PRICE EARNINGS RATIO and MEAN REVERSION: BIST HOLDING APPLICATION

Abstract

The mean reversion of the price/earnings P/E ratio to the average indicates that the price will not change much compared to the gains in the face of developments. In the presence of the mean reversion effect of shocks is transient. But the dynamic structure of the markets and economic social etc. when the effects of structural changes caused by events are considered, the effects of live shocks can be permanent. This causes the price/earning ratio to lose its ability to mean reversion, causing prices to fall out of the way. In the study, BIST Holding and Investment sub-index, the mean reversion price/earnings ratios of banking stocks to the average was analyzed. The persistence of the shocks on the price/earnings ratios in the study and the events causing the structural breaks were determined

Keywords

• Price / Earnings P/E Ratio
• Mean Reversion
• Kapetanios Multi Structural Fractured Unit Root Test

FİYAT KAZANÇ ORANI ve ORTALAMAYA DÖNÜŞ: BIST HOLDİNG UYGULAMASI

Öz

Fiyat/kazanç F/K oranının ortalamaya dönüş özelliği, gelişmeler karşısında fiyatın kazançlara oranla fazla değişmeyeceğini göstermektedir. Ortalamaya dönüş özelliğinin varlığı durumunda şokların etkisi geçicidir. Ancak piyasaların dinamik yapısı ve ekonomik sosyal vb. olayların neden olduğu yapısal değişimlerin etkileri düşünüldüğünde, yaşanan şokların etkileri kalıcı olabilir. Bu durum fiyat/kazanç oranının ortalamaya dönüş özelliğini yitirmesine, fiyatların tahmin olanağının ortadan kalkmasına neden olmaktadır. Çalışmada BIST Holding ve Yatırım alt endeksinde yer alan pay senetlerinin fiyat/kazanç oranlarının ortalamaya dönüş özelliği analiz edilmiştir. Fiyat/kazanç oranları üzerinde şokların kalıcılığı ve yapısal kırılmalara neden olan olaylar belirlenmiştir.

Anahtar Kelimeler

• Fiyat / Kazanç Oranı F/K
• Ortalamaya Dönüş
• Kapetanios Çoklu Yapısal Kırılmalı Birim

Kaynakça

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