EQUITY PRICING FACTORS IN TURKISH MARKETS

Öz

This paper investigates six different equity pricing factors' performance in explaining the diversely constructed equity portfolio returns in Turkish markets between 2000 and 2018. For this purpose, we perform time-series regressions of the test portfolio returns formed by different methods on six equity pricing factors based upon market return, firm size, book-to-market ratio, operating profitability, investment, and momentum variables. The results are fivefold. First, even after controlling for six factors, we observe that some portfolios still have abnormal returns. Second, all test portfolios have high sensitivities to the market factor. Third, the portfolios incorporating small companies are more sensitive to SMB factor than portfolios incorporating big companies. Fourth, the significance of HML, RMW, and CMA factors in explaining portfolio returns depends heavily on how the test portfolios are constructed. Finally, the WML factor is not statistically significant in explaining the test portfolio returns; however, this finding can be explained by the fact that the momentum return has not been used as a ranking variable when constructing the test portfolios.

Anahtar Kelimeler

• Asset Pricing
• Borsa Istanbul
• Anomalies
• Equity Returns
• International Finance

TÜRKİYE PİYASALARINDA PAY FİYATLAMA FAKTÖRLERİ

Öz

Bu çalışmada, 2000 ve 2018 seneleri arasını kapsayan bir örneklem aralığında, Türkiye piyasalarında altı farklı pay fiyatlama faktörünün çeşitli şekillerde inşa edilmiş pay portföylerinin getirilerini açıklamadaki performansı mercek altına alınmaktadır. Bu amaçla, farklı yöntemlerle oluşturulmuş test portföylerinin getirilerinin, piyasa getirisi, şirket büyüklüğü, DP oranı, faaliyet kârlılığı, yatırım ve momentum değişkenleri üzerine inşa edilmiş altı pay fiyatlama faktörü üzerine regresyon analizleri gerçekleştirilmektedir. Sonuçlar şu şekilde özetlenebilir. Birincisi, altı fiyatlama faktörünün portföy getirileri üzerindeki etkisi arındırıldıktan sonra bile, bazı portföylerin anormal getirilere sahip olduğu gözlenmektedir. İkincisi, tüm test portföylerinin piyasa faktörüne olan hassasiyeti yüksektir. Üçüncüsü, küçük şirketleri içeren portföylerin SMB faktörüne olan hassasiyetleri büyük şirketleri içeren portföylerinkine göre daha yüksektir. Dördüncüsü, HML, RMW ve CMA faktörlerinin portföy getirilerini açıklamakta işlevsel olup olmadığı test portföylerinin ne şekilde inşa edildiğine bağlıdır. Son olarak, WML faktörü çalışmada kullanılan test portföylerinin getirilerinin açıklanması için işlevsel değildir ancak bu bulgunun da, test portföyleri oluşturulurken geçmiş yıldaki pay getirisinin bir sıralama ölçütü olarak kullanılmamasına bağlı olduğu söylenebilir.

Anahtar Kelimeler

• Varlık Fiyatlama
• Borsa İstanbul
• Anomaliler
• Pay Senedi Getirileri
• Uluslararası Finans

Kaynakça

1. Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis. Journal of Financial Economics, 110(2), 347-357.
2. Atilgan, Y., Gunaydin, A.D. (2019). Türkiye piyasalarında pay getirisi anomalileri. Center of Excellence in Finance Araştırma Raporu, Sabancı Üniversitesi.
3. Bali, T. G., Demirtas, K. O., & Tehranian, H. (2008). Aggregate earnings, firm-level earnings, and expected stock returns. Journal of Financial and Quantitative Analysis, 657-684.
4. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics, 9(1), 3-18.
5. Basu, S. (1977). Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance, 32(3), 663-682.
6. Bhandari, L. C. (1988). Debt/equity ratio and expected common stock returns: Empirical evidence. The journal of finance, 43(2), 507-528.
7. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
8. Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of financial Economics, 66(2-3), 409-462.

9. Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross‐section of stock returns. the Journal of Finance, 63(4), 1609-1651.
10. Daniel, K., Hirshleifer, D., & Sun, L. (2020). Short-and long-horizon behavioral factors. The Review of Financial Studies, 33(4), 1673-1736.
11. Daniel, K., & Titman, S. (1997). Evidence on the characteristics of cross sectional variation in stock returns. the Journal of Finance, 52(1), 1-33.
12. Fairfield, P. M., Whisenant, J. S., & Yohn, T. L. (2003). Accrued earnings and growth: Implications for future profitability and market mispricing. The accounting review, 78(1), 353-371.
13. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
14. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
15. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.
16. Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of financial economics, 128(2), 234-252.
17. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
18. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of finance, 45(3), 881-898.
19. 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.
20. Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics, 41(3), 401-439.
21. Hou, K., Mo, H., Xue, C., & Zhang, L. (2019). Which factors?. Review of Finance, 23(1), 1-35.
22. Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705.
23. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The journal of finance, 49(5), 1541-1578.
24. Lewellen, J., Nagel, S., & Shanken, J. (2010). A skeptical appraisal of asset pricing tests. Journal of Financial economics, 96(2), 175-194.
25. 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, 13–37.
26. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
27. Newey, W.K., West, K.D., (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
28. Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
29. Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9-16.
30. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
31. Stambaugh, R. F., & Yuan, Y. (2017). Mispricing factors. The Review of Financial Studies, 30(4), 1270-1315.
32. Titman, S., Wei, K. C., & Xie, F. (2003). Capital investments and stock returns (No. w9951). National Bureau of Economic Research.