Knight Belirsizliği: Risk ve Muğlaklığın Borsa İstanbul Aşırı Getiri Oranları Üzerindeki Etkisi

Yıl 2015, Cilt: 9 Sayı: 2, 45 - 72, 01.12.2015

Erdinç Altay

Öz

Muğlaklık kavramı, finansal piyasalardaki varlık fiyatlama probleminin araştırılmasında neoklasik finans teorisinin göz ardı ettiği önemli bir unsurdur. Risk, gelecekte ortaya çıkacak sonucun ne olacağının bilinmediği ancak muhtemel sonuçlara ilişkin olasılıkların tam olarak bilindiği durumu ifade ederken, muğlaklık ise olasılıkların kesin olarak bilinmediği durum olarak tanımlanmaktadır. Rasyonel beklentiler teorisine dayalı olan ve muğlaklığı içermeyen modeller hisse senedi primi ya da aşırı değişkenlik bulmacaları gibi anomalileri açıklayamamaktadır. Buna karşın yapılan bazı uygulamalı çalışmalar muğlaklık olgusunun bu anomalileri açıklamada önemli bir potansiyel taşıdığını göstermektedir. Bu amaçla muğlaklığı sayısal olarak ölçebilen bir model geliştiren Brenner ve Izakhian 2011 ’ın çalışmasından hareketle Borsa İstanbul’da 04.2003-04.2014 dönemine ilişkin risk ve muğlaklık değişkenleri hesaplanarak piyasa aşırı getiri oranı üzerindeki anlamlılıkları test edilmiştir. Tüm örnek dönemle birlikte incelenen üç ayrı alt dönemden de elde edilen bulgular riskin ve muğlaklığın piyasa aşırı getiri oranı üzerinde istatistiksel olarak anlamlı ancak negatif etkisi olduğu yönündedir. Muğlaklık, riskle birlikte bir başka faktör olarak aşırı getiri oranlarını açıklamada anlamlı bir katkı sağlamaktadır. Söz konusu dönemde Borsa İstanbul yatırımcıları teorinin aksine risk ve muğlaklık arayan yatırımcılardır. Yatırımcıların bu özelliği optimist olmalarına bağlanabilir

Anahtar Kelimeler

Risk, Muğlaklık, Belirsizlik, Knight Belirsizliği, Varlık Fiyatlama, Aşırı Getiri

Knightian Uncertainty: The Effects of Risk and Ambiguity on Excess Returns of Borsa Istanbul

Öz

Knightian Uncertainty: The Effects of Risk and Ambiguity on Excess Returns of Borsa IstanbulAmbiguity is an important factor that is ignored in investigating the asset pricing problem in neoclassical finance theory. Risk is the phenomenon which describes the situation when future result is not known but the probabilities of future states are precisely known. On the other hand, ambiguity is the situation which describes not only the future result is known but the probabilities of the future states are also not known. The models which are based on rational expectations theory and exclude ambiguity, are insufficient in explaining some asset pricing anomalies like equity premium and excess volatility. Several empirical analyses show that ambiguity has an important potantial in explaining these anomalies. Following Brenner and Izakhian 2011 which develops a model that generates a quantitative ambuguity measure, the aim of this paper is to test the effects of risk and ambiguity on market excess returns of Borsa Istanbul in April 2003-April 2014 period. The evidence from full sample period as well as three subperiods show that risk and ambiguity have statistically significant but negative effects on excess returns. The ambiguity, as another factor along with the risk, has a significant contribution in explaining excess returns. Investors in Borsa Istanbul exhibit a risk and ambiguity seeking behavior in this period. This attitude can be explained by their optimistic behavior

Anahtar Kelimeler

Risk, Ambiguity, Uncertainty, Knightian Uncertainty, Asset Pricing, Excess Return

Kaynakça

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