77UN

APA

Candemır, I. (2023). Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, 10(2), 395-424. https://doi.org/10.17541/optimum.1285716

AMA

1.Candemır I. Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. OJEMS. 2023;10(2):395-424. doi:10.17541/optimum.1285716

Chicago

Candemır, Işıl. 2023. “Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi 10 (2): 395-424. https://doi.org/10.17541/optimum.1285716.

EndNote

Candemır I (July 1, 2023) Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 10 2 395–424.

IEEE

[1]I. Candemır, “Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model”, OJEMS, vol. 10, no. 2, pp. 395–424, July 2023, doi: 10.17541/optimum.1285716.

ISNAD

Candemır, Işıl. “Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model”. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 10/2 (July 1, 2023): 395-424. https://doi.org/10.17541/optimum.1285716.

JAMA

1.Candemır I. Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. OJEMS. 2023;10:395–424.

MLA

Candemır, Işıl. “Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, vol. 10, no. 2, July 2023, pp. 395-24, doi:10.17541/optimum.1285716.

Vancouver

1.Işıl Candemır. Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. OJEMS. 2023 Jul. 1;10(2):395-424. doi:10.17541/optimum.1285716

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Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model

Abstract

Keywords

Koşullu Varlık Fiyatlama Modeli Kullanarak Hisse Senedi Getirilerinde Kesitsel Varyasyonun Anlaşılması

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

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