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PRICE EARNINGS RATIO and MEAN REVERSION: BIST HOLDING APPLICATION

Yıl 2017, ICMEB17 Özel Sayısı, 780 - 787, 01.12.2017

Güven Sevil Fatih Temizel Ekrem Meriç

Öz

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

Anahtar Kelimeler

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

Kaynakça

  • Ball, L., & Cecchetti, S. (1990). Inflation and Uncertainty at Long and Short Horizons. Brookings Papers on Economic Activity, 21 (1), 215 – 254.
  • Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price-Eanings Ratios: A test of the Efficient Market Hypotesis. The Journal Of Finance, 32 (4), 663 – 682. DOI: 10.1111/j.1540- 6261.1977.tb01979.x
  • Basu, S. (1983). The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks. Journal of Financial Economics, 12 (1), 129 – 156. https://doi.org/10.1016/0304-405X(83)90031-4
  • Becker, R., Lee, J., & Gup, B. (2010). An empirical analysis of mean reversion of the S&P 500’s P/E ratios. Journal of Economics and Finance, 36 (3), 675 – 690. DOI: DOI:10.1007/s12197-010-9145-8
  • Bell, W.E., (1958). The Price-Future Earnings Ratio: A Practical Aid to Stock Valuation. The Analysts Journal, 14 (4), 25 – 28. https://doi.org/10.2469/faj.v14.n4.25
  • Breen, W. (1968). Low Price-Earnings Ratios and Industry Relatives. Financial Analysts Journal, 24 (4), 125 - 127. https://doi.org/10.2469/faj.v24.n4.125
  • Breen, W., & Savage, J. (1968). Portfolio Distributions and Tests of Security Selection Models. The Journal of Finance, 23 (5), 805 – 819. DOI: 10.1111/j.1540-6261.1968.tb00318.x
  • Champbell, J. Y., & Shiller, R. J. (1988). The dividend-price ratio and Expectations of Future Dividents and Discount Factors. The Review of Financial Studies, 1 (3), 195 – 228. https://doi.org/10.1093/rfs/1.3.195
  • Champbell, J. Y., & Shiller, R. J. (1988). Stock Prices, Earnings, and Expected Dividents. The Journal of Finance, 43 (3), 661 – 676. DOI: 10.1111/j.1540-6261.1988.tb04598.x
  • Champbell, J. Y., & Shiller, R. J. (1988). Valuation Ratios and the Long Run Stock Market Outlook. The Journal of Portfolio Management, 24 (2), 11 – 26. DOI: https://doi.org/10.3905/jpm.24.2.11
  • Chung, P.S. (1974). An Investigation of the Firm Effects Influence in the Analysis of Earnings to Price Ratios of Industrial Common Stocks. The Journal of Financial and Quantitative Analysis, 9 (6), 1009 - 1029. https://doi.org/10.2307/2329732
  • Fama, E. F. (1990). Stock Returns, Expected Returns, and Real Activity. The Journal of Finance, 45 (4), 1089 – 1108. DOI:10.1111/j.1540-6261.1990.tb02428.x
  • Graham, B., & Dodd, D. L. (1934). Security Analysis. Columbus. McGrow-Hill Company.
  • Kamışlı, M., Kamışlı S., Temizel, F., & Esen, E. (2017). What Affetcs the Relationships between Oil and Industrial Sector? Case of Eurozone. International Journal of Economics and Finance, 9 (9), 52. https://doi.org/10.5539/ijef.v9n9p52
  • Kapetanios, G. (2005). Unit-root testing against the alternative hypothesis of up to m structural breaks, Journal of Time Series Analysis, 26 (1), 123 – 133. DOI:10.1111/j.1467-9892.2005.00393.x
  • Lee, J., & Strazicich, M.C., (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85 (4). 1082 – 1089. doi:10.1162/003465303772815961
  • Margoshes, S.L. (1960). Price/Earning Ratio in Financial Analysis… Its Use and Abuse. Financial Analysts Journal, 16 (6), 125-130.
  • Meriç, E., Kamışlı, M., & Temizel, F. (2017). Interactions among Stock Price and Financial Ratios – The Case of Turkish https://doi.org/10.11114/aef.v4i6.2755 Applied Economics and Finance, 4 (6), 107 – 115.
  • McWilliams, J. D. (1966). Price, Earnings and P-E Ratios. Financial Analysts Journal, 22 (3), 137 - 142. https://doi.org/10.2469/faj.v22.n3.137
  • Molodovsky, N. (1968). Stock Values and Stock Stock Prices. Financial Analysts Journal, 16 (3), 134-148. https://doi.org/10.2469/faj.v16.n3.9.2
  • Ng, S., & Perron, P. (2001). Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, 69 (6), 1519 – 1554. DOI:10.1111/1468-0262.00256
  • Nicholson, S. F. (1960). Price-Earning Ratios. Financial Analysts Journal, 16 (4), 43 – 45. https://doi.org/10.2469/faj.v16.n4.43
  • Nicholson, S. F. (1968). Price Ratios in Relation to Ivestment Results. Financial Analysts Journal, 24 (1), 105- 109. https://doi.org/10.2469/faj.v24.n1.105
  • Perron, P. (1989). The Great Crash, the oil price shock and the unit root hypothesis, Econometrica, 57 (6), 1361- 1401. https://doi.org/10.2307/1913712
  • Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80 (2), 355-385. https://doi.org/10.1016/S0304-4076(97)00049-3
  • Robichek, A.A., & Bogue, M.C. (1971). A Note on the Behavior of Expected Price/Earnings Ratios Over Time. The Journal of Finance, 26 (3), 731 – 735. 10.1111/j.1540-6261.1971.tb01726.x
  • Sing, T. F., Liow, K. H., & Chan, W. (2002). Mean reversion of Singapore property stock prices towards their fundamental values. Journal of Property Investment & Finance, 20 (4), 374 – 387. https://doi.org/10.1108/14635780210435056
  • Wang, Y., Wang., Y., Lin, H., & Tang, T. (2003). Determinants of user acceptance of Internet banking: an empirical study. International Journal of Service Industry Management, 14 (5), 501 – 519. https://doi.org/10.1108/09564230310500192
  • Zivot, E., & Andrews, D. W. K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit- Root Hypothesis. Journal of Business & Economic Statistics, 10 (3), 251-270. doi:10.2307/1391541

