FED Hisse Senedi Değerleme Modelini Etkileyen İşletme İçi ve İşletme Dışı Faktörlerin Analizi: Borsa İstanbul’da Bir Uygulama

Öz

FED modeli; gösterge devlet tahvil faizleri ve kazanç/fiyat oranları arasında bir ilişki kurarak hisse senetlerinin gerçeğe uygun değerini hesaplamayı sağlayan modern bir hisse senedi değerleme yöntemidir. FED modeline göre; kazanç/fiyat oranları 10 yıl vadeli devlet tahvil faizinden düşükse hisse senedi gerçeğe uygun değeri üzerinde aşırı değerli fiyatlanmıştır. Tersi durumda ise hisse senedi gerçeğe uygun değerinin altında fiyatlanmıştır. Eğer bu yargıyı fiyat/kazanç oranı üzerinden okursak; fiyat kazanç oranı tahvil faizlerinden yüksek ise aşırı değerlenme, altında ise düşük değerlenme söz konusudur. Bu araştırmanın amacı; Türkiye için FED modelinin geçerliliğini araştırarak FED modelinin ima ettiği gerçeğe uygun değerden sapma gösteren düşük ve aşırı fiyatlamaları etkileyen işletme içi ve işletme dışı faktörleri analiz etmektir. Literatür araştırması neticesinde çeyreklik frekansta 2021Q3-2023Q4 arasında 16 Mart itibariyle piyasa değeri en yüksek 5 BIST (Borsa İstanbul) şirketi analiz için seçilmiştir. Araştırmada en başarılı modeller yapay sinir ağı modelleri, değişkenlerin etkileri panel robust regresyon ve FED modelinin Türkiye için geçerliliği Johansen eş bütünleşme testi yardımıyla değerlendirilmiştir. Eş bütünleşme sonuçlarına göre FED modeli BIST-100 için geçerlidir. Bu sonuçlar, FED modelinin kısa ve uzun dönemde Türkiye için geçerli olduğuna işaret etmektedir. FED modeli Türkiye için uygulandığında yapay sinir ağı modeli hata metrikleri; ABD örneğinde olduğu gibi modelde 10 yıl vadeli devlet tahvil faizleri kullanımının, 2 yıl vadeli devlet tahvil faizlerinin kullanımına göre daha anlamlı sonuçlar verdiğine işaret etmektedir. Bir diğer yönden FED modelinde gerçeğe uygun değerden sapmaları açıklayan faktörlerden işletme dışı faktörlerin sonuçları daha anlamlıdır. İşletme içi faktörler işletme dışı faktörlerle birlikte modellendiğinde daha anlamlı sonuçlar vermektedir. Araştırmanın literatüre katkıları, FED modelinin Türkiye için geçerli olduğunu ispatlaması, işletme düzeyinde FED modelini analiz etmesi ve farklı vade yapışlarından gösterge devlet tahvil faizlerini de FED modeli kapsamında incelemesi olarak sıralanabilir.

Anahtar Kelimeler

• FED Modeli
• Hisse Senedi Değerleme
• Devlet Tahvil Getirileri

Analysis of Internal and External Factors of the Business Affecting the FED Stock Valuation Model : An Application in Borsa Istanbul

Abstract

The FED model is a modern equity valuation method that calculates the fair value of equities by establishing a relationship between benchmark government bond yields and earnings/price ratios. According to the FED model, the stock is overvalued above its fair value if earnings/price ratios are lower than the 10-year government bond yield. Conversely, the stock is priced below its fair value. If we interpret this judgment in terms of the price/earnings ratio, there is overvaluation if the price/earnings ratio is higher than bond yields. If it is lower, there is undervaluation. This study aims to investigate the validity of the FED model for Turkey and to analyze the internal and external factors affecting under and overpricing that deviate from the fair value implied by the FED model. As a result of the literature review, the 5 BIST (Borsa Istanbul) companies with the highest market capitalization as of March 16 between 2021Q3-2023Q4 at quarterly frequency were selected for analysis. The most successful models in the research are artificial neural network models; the effects of variables are evaluated by robust panel regression, and the validity of the FED model for Turkey is assessed with the help of the Johansen co-integration test. According to the co-integration results, the FED model is valid for BIST-100. These results indicate that the FED model is valid for Turkey in the short and long run. When the FED model is applied to Turkey, the artificial neural network model error metrics indicate that the use of 10-year government bond rates in the model yields more significant results than the use of 2-year government bond rates, as in the US case. On the other hand, among the factors explaining the deviations from fair value in the FED model, the results of external factors are more significant. When modeled with external factors, internal factors yield more significant results. The contributions of the research to the literature can be listed as proving that the FED model is valid for Turkey, analyzing the FED model at the enterprise level, and analyzing benchmark government bond yields of different maturities within the scope of the FED model.

