BibTex RIS Kaynak Göster

Yıl 2010, Cilt: 24 Sayı: 4, 243 - 258, 06.07.2011

Turan Öndeş Selçuk Balı

Öz

Sermaye varlıkları fiyatlandırma modeli (SVFM) ikinci momentin
ötesinde (çarpıklık ve basıklık) çeşitlilik göstermeyen riski tamamen kapsamaz
ve bu nedenle ampirik başarısızlıkla sonuçlanır. Fama-French pazarsal olmayan
risk faktörlerinin fiyatlandırıldığını savunur ve pazar faktörüne ek olarak bir
hacim faktörü, SMB, ve bir değer faktörünü, HML, içeren üç-faktörlü bir model
önerir. Fama-French’in faktörlerine ilave olarak Carhar’ın modeli tbir
momentum faktörünü içermektedir. Bu çalışmada, IMKB’de portföy fazlası
getirilerin çeşitliliği üzerinde çarpıklık etkisini araştıracağız. Çarpıklık
faktörünü içeren çok faktörlü modeller Carhart’ın 4 Faktör Modeli ve FamaFrench’in
3 Faktörlü Model ile çeşitli portföy gruplamaları için kesitsel ve
zaman serileri analizi ile karşılaştırılmıştır. Betimleyici istatistikler hacim
portföyleri için ortalama getiri fazlası ve koşulsuz standartlaştırılmış çarpıklık
arasında beklenen önemli işlemlerin varlığını gösterir.

Anahtar Kelimeler

SVFM Fаmа–Frеnch mоdeli Cаrhаrt mоdеli Çarpıklık İMKB

Kaynakça

  • Bekaert, G., Erb, C.B., Harvey, C.R., Viskanta, T.E. (1998) “Distributional Characteristics of Emerging Market Returns and Asset Allocation”, Journal of Portfolio Management, 16, pp. 47-61.
  • Brennan, M., Wang, A., Xia, Y. (2004), “Estimation and Test of A Simple Model of Intertemporal Asset Pricing”, Journal of Finance, 59, pp. 1743-1775.
  • Carhart, M. (1997) “On Persistence of Mutual Fund Performance”, Journal of Finance, 52, pp. 57-82.
  • Chung, YP , Johnson, H. and Schill, M. (2006) “Asset Pricing When Returns Are Nonnormal: Fama-French Factors Versus Higher-Order Systematic Co-Moments”, Journal of Business, 79 , pp. 923-940.
  • Cohen, R.B. and Polk, C.K. (1995) “COMPUSTAT Selection Bias in Tests of the Sharpe-Lintner-Black CAPM”, Manuscript, Graduate School of Business, University of Chicago, Chicago, IL.
  • Daniel, K. and Titman, S. (1997) " Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, 52(1), pp. 1-33
  • Davis, J.L. (1994) “The Cross-Section of Realized Stock Returns: The Pre- COMPUSTAT Evidence”, Journal of Finance, 49(5), pp. 1579- 1585.
  • Fama, E. and French, K.R. (1992) “The Cross-Section of Expected Stock Returns”, Journal of Finance, 47 , pp. 427-465.
  • Fama, E. and French, K.R. (1993) “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33 , pp. 3-56.
  • Fama, E. and French, K.R. (1995) “Size and Book to Market Factors in Earnings and Returns,” Journal of Finance, 50, pp. 131-155.
  • Fama, E. and French, K.R. (1996), Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, pp. 55-84.
  • Fama, E. and MacBeth, J. (1973), Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81, pp. 607-636.
  • Gibbons, M.R., Ross, S.A. and Shanken, J. (1989) “A Test of Efficiency of A Given Portfolio”, Econometrica, 57 , pp. 1121-1152.
  • Gonenc, H. and Karan, M.B. (2003) “Do Value Stocks Earn Higher Returns Than Growth Stocks in An Emerging Market? Evidence from Istanbul Stock Exchange”, Journal of International Financial Management and Accounting, 14 , pp. 1-25.
  • Harvey, C.R. (2000) “Drivers of Expected Returns in International Markets”, Emerging Markets Quarterly, pp. 32-49.
  • Harvey, C.R. and Siddique, A. (2000) “Conditional Skewness in Asset Pricing Tests”, Journal of Finance, 55 , pp. 1263-1295.
  • Hung, D.C. (2004) “The Pricing of Co-Skewness and Co-Kurtosis in International Size and Momentum Strategies”, Working Paper, Lancaster University
  • Kothari, S., Shanken, J., Sloan, R. (1995) “Another Look at the Cross-Section ofExpected Returns”, Journal of Finance, 50, pp. 185-224.
  • Lakonishok, J., Shleifer, A., Vishny, R. W. (1994) “Contrarian Investment, Extrapolation and Risk”, Journal of Finance, 49(5)., pp. 1541- 1578.
  • Liew, J., and Vassalou, M., (2000) “Can Book-To-Market, Size and Momentum Be Risk Factors That Predict Economic Growth?”, Journal of Financial Economics, 57, pp. 221-245.
  • Lin, B., and Wang, J.M. (2003) “Systematic Skewness in Asset Pricing: An Empirical Examination of The Taiwan Stock Market”, Applied Economics, 35 , pp. 1877-1887.
  • Lintner, J. (1965) “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics, 47, pp. 13-37.
  • Merton, R.C. 1973. “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41 pp. 867-887.
  • Moskowitz, T, J. (2003) "An Analysis of Covariance Risk and Pricing Anomalies", Review of Financial Studies, 16(2), pp. 417-57
  • Mossin, J. (1966) “Equilibrium in A Capital Asset Market., Econometrica, 34, pp. 768-783.
  • Petkova, R. and Zhang, L. (2005) "Is Value Riskier Than Growth?," Journal of Financial Economics, 78(1), pp. 187-202,
  • Petkova, R. (2006) “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?”, Journal of Finance, 61, pp. 581–612
  • Sharpe, W.F. (1964) “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finance, 19 , pp. 425-442.

