TY  - JOUR
T1  - q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi
TT  - The Validity Test of q-Factor Model in Borsa Istanbul
AU  - Özkan, Nesrin
PY  - 2019
DA  - August
DO  - 10.17153/oguiibf.489738
JF  - Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi
PB  - Eskişehir Osmangazi Üniversitesi
WT  - DergiPark
SN  - 1306-6730
SP  - 441
EP  - 456
VL  - 14
IS  - 2
LA  - tr
AB  - Varlıkfiyatlama modelleri, finans literatüründe yıllardır ilgi çeken bir konuolmuştur. Son dönemde, Hou, Xue ve Zhang (2015) tarafından “q-faktör model” olarakadlandırılan yeni bir varlık fiyatlama modeli geliştirilmiştir. Modelde risksizfaiz oranını aşan getiri, piyasa betası, firma büyüklüğü, yatırım ve karlılık faktörleriile açıklanmaktadır. Bu çalışmada q-faktör modelinin geçerliliği zaman serisiregresyon yöntemi kullanılarak Borsa İstanbul’da test edilmiştir. GRS-F testisonuçlarına göre, q-faktör modelinin Borsa İstanbul’da geçerli olduğu bulunmuştur.Elde edilen bulgular, dört faktörün tümünün Temmuz 2009 ile Haziran 2016döneminde Borsa İstanbul’da fiyatlandığını ve q-faktör modelinin beklenen hissesenedi getirilerini tahminlemede kullanılabileceğini göstermiştir.
KW  - q-Faktör Model
KW  - Varlık Fiyatlama
KW  - Getiriler
KW  - Borsa İstanbul
N2  - Asset pricing models are the subject that has attracted much attentionin finance for years. Recently Hou, Xue and Zhang (2015) developed a new assetpricing model and denominated “q-factor model”. In the model, the excessreturns of risk-free rate are explained by market beta, firm size, investmentand profitability factors. In this study, the validity of q-factor model inBorsa Istanbul is investigated by using time series regression method. As per GRS-Ftest results, it is obtained that q-factor model is valid in Borsa Istanbul. Thefindings revealed that all four factors are priced between July 2009 and June2016 in Borsa Istanbul and q-factor model can be used in predicting expectedreturns.
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UR  - https://doi.org/10.17153/oguiibf.489738
L1  - https://dergipark.org.tr/tr/download/article-file/789570
ER  -