Yıl 2020, Cilt 18 , Sayı Özel Sayı, Sayfalar 193 - 206 2020-04-28

Alternatif Varlık Fiyatlandırma Modelleri ve Borsa İstanbul'da Uygulama
Alternative Asset Pricing Models and Borsa Istanbul Application

Melih KUTLU [1] , Şeref KALAYCI [2]


Bu çalışmanın amacı portföy aşırı getirilerinin varlık fiyatlandırma modellerinde yer alan bağımsız değişkenler ile açıklanıp açıklanamayacağını test etmektir. Varlık fiyatlandırma modeli olarak Finansal Varlık Fiyatlandırma Modeli ve Fama French Üç Faktörlü Fiyatlandırma Modeli kullanılmıştır. Zaman serisi ile regresyon analizinde Finansal Varlık Fiyatlandırma Modeli'nde piyasa risk primi ile portföy aşırı getirileri arasında pozitif ve anlamlı ilişkiler bulunmuştur. Fama French Üç Faktörlü Fiyatlandırma Modelin de ise piyasa risk primi ve firma büyüklüğü ile portföy aşırı getirileri arasında pozitif ve anlamlı bir ilişki bulunmuştur.

The aim of this study is to test whether the portfolio excess return can be explained by independent variables in asset pricing models. Asset pricing model has been used with the Capital Asset Pricing Model and the Fama French Three Factor Pricing Model. In the regression analysis with the time series, there was a positive and significant relationship between the market risk premium and the portfolio excess return in the Capital Asset Pricing Model. In the Fama French Three-Factor Pricing Model, there is a positive and significant relationship between market risk premium and portfolio excess return and between firm size and portfolio excess return.

Varlık Fiyatlandırma, Portföy Aşırı Getirileri, Borsa İstanbul 100 Endeksi
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Birincil Dil tr
Konular Sosyal
Bölüm Makaleler
Yazarlar

Orcid: 0000-0002-8634-6330
Yazar: Melih KUTLU (Sorumlu Yazar)
Kurum: SAMSUN ÜNİVERSİTESİ
Ülke: Turkey


Orcid: 0000-0001-5439-0858
Yazar: Şeref KALAYCI
Kurum: KARADENİZ TEKNİK ÜNİVERSİTESİ

Tarihler

Yayımlanma Tarihi : 28 Nisan 2020

APA KUTLU, M , KALAYCI, Ş . (2020). Alternatif Varlık Fiyatlandırma Modelleri ve Borsa İstanbul'da Uygulama. Celal Bayar Üniversitesi Sosyal Bilimler Dergisi , 18 (Özel Sayı) , 193-206 . DOI: 10.18026/cbayarsos.551301