Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği

Öz

Anahtar Kelimeler

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ÜÇ FAKTÖRLÜ VARLIK FİYATLANDIRMA MODELİNİN İSTANBUL MENKUL KIYMETLER BORSASINDA UYGULANABİLİRLİĞİ

Öz

Hisse senedi getirilerinin zamana bağlı değişiminin analizinde, piyasa portföyünün getirisi haricinde portföy büyüklüğünün ve piyasa değeri/defter değeri (PD/DD) oranı da etkili olmaktadır. Standart Sermaye Varlıklarını Fiyatlandırma Modeli’ne (CAPM) belirtilen iki yeni faktörün ilave edilmesi suretiyle Fama ve French tarafından 1996 yılında “Üç Faktörlü Varlık Fiyatlandırma Modeli” geliştirilmiştir. Bu çalışmada, literatürde geniş uygulama alanı bulan Üç Faktörlü Modelin, 2001-2006 (ilk 6 aylık) dönemine ilişkin İMKB endeks verileri üzerindeki uygulanabilirliği araştırılmıştır. Modelin İMKB-Sınai, Hizmetler, Gayrimenkul, Menkul Kıymetler ve Teknoloji endeksleri üzerindeki geçerliliğinin test edilebilmesi amacıyla piyasa değeri ve PD/DD oranına göre oluşturulan portföylerin getirileri modelin içerisine ilave edilerek, zaman serisi ve kesit regresyonu analizleri gerçekleştirilmiştir. Zaman serisi regresyonu çalışmalarında; modelin seçilen endekslerde istatistiksel olarak anlamlı sonuçlar verdiği belirlenmiş olup, GRS F-testi uygulamalarında fiyatlandırma hataları (j) arasında girişimin bulunmadığı gözlemlenmiştir.

Anahtar Kelimeler

• Üç faktörlü model, zaman serisi regresyonu, kesit regresyonu, İMKB, risk

Kaynakça

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