FİNANSAL VARLIKLARIN FİYATLANDIRILMASI MODELİNİN TÜRKİYE’DE SINANMASI

Öz

Bu makale, her biri 10 hisse senedinden oluşan 20 portföyün 1995-2004 dönemindeki haftalık risk primleri rj – rf ile beta katsayıları arasında oluşturulan regresyonlar yardımıyla, Finansal Varlık Fiyatlandırma Modelinin Türkiyedeki geçerliliğini test etmeyi amaçlamaktadır. IMKB-100 endeksi ile Türkiye ve ABD enflasyon oranları farkına uyarlanmış ABD hazine bonosu faizi, sırasıyla, pazar portföyü ve risksiz faiz oranının temsilcisi olarak kullanılmıştır. Derinliğine bir literatür taramasından sonra, Fama ve MacBeth 1973 ve Pettengill ve diğ. 1995 yaklaşımları, araştırmada kullanılacak alternatif metodlar olarak seçilmiştir. Fama ve MacBeth yaklaşımıyla elde edilen araştırma sonuçları oluşturulan portföylerin beta katsayıları ile gerçekleşen risk primleri arasında hiç bir anlamlı ilişki göstermemiştir. Öte yandan Pettengill metodolojisi ile güçlü beta- risk primi ilişkileri bulunmuştur

Anahtar Kelimeler

• Beta, risk primi, Finansal Varlıkların Fiyatlandırılması Modeli (FVFM), Türkiye

TEST OF CAPITAL ASSET PRICING MODEL IN TURKEY

Öz

This article attempts to test the validity of CAPM Capital Asset Pricing Model in Turkey by regressing the weekly risk premiums rj - rf against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004. ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free rate respectively. Following an in-depth literature survey, Fama and MacBeth 1973 , and Pettengil et. al. 1995 approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the other hand, strong beta-risk premium relationships were discovered.

Anahtar Kelimeler

• Beta, Risk Premium, Capital Asset Pricing Model (CAPM), Turkey

Kaynakça

1. ANG, A., CHEN, J., (2005), CAP Mover the long run: 1926-2001. Working Paper, NBER.
2. BANZ, R. (1981). The Relationship between return and market value of common Stocks. Journal of Financial Economics 9: 3-18.
3. BLACK, F., JENSEN, M. & SCHOLES, M. (1972). The Capital asset pricing model: some empirical tests. In M. JENSEN, Ed., Studies in the theory of capital markets, New York, Praeger.
4. ELSAS, R., EL-SHAER, M. & THEISSEN, E. (2000). Beta and returns revisited: evidence from the german stock market, Working Paper Series, SSRN.
5. FAMA, E.F. & MacBETH, J.D. (1973). Risk, return and equilibrium: empirical tests. Journal of Political Economy, 81, pp.607-636.
6. FLETCHER. J., (1977). An examination of the cross-sectional relationship of beta and return: UK evidence. Journal of Economics and Business, 49, pp.211-221.
7. , (2000). On the conditional relationship between beta and return in international stock returns. International Review of Financial Analysis, 9, pp.235- 245.
8. HODOSHIMA, J., GARZA-GOMEZ, X & KUNIMURA, M. (2000). Cross-sectional regression analysis of return and beta in Japan. Journal of Economics and Business, 52, 515–533.

9. JAGANNATHAN, R., & WANG, Z. (1996). The Conditional CAPM and the cross- section of expected returns. Journal of Finance, 51, 3-53.
10. MEDVEDEV, A., (2004). CAPM Under Umbiguity. National Center of Competence in Research Financial Valuation and Risk management. Working Paper 186.
11. PEDRO B. de OCAMPO, Jr., (2003). Working paper, college of business administration University of the Philippines, Diliman, Quezon City.
12. PETTENGILL, G.N., SUNDARAM, S. & MATHUR, I. (1995). The Conditional relation between beta and returns. Journal of Financial and Quantitative Analysis, 30, pp. 101-116.
13. SANDOVAL, E.A., SAENS, R.N. (2004). The Conditional relationship between portfolio beta and return: evidence from Latin America. Cuadernos de Economia, vol. 41 (Abril), pp. 65-89.
14. SHAKRANI, M.S., ISMAIL, A.G., (2001). The conditional CAPM and cross- sectional evidence of return and beta for Islamic unit trusts in Malaysia. Bangkel Economi, Universiti Kebangsaan Malaysia, Bangi.
15. ZHANG, J., WIHLBORG, C., (2004). Unconditional and conditional CAPM: evidence from eEuropean emerging markets. Working Paper, Department of Finance Copenhagen Business School.