Borsa İstanbul'da Yatırımcı Duyarlılığı ve Portföy Düzeyinde Varlık Fiyatlama

Öz

Bu çalışmada, yatırımcı duyarlılığının finansal varlıkların aşırı getirileri üzerindeki etkisi incelenmekte ve özellikle BIST100 endeksi kapsamında piyasa değeri ve defter değeri/piyasa değeri (DD/PD) oranına göre sınıflandırılmış portföylere odaklanılmaktadır. Yatırımcı duyarlılığı endeksi; psikolojik çizgi endeksi, göreli güç endeksi, düzeltilmiş devir oranı, işlem hacmi ve para akışı endeksi olmak üzere beş duyarlılık vekilinden yararlanılarak oluşturulmuştur. Araştırmada, söz konusu yatırımcı duyarlılığı endeksinin portföy aşırı getirileri üzerindeki etkisi Fama-French risk faktörleri ile kontrol edilerek analiz edilmiştir. Elde edilen sonuçlar, kurulan tüm portföy düzeyindeki regresyon modellerinin istatistiksel olarak anlamlı olduğunu ve yüksek açıklayıcı güce sahip olduğunu göstermektedir. Ayrıca, daha düşük piyasa değerine ve daha düşük DD/PD oranına sahip portföylerde yatırımcı duyarlılığı endeksinin aşırı getirileri pozitif yönde etkilediği tespit edilmiştir. Tüm portföyler genelinde panel sonuçlarına yönelik kapsamlı değerlendirme, yatırımcı duyarlılığı endeksinin portföy aşırı getirileri üzerinde olumlu bir etkiye sahip olduğunu göstermektedir.

Anahtar Kelimeler

• Davranışsal Finans
• Finansal Varlık Fiyatlama
• Yatırımcı Duyarlılığı
• Psikolojik Çizgi Endeksi
• BIST

Destekleyen Kurum

Bu çalışma Balıkesir Üniversitesi Bilimsel Araştırma Projeleri kapsamında desteklenmektedir (Proje No: 2023/060).

Proje Numarası

2023/060

Etik Beyan

Bu çalışma etik kurul izni gerektirmemektedir.

Investor Sentiment and Portfolio-Level Asset Pricing in Borsa İstanbul

Öz

This study examines the effect of investor sentiment on the excess returns of financial assets, focusing specifically on portfolios classified according to market capitalisation and book value/market value (B/M) ratio within the scope of the BIST 100 index. The investor sentiment index was constructed using five sentiment proxies: the psychological line index, relative strength index, adjusted turnover ratio, trading volume, and money flow index. In the study, the effect of the investor sentiment index on portfolio excess returns was analyzed by controlling for Fama-French risk factors. The results show that the regression models established at all portfolio levels are statistically significant and have high explanatory power. Furthermore, it was found that the investor sentiment index positively affects excess returns in portfolios with lower market capitalisations and lower B/M ratios. A comprehensive evaluation of the panel results across all portfolios indicates that the investor sentiment index has a positive effect on portfolio excess returns.

Anahtar Kelimeler

• Behavioral Finance
• Financial Asset Pricing
• Investor Sentiment
• Psychological Line Index
• BIST

Destekleyen Kurum

This study is supported within the scope of the Balıkesir University Scientific Research Projects (Project No: 2023/060).

Proje Numarası

2023/060

Etik Beyan

This study does not require ethics board approval.

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