q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi

Öz

Varlık fiyatlama modelleri, finans literatüründe yıllardır ilgi çeken bir konu olmuştur. Son dönemde, Hou, Xue ve Zhang (2015) tarafından “q-faktör model” olarak adlandırılan yeni bir varlık fiyatlama modeli geliştirilmiştir. Modelde risksiz faiz oranını aşan getiri, piyasa betası, firma büyüklüğü, yatırım ve karlılık faktörleri ile açıklanmaktadır. Bu çalışmada q-faktör modelinin geçerliliği zaman serisi regresyon yöntemi kullanılarak Borsa İstanbul’da test edilmiştir. GRS-F testi sonuçlarına göre, q-faktör modelinin Borsa İstanbul’da geçerli olduğu bulunmuştur. Elde edilen bulgular, dört faktörün tümünün Temmuz 2009 ile Haziran 2016 döneminde Borsa İstanbul’da fiyatlandığını ve q-faktör modelinin beklenen hisse senedi getirilerini tahminlemede kullanılabileceğini göstermiştir.

Anahtar Kelimeler

• q-Faktör Model,Varlık Fiyatlama,Getiriler,Borsa İstanbul

The Validity Test of q-Factor Model in Borsa Istanbul

Öz

Asset pricing models are the subject that has attracted much attention in finance for years. Recently Hou, Xue and Zhang (2015) developed a new asset pricing model and denominated “q-factor model”. In the model, the excess returns of risk-free rate are explained by market beta, firm size, investment and profitability factors. In this study, the validity of q-factor model in Borsa Istanbul is investigated by using time series regression method. As per GRS-F test results, it is obtained that q-factor model is valid in Borsa Istanbul. The findings revealed that all four factors are priced between July 2009 and June 2016 in Borsa Istanbul and q-factor model can be used in predicting expected returns.

Anahtar Kelimeler

• q-Factor Model,Asset Pricing,Returns,Borsa Istanbul

Kaynakça

1. Aksu, H. Mine; Onder, Turkan (2003), "The Size and Book-To-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange" , EFMA 2000 Athens, Koc University, Graduate School of Business, Working Paper No: 2000-04.
2. Arıoğlu, Emrah; Canbaş, Serpil (2008), "Testing The Three Factor Model of Fama And French: Evidence From Turkey" , Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Vol. 17 No.3: 79-92.
3. Asad, Humaira; Cheema, Faraz Khalid (2017), "An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange" , Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Vol. 22 No. 2: 117-138.
4. Atakan, Tülin; Gökbulut, R. İlker (2010), "Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsası’nda Uygulanabilirliğinin Panel Veri Analizi ile Test Edilmesi" , Muhasebe ve Finans Dergisi, Vol. 45: 180-189.
5. Chen, Long; Novy-Marx, Robert; Zhang, Lu (2011), “An Alternative Three-Factor Model" , (23.02.2017).
6. Chiah, Mardy; Chai, Daniel; Zhong, Angel; Li, Song (2016), “A Better Model? An Empirical Investigation of the Fama–French Five‐Factor Model in Australia” , International Review of Finance, Vol.16 No.4: 595-638.http://dx.doi.org/10.1111/irfi.12099
7. Cooper, Ilan; Maio, Paulo F. (2018), “New Evidence on Conditional Factor Models” .
8. Doğanay, M. Mete (2006), "Fama-French Üç Faktör Varlık Fiyatlama Modelinin İMKB’de Uygulanması", Iktisat, Işletme ve Finans, Vol. 21 No.249: 61-71.

9. Fama, Eugene F.; French, Kenneth R. (1993), "Common Risk Factors in the Returns on Stocks and Bonds" , Journal of Financial Economics, Vol. 33 No. 1: 3-56.
10. Fama, Eugene F.; French, Kenneth R. (1996), "Multifactor Explanations of Asset Pricing Anomalies" , The Journal of Finance, Vol. 51 No. 1: 55-84.
11. Fama, Eugene F.; French, Kenneth R. (2004), "The Capital Asset Pricing Model: Theory and Evidence" , The Journal of Economic Perspectives, Vol. 18 No. 3: 25-46.
12. Fama, Eugene F.; French, Kenneth R. (2006), "Profitability, Investment and Average Returns" , Journal of Financial Economics, Vol. 82 No.3: 491-518.
13. Fama, Eugene F.; French, Kenneth R. (2008), "Dissecting Anomalies" , The Journal of Finance, Vol. 63 No.4: 1653-1678.
14. Fama, Eugene F.; French, Kenneth R. (2015), "A Five-Factor Asset Pricing Model" , Journal of Financial Economics, Vol.116 No.1: 1-22.
15. Fama, Eugene F.; French, Kenneth R. (2017), "International Tests of a Five-Factor Asset Pricing Model" , Journal of Financial Economics, Vol.123 No.3: 441-463.
16. Fabozzi, J. Frank; Huang, Dashan; Wang, Jiexun (2016), “What Difference Do New Factor Models Make in Portfolio Allocation?”.
17. Gibbons, Michael R.; Ross, Stephen; Shanken, Jay (1989), “A Test of the Efficiency of a Given Portfolio” , Econometrica, Vol. 57: 1121-1152.
18. Gökgöz, Fazıl (2008), "Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği" , Ankara Üniversitesi SBF Dergisi, Vol. 63 No.2: 44-64.
19. Harshita, Singh S.; Yadav, Surendra S. (2015), “Indian Stock Market and The Asset Pricing Models” , Procedia Economics and Finance, Vol. 30: 294-304.
20. Hou, Kewei; Xue, Chen; Zhang, Lu (2015), "Digesting Anomalies: An Investment Approach" ,Review of Financial Studies, Vol.28 No.3: 650-705.
21. Hou, Kewei; Xue, Chen; Zhang, Lu (2016), "A Comparison of New Factor Models" , Fisher College of Business Working Paper.
22. Kang, Hankil; Kang, Jangkoo; Kim, Wooyeon (2016), “A Comparison of New Factor Models in the Korean Stock Market”. http://www.korfin.org/korfin_file/forum/2016co-conf19-3.pdf, (26.11.2017).
23. Koh, Hwa Woo (2015), Essays on the Cross-section of Returns, (Doktora Tezi), ABD: The Ohio State University.
24. Merton, Robert C. (1973), “An Intertemporal Capital Asset Pricing Model” , Econometrica, Vol. 41 No.5: 867-887.
25. Novy-Marx, Robert (2013), "The Other Side of Value: The Gross Profitability Premium" , Journal of Financial Economics, Vol.108 No. 1: 1-28.
26. Racicot, François-Eric, Theoret, Raymond (2015), "The q-factor Model and the Redundancy of the Value Factor: An Application to Hedge Fund" , University of Ottawa, Working Paper, WP.2015.04.
27. Roll, Richard (1977), "A Critique of the Asset Pricing Theory's Tests Part I: On Past and Potential Testability of the Theory" , Journal of Financial Economics, Vol.4 No.2: 129-176.
28. White, Halbert (1990)“ A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroscedasticity” , Econometrica, Vol. 48: 817-838.
29. Wooldridge, M. Jeffrey (2013), Ekonometriye Giriş Modern Yaklaşım, Çev.,Ebru Çağlayan, Ankara: Nobel Yayın Dağıtım.