Keywords

• FED Model
• Stock Valuation
• Government Bond Yields

Kaynakça

1. Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589–609. https://doi.org/10.2307/2978189
2. Asness, C. (2002). Fight the Fed Model: The relationship between stock market yields, bond market yields, and future returns. Journal of Portfolio Management, 30(1), 11–24. https://doi.org/10.2139/ssrn.381480
3. Bakshi, G. & Chen, Z. (2005). Stock valuation in dynamic economies. Journal of Financial Markets, 8(2), 111–151. https://doi.org/10.1016/j.finmar.2005.01.001
4. Bekaert, G. & Engstrom, E. (2010). Inflation and the stock market: Understanding the “Fed Model”. Journal of Monetary Economics, 57(3), 278–294. https://doi.org/10.1016/j.jmoneco.2010.02.004
5. Berk, J. B. (1995). A critique of size-related anomalies. The Review of Financial Studies, 8(2), 275–286.
6. Bernardino, W., Amaral, J. B., Paes, N. L., Ospina, R. & Távora, J. L. (2022). A statistical investigation of a stock valuation model. SN Business & Economics, 2(106). https://doi.org/10.1007/s43546-022-00270-x
7. Bodie, Z., Kane, A. & Marcus, A. J. (2014). Investments (10th ed.). McGraw-Hill Education.
8. Brennan, M. J. & Schwartz, E. S. (1984). Optimal financial policy and firm valuation. The Journal of Finance, 39(3), 593–607. https://doi.org/10.2307/2327917

