A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset

Öz

This study primarily reviews the studies that use Arbitrage Pricing Theory by separating the risk factors into two main groups as country-level factors and firm-level factors.  Following this, this study examines the stock return determinants of emerging countries in two separate models; macro model and micro model to provide an empirical evidence on both country effects and firm-specific effects separately. The macro model is constructed to examine the relative importance of country effect in explaining cross-sectional stock variations. For that purpose the significance of 4 key macroeconomic variables –fundamental country characteristics-; money supply, exchange rate, inflation rate, and total reserve are tested. For micro model, 5 key firm specific variables, beta, book-to-market equity, earnings-to-price ratio, size and leverage are examined. 

Anahtar Kelimeler

• CAPM,Arbitrage Pricing Theory,Risk Factors,Stock Market

Arbitraj Fiyatlama Teorisi’nde Kullanılan Ülke Düzeyinde ve İşletme Düzeyinde Faktörlerin Gözden Geçirilmesi ve Büyük Veri Seti ile Hızlı Bir Test

Öz

Bu çalışmanın öncelikli amacı Arbitraj Fiyatlama Teorisi’nde kullanılan ülke düzeyinde ve işletme düzeyinde şeklinde iki gruba ayrılmış risk faktörlerini gözden geçirmektir. Bu bağlamda literatürde temel teşkil eden ve bu değişkenleri kullanan çalışmaların gözden geçirilmesi ve özeti yapılacaktır. Çalışmanın ikinci ve literatüre en önemli katkı sağlayacak bölümü ise ülke ve işletme düzeyindeki faktörlerin hisse senedi fiyatlamalarında gerçekten etkin rol oynayıp oynamadığını büyük bir veri seti ile tespit eden ampirik kısım oluşturacaktır. Bu kısımda yalnızca ülke düzeyinde değişkenlerin kullanıldığı makro model ve yalnızca işletme düzeyinde değişkenlerin kullanıldığı mikro model olmak üzere ki model oluşturulacaktır. 

Anahtar Kelimeler

• CAPM,Arbitraj Fiyatlama Teorisi,Risk Faktörleri

Kaynakça

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