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Yıl 2013, Cilt: 4 Sayı: 8, 0 - , 01.06.2013

Hüseyin Dağlı Semre Bank

Öz

In this study, a detailed explanation of CAPM which is the most common model used for explaining of relationship between risk and expected return in financial theory, early tests of this model, new models following this model and studies that include new variables in asset pricing different from CAPM is provided, respectively. In this way, on the one hand, this study enable the assessment of CAPM together with other asset pricing models, and on the other hand, it emphasizes empirical failure of CAPM.

Anahtar Kelimeler

Capital Asset Pricing Model New Model Developments Following CAPM Testing of CAPM

Kaynakça

  • BANZ, Rolf W.; (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics, 9 (1), pp.3-18.
  • BASU, Sanjoy; (1977), “Investment Performance of Common Stocks in Relation to Their PriceEarnings Ratios: A Test of the Efficient Market Hypothesis”, The Journal of Finance, 32 (3), pp.663-682.
  • BASU, Sanjoy; (1983), “The Relationship between Earnings’ Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence”, Journal of Financial Economics, 12 (1), pp.129-156.
  • BHANDARI, Laxmi Chand; (1988), “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, The Journal of Finance, 43 (2), pp.507-528.
  • BLACK, Fischer; (1972), “Capital Market Equilibrium with Restricted Borrowing”, The Journal of Business, 45 (3), pp.444-455.
  • BLACK, Fischer, Michael C. Jensen ve Myron Scholes; (1972), “The Capital Asset Pricing Model: Some Empirical Tests”, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=908569&download=yes, 2011.
  • BLUME, Marshall E. ve Irwin, FRİEND; (1973), “A New Look at the Capital Asset Pricing Model”, The Journal of Finance, 28 (1), pp.19-33.
  • BREEDEN, Douglas T.; (1979), “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, 7, pp.265-296.
  • CAMPBELL, John Y.; Andrew W. LO ve A. Craig MACKINLAY; (1997), The Econometrics of Financial Markets, New Jersey: Princeton University Press.
  • CARHART, Mark M.; (1997), “On Persistence in Mutual Fund Performance”, The Journal of Finance, 52 (1), pp.57-82.
  • CHAN, Louis K. C. ; Yasushi HAMAO ve Josef LAKONISHOK; (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance, 46 (5), pp.1739-1764.
  • DAĞLI, Hüseyin; (2009), Sermaye Piyasası ve Portföy Analizi, 3. Baskı, Trabzon: Derya Kitabevi.
  • DHANKAR, Raj S. ve Rohini, SINGH; (2005), “Arbitrage Pricing Theory and the Capital Asset Pricing Model Evidence from the Indian Stock Market”, Journal of Financial Management and Analysis, 18(1), pp.14-27.
  • FAMA, Eugene F. ve James D. MACBETH; (1973), “Risk, Return, and Equilibrium: Empirical Tests”, The Journal of Political Economy, 81 (3), pp.607-636.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1992), “The Cross-Section of Expected Stock Returns”, The Journal of Finance, 47 (2), pp.427-465.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33, pp.3-56.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1995), “Size and Book-to-Market Factors in Earnings and Returns”,The Journal of Finance, 50 (1), pp.131-155.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (2003), “The CAPM: Theory and Evidence”, http://efinance.org.cn/cn/fm/The%20CAPM%20Theory%20and%20Evidence.pdf, 002012.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1996), “Multifactor Explanations of Asset Pricing Anomalies”, The Journal of Finance, 51 (1), pp.55-84.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (2004), “The Capital Asset Pricing Model: Theory and Evidence”, http://www-personal.umich.edu/~kathrynd/JEP. FamaandFrench.pdf, 002011.
  • FRIEND, Irwin ve Marshall BLUME; (1970), “Measurement of Portfolio Performance Under Uncertainty”, The American Economic Review, 60 (4), pp.561-575.
  • GRANDES, Martin; Demian PANIGO ve Ricardo PASQUINI; (2005), “The Cost of Equity in Latin America”, Center for Financial Stability, Working Paper No 12, http://www.cefargentina.org/files_publicaciones/16-49cost-of-equity-in-latin-america03-05-06-vcef.pdf, 17.08.2011.
  • JENSEN, Michael C.; (1968), “The Performance of Mutual Funds in the Period 1945-1964”, The Journal of Finance, 23 (2), pp.389–416.
  • LAM, Kenneth; (2005), “Is the Fama-French Three-Factor Model Better than the CAPM?”, Yayınlanmamış Yüksek Lisans Tezi, Simon Fraser University.
  • LINTNER, John; (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), pp.13-37.
  • MALKIEL, Burton G. ve Yexiao XU; (2002), “Idiosyncratic Risk and Security Returns”, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.8.8510&rep=rep1&type=pdf, 02011.
  • MARKOWİTZ, Harry; (1952), “Portfolio Selection”, The Journal of Finance, 7 (1), pp. 77-91. MERTON, Robert C.; (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41 (5), pp.867-887.
  • PORRAS, David; (1998), “Anomalies and Testing Biases: the CAPM vs. the Fama and French Three-Factor Pricing Model”, Yayınlanmamış Doktora Tezi, Saint Louis University
  • ROSS, Stephen A.; (1976), “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13, pp.341-360.
  • SHARIFZADEH, Mohammad; (2006), “An Empirical and Theoretical Analysis of Capital Asset Pricing Model”, Yayınlanmamış Doktora Tezi, Walden University.
  • SHARPE, William F.; (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance, 19 (3), pp.425-442.
  • SUN, Changyou ve Daowei ZHANG; (2001), “Assessing the Financial Performance of Forestry-Related Investment Vehicles: Capital Asset Pricing Model vs. Arbitrage Pricing Theory”, Amer. J. Agr. Econ., 83 (3), pp.617-628