9. Campbell, J. Y. & Shiller, R. J. (1988). Stock prices, earnings, and expected dividends. The Journal of Finance, 43(3), 661–676.
10. Campbell, J. Y., Lo, A. W. & MacKinlay, A. C. (1997). The econometrics of financial markets. Princeton University Press.
11. Cantor, D. R., Butler, A. & Rajani, K. (2014). The fallacy of the Fed Model. Investment Section—Investment Fallacies, Society of Actuaries.
12. Ceh, A. M., Manfredini, J., Melander, O. & Wollert, S. (2021). Equity market valuation in light of low interest rates. Staff Memo. Sveriges Riksbank.
13. Chen, N. F., Roll, R. & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383–403.
14. Estrada, J. (2006). The Fed Model: A note. Finance Research Letters, 3(1), 14–22. https://doi.org/10.1016/j.frl.2005.11.002
15. Estrada, J. (2009). The Fed Model: The bad, the worse, and the ugly. The Quarterly Review of Economics and Finance, 49(2), 214–238. https://doi.org/10.1016/j.qref.2007.03.007
16. Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465.
17. Faugère, C. & Van Erlach, J. (2009). A required yield theory of stock market valuation and treasury yield determination. Financial Markets, Institutions & Instruments, 18(1), 27–88.
18. Fisher, I. (1930). The theory of interest. Macmillan.
19. Gandel, S. (2020). Fed model loses its grip on stocks. Bloomberg News. Retrieved December 28, 2020. https://www.bloomberg.com
20. Goodfellow, I., Bengio, Y. & Courville, A. (2016). Deep learning. MIT Press.
21. Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
22. Hampel, F. R., Ronchetti, E. M., Rousseeuw, P. J. & Stahel, W. A. (1986). Robust statistics: The approach based on influence functions. Wiley Series in Probability and Statistics.
23. Hasseltoft, H. (2010). The Fed-model and the changing correlation of stock and bond returns: An equilibrium approach. Inquire Europe Conference, Berlin, October 24–26, 2010.
24. Hayashi, F. (2000). Econometrics. Princeton University Press.
25. Hayford, M. & Malliaris, A. (2005). How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule. European Journal of Operational Research, 163(1), 20–29. https://doi.org/10.1016/j.ejor.2003.12.002
26. Huber, P. J. (1964). Robust estimation of a location parameter. The Annals of Mathematical Statistics, 35(1), 73–101. https://doi.org/10.1214/aoms/1177703732
27. Huber, P. J. (1973). Robust regression: Asymptotics, conjectures, and Monte Carlo. The Annals of Statistics, 1(5), 799–821. https://doi.org/10.1214/aos/1176342582
28. Huber, P. J. (1981). Robust statistics. John Wiley & Sons.
29. Jakobson, E. & Murashko, M. (2011). Inflation illusion and equity return: A Fed model approach (BUSM36 Degree Project Master level in Corporate and Financial Management, Business Administration Master level). Lund University.
30. Jegadeesh, N. & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91.
31. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580.
32. Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press.
33. Koivu, M., Pennanen, T. & Ziemba, W. T. (2005). Cointegration analysis of the Fed model. Finance Research Letters, 2(4), 248–259. https://doi.org/10.1016/j.frl.2005.06.002
34. Lagos, R. & Zhang, S. (2015). Monetary exchange in over-the-counter markets: A theory of speculative bubbles, the Fed model, and self-fulfilling liquidity crises (NBER Working Paper No. 21528). National Bureau of Economic Research. https://www.nber.org/papers/w21528
35. Lahart, J. (2020). Has the Fed rewritten the laws of investing?. The Wall Street Journal. Retrieved December 25, 2020. https://www.wsj.com
36. Limpanithiwat, K. & Rungsombudpornkul, L. (2010). Relationship between inflation and stock prices in Thailand (Master's thesis). Umeå School of Business.
37. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37.
38. Lleo, S. & Ziemba, W. T. (2017). Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?. Financial Markets, Institutions & Instruments, 26(2), 61–123. https://doi.org/10.1111/fmii.12080
39. Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer-Verlag.
40. Maio, P. (2013). The “Fed Model” and the predictability of stock returns. Review of Finance, 17(4), 1489–1533. https://doi.org/10.1093/rof/rfs025
41. Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2975974
42. Maronna, R. A., Martin, R. D. & Yohai, V. J. (2006). Robust statistics: Theory and methods. John Wiley & Sons.
43. Mishkin, F. S. (1990). What does the term structure tell us about future inflation?. Journal of Monetary Economics, 25(1), 77–95. https://doi.org/10.1016/0304-3932(90)90030-7
44. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783.
45. Pakarinen, J. (2010). The Fed model: International analysis (Master's thesis). Lappeenranta University of Technology.
46. Reinhart, C. M. & Rogoff, K. S. (2009). This time is different: Eight centuries of financial folly. Princeton University Press.
47. Schwert, G. W. (1989). Why does stock market volatility change over time?. The Journal of Finance, 44(5), 1115–1153.
48. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
49. Smithers, A. (2014). The fallacy of the Fed model. Financial Times. Retrieved December 28, 2020. https://www.ft.com
50. The Economist. (2012). Burying the "Fed model". The Economist. Retrieved December 17, 2020. https://www.economist.com
51. Winck, B. (2020). The Fed's unprecedented relief measures could form the greatest financial bubble in history says Ed Yardeni. Business Insider. Retrieved December 16, 2020. https://www.businessinsider.com
52. Xu, X. (2023). Higher bond yields & the Fed model: Implications for future stock-bond relative returns. PGIM Institutional Advisory & Solutions. https://ssrn.com/abstract=4648568
53. Yardeni, E. (1997). Fed’s stock market model finds overvaluation (Topical Study #38). US Equity Research, Deutsche Morgan Grenfell.
54. Yardeni, E. (1999). New improved stock valuation model (Topical Study #44). US Equity Research, Deutsche Morgan Grenfell.
55. Yardeni, E. (2014, April). The Fed model, buybacks, and M&A. Business Insider. https://www.businessinsider.com/the-fed-model-buybacks-and-ma-2014-4?r=US&IR=T