Corporate investment and expected stock returns in Borsa Istanbul

Yıl 2017, Cilt: 18 Sayı: 2, 299 - 315, 15.12.2017

Asil Azimli , Pınar Evrim Mandacı

https://doi.org/10.24889/ifede.346673

Öz

We investigate the relationship between corporate
investment and stock returns for the stocks traded in Borsa Istanbul (BIST)
during the period from July 2006 to December 2015. Our univariate portfolio
analysis results indicate that the investment premium is economically large
such as the value weighted (equally weighted) average monthly premium on the
zero-investment portfolio of low corporate investment stocks is 0.57 (0.61)
percent. Whereas, it is statistically insignificant. Intercept estimates from
traditional factor models justify this conclusion. Therefore, we cannot
conclude that the corporate investment significantly predicts expected returns. 

Anahtar Kelimeler

Asset Growth, Expected Returns, Asset Pricing, Portfolio analysis, Borsa Istanbul

BORSA İSTANBUL’DA ŞİRKET YATIRIM VE BEKLENEN HİSSE GETİRİLERİ

Öz

Borsa İstanbul'da Temmuz 2006, Aralık 2015 dönemlerinde işlem gören hisse senetleri için kurumsal yatırım ve hisse senedi getirileri arasındaki ilişkiyi araştırdık. Tek değişkenli portföy analiz sonuçlarımız kurumsal yatırım priminin ekonomik açıdan büyük olduğunu göstermektedir, örneğin düşük kurumsal yatırım yapan hisselerden oluşan sıfır-yatırım portföyün değer ağırlıklı (eşit ağırlıklı) aylık ortalama primi yüzde 0.57 (0.61) olarak gözlendi. Buna karşılık, bu prim istatistiksel olarak anlamsızdır. Geleneksel faktör modelleri tahminlerimiz bu sonucu doğrulamaktadır. Bu nedenle, kurumsal yatırımın istatistiksel olarak anlamlı bir beklenen getiri tahmincisi olduğu sonucunu çıkaramayız.

Anahtar Kelimeler

aktif büyümesi, beklenen getiri, varlık fiyatlaması, portföy analizi, Borsa İstanbul

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