Yıl 2010, Cilt: 24 Sayı: 4, 243 - 258, 06.07.2011

Turan Öndeş Selçuk Balı

Öz

Kaynakça

  • Bekaert, G., Erb, C.B., Harvey, C.R., Viskanta, T.E. (1998) “Distributional Characteristics of Emerging Market Returns and Asset Allocation”, Journal of Portfolio Management, 16, pp. 47-61.
  • Brennan, M., Wang, A., Xia, Y. (2004), “Estimation and Test of A Simple Model of Intertemporal Asset Pricing”, Journal of Finance, 59, pp. 1743-1775.
  • Carhart, M. (1997) “On Persistence of Mutual Fund Performance”, Journal of Finance, 52, pp. 57-82.
  • Chung, YP , Johnson, H. and Schill, M. (2006) “Asset Pricing When Returns Are Nonnormal: Fama-French Factors Versus Higher-Order Systematic Co-Moments”, Journal of Business, 79 , pp. 923-940.
  • Cohen, R.B. and Polk, C.K. (1995) “COMPUSTAT Selection Bias in Tests of the Sharpe-Lintner-Black CAPM”, Manuscript, Graduate School of Business, University of Chicago, Chicago, IL.
  • Daniel, K. and Titman, S. (1997) " Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, 52(1), pp. 1-33
  • Davis, J.L. (1994) “The Cross-Section of Realized Stock Returns: The Pre- COMPUSTAT Evidence”, Journal of Finance, 49(5), pp. 1579- 1585.
  • Fama, E. and French, K.R. (1992) “The Cross-Section of Expected Stock Returns”, Journal of Finance, 47 , pp. 427-465.
  • Fama, E. and French, K.R. (1993) “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33 , pp. 3-56.
  • Fama, E. and French, K.R. (1995) “Size and Book to Market Factors in Earnings and Returns,” Journal of Finance, 50, pp. 131-155.
  • Fama, E. and French, K.R. (1996), Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, pp. 55-84.
  • Fama, E. and MacBeth, J. (1973), Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81, pp. 607-636.
  • Gibbons, M.R., Ross, S.A. and Shanken, J. (1989) “A Test of Efficiency of A Given Portfolio”, Econometrica, 57 , pp. 1121-1152.
  • Gonenc, H. and Karan, M.B. (2003) “Do Value Stocks Earn Higher Returns Than Growth Stocks in An Emerging Market? Evidence from Istanbul Stock Exchange”, Journal of International Financial Management and Accounting, 14 , pp. 1-25.
  • Harvey, C.R. (2000) “Drivers of Expected Returns in International Markets”, Emerging Markets Quarterly, pp. 32-49.
  • Harvey, C.R. and Siddique, A. (2000) “Conditional Skewness in Asset Pricing Tests”, Journal of Finance, 55 , pp. 1263-1295.
  • Hung, D.C. (2004) “The Pricing of Co-Skewness and Co-Kurtosis in International Size and Momentum Strategies”, Working Paper, Lancaster University
  • Kothari, S., Shanken, J., Sloan, R. (1995) “Another Look at the Cross-Section ofExpected Returns”, Journal of Finance, 50, pp. 185-224.
  • Lakonishok, J., Shleifer, A., Vishny, R. W. (1994) “Contrarian Investment, Extrapolation and Risk”, Journal of Finance, 49(5)., pp. 1541- 1578.
  • Liew, J., and Vassalou, M., (2000) “Can Book-To-Market, Size and Momentum Be Risk Factors That Predict Economic Growth?”, Journal of Financial Economics, 57, pp. 221-245.
  • Lin, B., and Wang, J.M. (2003) “Systematic Skewness in Asset Pricing: An Empirical Examination of The Taiwan Stock Market”, Applied Economics, 35 , pp. 1877-1887.
  • Lintner, J. (1965) “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics, 47, pp. 13-37.
  • Merton, R.C. 1973. “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41 pp. 867-887.
  • Moskowitz, T, J. (2003) "An Analysis of Covariance Risk and Pricing Anomalies", Review of Financial Studies, 16(2), pp. 417-57
  • Mossin, J. (1966) “Equilibrium in A Capital Asset Market., Econometrica, 34, pp. 768-783.
  • Petkova, R. and Zhang, L. (2005) "Is Value Riskier Than Growth?," Journal of Financial Economics, 78(1), pp. 187-202,
  • Petkova, R. (2006) “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?”, Journal of Finance, 61, pp. 581–612
  • Sharpe, W.F. (1964) “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finance, 19 , pp. 425-442.
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil tr;en
Bölüm Makaleler
Yazarlar

Turan Öndeş Bu kişi benim

Selçuk Balı Bu kişi benim

Yayımlanma Tarihi 6 Temmuz 2011
Yayımlandığı Sayı Yıl 2010 Cilt: 24 Sayı: 4

Kaynak Göster

APA Öndeş, T., & Balı, S. (2011). Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 24(4), 243-258.

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