Finansal Varlık Fiyatlandırma Modeli ve Sonrasındaki Gelişmeler

Yıl 2013, Cilt: 4 Sayı: 8, 0 - , 01.06.2013

Hüseyin Dağlı Semre Bank

Öz

Bu çalışmada, sırasıyla, finans teorisinde risk ve beklenen getiri arasındaki ilişkiyi açıklamaya yönelik olarak kullanılan en yaygın model olan Finansal Varlık Fiyatlandırma Modeli’nin (FVFM), bu modelin ilk ampirik testlerinin, bu modeli takiben ortaya çıkan yeni modellerin ve FVFM’nden farklı olarak varlık fiyatlandırmasına yeni değişkenler dahil eden çalışmaların ayrıntılı bir açıklaması yapılmaktadır. Böylelikle, çalışma, bir taraftan FVFM’nin diğer varlık fiyatlandırma modelleri ile birlikte değerlendirilmesine imkan tanımakta, diğer taraftan ise, FVFM’nin ampirik başarısızlığını vurgulamaya çalışmaktadır.

Anahtar Kelimeler

Finansal Varlık Fiyatlandırma Modeli FVFM Sonrasındaki Yeni Model Gelişmeleri FVFM’nin Test Edilmesi

Kaynakça

  • BANZ, Rolf W.; (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics, 9 (1), pp.3-18.
  • BASU, Sanjoy; (1977), “Investment Performance of Common Stocks in Relation to Their PriceEarnings Ratios: A Test of the Efficient Market Hypothesis”, The Journal of Finance, 32 (3), pp.663-682.
  • BASU, Sanjoy; (1983), “The Relationship between Earnings’ Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence”, Journal of Financial Economics, 12 (1), pp.129-156.
  • BHANDARI, Laxmi Chand; (1988), “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, The Journal of Finance, 43 (2), pp.507-528.
  • BLACK, Fischer; (1972), “Capital Market Equilibrium with Restricted Borrowing”, The Journal of Business, 45 (3), pp.444-455.
  • BLACK, Fischer, Michael C. Jensen ve Myron Scholes; (1972), “The Capital Asset Pricing Model: Some Empirical Tests”, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=908569&download=yes, 2011.
  • BLUME, Marshall E. ve Irwin, FRİEND; (1973), “A New Look at the Capital Asset Pricing Model”, The Journal of Finance, 28 (1), pp.19-33.
  • BREEDEN, Douglas T.; (1979), “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, 7, pp.265-296.
  • CAMPBELL, John Y.; Andrew W. LO ve A. Craig MACKINLAY; (1997), The Econometrics of Financial Markets, New Jersey: Princeton University Press.
  • CARHART, Mark M.; (1997), “On Persistence in Mutual Fund Performance”, The Journal of Finance, 52 (1), pp.57-82.
  • CHAN, Louis K. C. ; Yasushi HAMAO ve Josef LAKONISHOK; (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance, 46 (5), pp.1739-1764.
  • DAĞLI, Hüseyin; (2009), Sermaye Piyasası ve Portföy Analizi, 3. Baskı, Trabzon: Derya Kitabevi.
  • DHANKAR, Raj S. ve Rohini, SINGH; (2005), “Arbitrage Pricing Theory and the Capital Asset Pricing Model Evidence from the Indian Stock Market”, Journal of Financial Management and Analysis, 18(1), pp.14-27.