FİYAT KAZANÇ ORANI ve ORTALAMAYA DÖNÜŞ: BIST HOLDİNG UYGULAMASI

Yıl 2017, ICMEB17 Özel Sayısı, 780 - 787, 01.12.2017

Güven Sevil Fatih Temizel Ekrem Meriç

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

  • Ball, L., & Cecchetti, S. (1990). Inflation and Uncertainty at Long and Short Horizons. Brookings Papers on Economic Activity, 21 (1), 215 – 254.
  • Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price-Eanings Ratios: A test of the Efficient Market Hypotesis. The Journal Of Finance, 32 (4), 663 – 682. DOI: 10.1111/j.1540- 6261.1977.tb01979.x
  • Basu, S. (1983). The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks. Journal of Financial Economics, 12 (1), 129 – 156. https://doi.org/10.1016/0304-405X(83)90031-4
  • Becker, R., Lee, J., & Gup, B. (2010). An empirical analysis of mean reversion of the S&P 500’s P/E ratios. Journal of Economics and Finance, 36 (3), 675 – 690. DOI: DOI:10.1007/s12197-010-9145-8
  • Bell, W.E., (1958). The Price-Future Earnings Ratio: A Practical Aid to Stock Valuation. The Analysts Journal, 14 (4), 25 – 28. https://doi.org/10.2469/faj.v14.n4.25
  • Breen, W. (1968). Low Price-Earnings Ratios and Industry Relatives. Financial Analysts Journal, 24 (4), 125 - 127. https://doi.org/10.2469/faj.v24.n4.125
  • Breen, W., & Savage, J. (1968). Portfolio Distributions and Tests of Security Selection Models. The Journal of Finance, 23 (5), 805 – 819. DOI: 10.1111/j.1540-6261.1968.tb00318.x
  • Champbell, J. Y., & Shiller, R. J. (1988). The dividend-price ratio and Expectations of Future Dividents and Discount Factors. The Review of Financial Studies, 1 (3), 195 – 228. https://doi.org/10.1093/rfs/1.3.195
  • Champbell, J. Y., & Shiller, R. J. (1988). Stock Prices, Earnings, and Expected Dividents. The Journal of Finance, 43 (3), 661 – 676. DOI: 10.1111/j.1540-6261.1988.tb04598.x
  • Champbell, J. Y., & Shiller, R. J. (1988). Valuation Ratios and the Long Run Stock Market Outlook. The Journal of Portfolio Management, 24 (2), 11 – 26. DOI: https://doi.org/10.3905/jpm.24.2.11
  • Chung, P.S. (1974). An Investigation of the Firm Effects Influence in the Analysis of Earnings to Price Ratios of Industrial Common Stocks. The Journal of Financial and Quantitative Analysis, 9 (6), 1009 - 1029. https://doi.org/10.2307/2329732
  • Fama, E. F. (1990). Stock Returns, Expected Returns, and Real Activity. The Journal of Finance, 45 (4), 1089 – 1108. DOI:10.1111/j.1540-6261.1990.tb02428.x
  • Graham, B., & Dodd, D. L. (1934). Security Analysis. Columbus. McGrow-Hill Company.
  • Kamışlı, M., Kamışlı S., Temizel, F., & Esen, E. (2017). What Affetcs the Relationships between Oil and Industrial Sector? Case of Eurozone. International Journal of Economics and Finance, 9 (9), 52. https://doi.org/10.5539/ijef.v9n9p52
  • Kapetanios, G. (2005). Unit-root testing against the alternative hypothesis of up to m structural breaks, Journal of Time Series Analysis, 26 (1), 123 – 133. DOI:10.1111/j.1467-9892.2005.00393.x
