A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset

Year 2018, Volume: 2018 Issue: 2, 102 - 117, 26.10.2018

Doğuş Emin

Abstract

This study primarily reviews the studies that use
Arbitrage Pricing Theory by separating the risk factors into two main groups as
country-level factors and firm-level factors.  Following this, this study examines the stock
return determinants of emerging countries in two separate models; macro model
and micro model to provide an empirical evidence on both country effects and
firm-specific effects separately. The macro model is constructed to examine the
relative importance of country effect in explaining cross-sectional stock
variations. For that purpose the significance of 4 key macroeconomic variables
–fundamental country characteristics-; money supply, exchange rate, inflation
rate, and total reserve are tested. For micro model, 5 key firm specific
variables, beta, book-to-market equity, earnings-to-price ratio, size and
leverage are examined. 

Keywords

CAPM, Arbitrage Pricing Theory, Risk Factors, Stock Market

Arbitraj Fiyatlama Teorisi’nde Kullanılan Ülke Düzeyinde ve İşletme Düzeyinde Faktörlerin Gözden Geçirilmesi ve Büyük Veri Seti ile Hızlı Bir Test

Abstract

Bu çalışmanın öncelikli amacı Arbitraj Fiyatlama
Teorisi’nde kullanılan ülke düzeyinde ve işletme düzeyinde şeklinde iki gruba
ayrılmış risk faktörlerini gözden geçirmektir. Bu bağlamda literatürde temel
teşkil eden ve bu değişkenleri kullanan çalışmaların gözden geçirilmesi ve
özeti yapılacaktır. Çalışmanın ikinci ve literatüre en önemli katkı sağlayacak
bölümü ise ülke ve işletme düzeyindeki faktörlerin hisse senedi
fiyatlamalarında gerçekten etkin rol oynayıp oynamadığını büyük bir veri seti
ile tespit eden ampirik kısım oluşturacaktır. Bu kısımda yalnızca ülke
düzeyinde değişkenlerin kullanıldığı makro model ve yalnızca işletme düzeyinde
değişkenlerin kullanıldığı mikro model olmak üzere ki model oluşturulacaktır. 

Keywords

CAPM, Arbitraj Fiyatlama Teorisi, Risk Faktörleri

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