  • FAMA, Eugene F. ve James D. MACBETH; (1973), “Risk, Return, and Equilibrium: Empirical Tests”, The Journal of Political Economy, 81 (3), pp.607-636.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1992), “The Cross-Section of Expected Stock Returns”, The Journal of Finance, 47 (2), pp.427-465.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33, pp.3-56.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1995), “Size and Book-to-Market Factors in Earnings and Returns”,The Journal of Finance, 50 (1), pp.131-155.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (2003), “The CAPM: Theory and Evidence”, http://efinance.org.cn/cn/fm/The%20CAPM%20Theory%20and%20Evidence.pdf, 002012.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (1996), “Multifactor Explanations of Asset Pricing Anomalies”, The Journal of Finance, 51 (1), pp.55-84.
  • FAMA, Eugene F. ve Kenneth R. FRENCH; (2004), “The Capital Asset Pricing Model: Theory and Evidence”, http://www-personal.umich.edu/~kathrynd/JEP. FamaandFrench.pdf, 002011.
  • FRIEND, Irwin ve Marshall BLUME; (1970), “Measurement of Portfolio Performance Under Uncertainty”, The American Economic Review, 60 (4), pp.561-575.
  • GRANDES, Martin; Demian PANIGO ve Ricardo PASQUINI; (2005), “The Cost of Equity in Latin America”, Center for Financial Stability, Working Paper No 12, http://www.cefargentina.org/files_publicaciones/16-49cost-of-equity-in-latin-america03-05-06-vcef.pdf, 17.08.2011.
  • JENSEN, Michael C.; (1968), “The Performance of Mutual Funds in the Period 1945-1964”, The Journal of Finance, 23 (2), pp.389–416.
  • LAM, Kenneth; (2005), “Is the Fama-French Three-Factor Model Better than the CAPM?”, Yayınlanmamış Yüksek Lisans Tezi, Simon Fraser University.
  • LINTNER, John; (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), pp.13-37.
  • MALKIEL, Burton G. ve Yexiao XU; (2002), “Idiosyncratic Risk and Security Returns”, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.8.8510&rep=rep1&type=pdf, 02011.
  • MARKOWİTZ, Harry; (1952), “Portfolio Selection”, The Journal of Finance, 7 (1), pp. 77-91. MERTON, Robert C.; (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41 (5), pp.867-887.
  • PORRAS, David; (1998), “Anomalies and Testing Biases: the CAPM vs. the Fama and French Three-Factor Pricing Model”, Yayınlanmamış Doktora Tezi, Saint Louis University
  • ROSS, Stephen A.; (1976), “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13, pp.341-360.
  • SHARIFZADEH, Mohammad; (2006), “An Empirical and Theoretical Analysis of Capital Asset Pricing Model”, Yayınlanmamış Doktora Tezi, Walden University.
  • SHARPE, William F.; (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance, 19 (3), pp.425-442.
  • SUN, Changyou ve Daowei ZHANG; (2001), “Assessing the Financial Performance of Forestry-Related Investment Vehicles: Capital Asset Pricing Model vs. Arbitrage Pricing Theory”, Amer. J. Agr. Econ., 83 (3), pp.617-628
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Hüseyin Dağlı Bu kişi benim

Semre Bank Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2013
Gönderilme Tarihi 1 Şubat 2014
Yayımlandığı Sayı Yıl 2013 Cilt: 4 Sayı: 8

Kaynak Göster

APA Dağlı, H., & Bank, S. (2013). Finansal Varlık Fiyatlandırma Modeli ve Sonrasındaki Gelişmeler. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 4(8).
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