  • Lee, J., & Strazicich, M.C., (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85 (4). 1082 – 1089. doi:10.1162/003465303772815961
  • Margoshes, S.L. (1960). Price/Earning Ratio in Financial Analysis… Its Use and Abuse. Financial Analysts Journal, 16 (6), 125-130.
  • Meriç, E., Kamışlı, M., & Temizel, F. (2017). Interactions among Stock Price and Financial Ratios – The Case of Turkish https://doi.org/10.11114/aef.v4i6.2755 Applied Economics and Finance, 4 (6), 107 – 115.
  • McWilliams, J. D. (1966). Price, Earnings and P-E Ratios. Financial Analysts Journal, 22 (3), 137 - 142. https://doi.org/10.2469/faj.v22.n3.137
  • Molodovsky, N. (1968). Stock Values and Stock Stock Prices. Financial Analysts Journal, 16 (3), 134-148. https://doi.org/10.2469/faj.v16.n3.9.2
  • Ng, S., & Perron, P. (2001). Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, 69 (6), 1519 – 1554. DOI:10.1111/1468-0262.00256
  • Nicholson, S. F. (1960). Price-Earning Ratios. Financial Analysts Journal, 16 (4), 43 – 45. https://doi.org/10.2469/faj.v16.n4.43
  • Nicholson, S. F. (1968). Price Ratios in Relation to Ivestment Results. Financial Analysts Journal, 24 (1), 105- 109. https://doi.org/10.2469/faj.v24.n1.105
  • Perron, P. (1989). The Great Crash, the oil price shock and the unit root hypothesis, Econometrica, 57 (6), 1361- 1401. https://doi.org/10.2307/1913712
  • Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80 (2), 355-385. https://doi.org/10.1016/S0304-4076(97)00049-3
  • Robichek, A.A., & Bogue, M.C. (1971). A Note on the Behavior of Expected Price/Earnings Ratios Over Time. The Journal of Finance, 26 (3), 731 – 735. 10.1111/j.1540-6261.1971.tb01726.x
  • Sing, T. F., Liow, K. H., & Chan, W. (2002). Mean reversion of Singapore property stock prices towards their fundamental values. Journal of Property Investment & Finance, 20 (4), 374 – 387. https://doi.org/10.1108/14635780210435056
  • Wang, Y., Wang., Y., Lin, H., & Tang, T. (2003). Determinants of user acceptance of Internet banking: an empirical study. International Journal of Service Industry Management, 14 (5), 501 – 519. https://doi.org/10.1108/09564230310500192
  • Zivot, E., & Andrews, D. W. K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit- Root Hypothesis. Journal of Business & Economic Statistics, 10 (3), 251-270. doi:10.2307/1391541
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Research Article
Yazarlar

Güven Sevil Bu kişi benim

Fatih Temizel Bu kişi benim

Ekrem Meriç Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2017
Gönderilme Tarihi 17 Ekim 2017
Yayımlandığı Sayı Yıl 2017 ICMEB17 Özel Sayısı

Kaynak Göster

APA Sevil, G., Temizel, F., & Meriç, E. (2017). FİYAT KAZANÇ ORANI ve ORTALAMAYA DÖNÜŞ: BIST HOLDİNG UYGULAMASI. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(13), 780-787.