You are here

Home » Content

HİSSE SENETLERİNİN BEKLENEN GETİRİ VE RİSKLERİNİN TAHMİNİNDE ALTERNATİF MODELLER

Journal Name:

  • İstanbul Üniversitesi Maliye Araştırma Merkezi Konferansları Dergisi

Publication Year:

  • 2005
Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
One of the most important problems of modern financial economics is the relation between risk and expected return in the stock market. The Capital Asset Pricing Model (CAPM) is generally used for estimation of returns on individual stocks and the Fama-French (F-F) three factor model is recommended for estimation of portfolio returns. While the expected returns are only explained depending on market risk premium in the CAPM, firm size and book-to-market equity ratioare additionally important variables in the F-F model. The purpose of this paper is to compare the performance of these two models for individual stocks on the İstanbul Stock Exchange using five years of monthly data.
Bookmark/Search this post with
Abstract (Original Language): 
Modern finansal ekonominin en önemli problemlerinden biri hisse senedi piyasasında beklenen getiri ve risk arasındaki ilişkidir. Tek bir hisse senedinin getirilerini tahmin için genellikle Finansal Varlıkları Fiyatlandırma Modeli (FVFM) kullanılırken, portföy getirilerini tahmin için Fama-French (F-F) üç faktör modeli önerilir. Beklenen getiriler FVFM’de yalnızca piyasa risk primi tarafından açıklanırken, F-F modeli için firma büyüklüğü ve defter değeri/ piyasa değeri oranı değişkenleri de önemlidir. Bu çalışmanın amacı İstanbul Menkul Kıymetler Borsasında beş yıllık dönemde aylık veri kullanılarak tek tek hisse senetleri için iki modelin performansını karşılaştırmaktır.
FULL TEXT (PDF): 
PDF icon arastrmx_140013_47_pp_179199.pdf
  • 1
179199
  • Turkish

REFERENCES

References: 

Aksu M.H, T. Önder, (2000), ‘The Size and Book-to-Market Effects and Their Role As Risk Proxies in the İstanbul Stock Exchange’, European Financial Management Association Conference, Athens, ss.1-42.
Bartholdy J, P. Peare, (2003), ‘Estimation of excepted Return: CAPM vs Fama and French’, http://papers.ssrn.com./sol3/papers.cfm?abstract_id=350100, Erişim tarihi Haziran, 2004.
Campbell J.Y, A.W Lo, A.C MacKinley, (1997), The Econometrics of Financial Markets, Princeton University Press, USA.
Cuthbertson K,(1996), Quantitative Financial Economics: Stocks,Bonds and Foreign Exchange, John Wiley & Sons, England.
DPT Temel Ekonomik Göstergeler, çeşitli sayılar, 1999-2004
Erol Ü, (1999), Vadeli İşlem Piyasaları: Teori ve Pratik, İstanbul Menkul Kıymetler Borsası, İstanbul.
Fama E.F, K.R. French, (1992), ‘The Cross Section of Expected Stock Returns’, The Journal of Finance, Vol. XLVII, No.2, ss.427-465.
Fama E.F, K.R. French, D.G. Booth, R.Sinquefield, (1993), ‘Differences in the Risks and Returns of NYSE and NASD Stocks’, Financial Analysts Journal, January-February, ss.37-41.
Fama E.F, K.R. French, (1995), ‘Size and Book-to-Market Factors in Earnings and Returns’, The Journal of Finance, Vol L, No:1, March, ss.131-155.
Fama E.F, K.R. French, (1996), ‘Multifactor Explanations of Asset Pricing Anomalies’, The Journal of Finance, Vol LI, No:1, March, ss.55-84.
Fama E.F, K.R. French, (2004), ‘Capital Asset Pricing Model: Theory and Evidence’,CRSP Working Paper, No:550, Tuck Business Working Paper, No:03-26,ss.1-35.
French K.R.homepage: mba.tuck.dartmounth. edu/pages/faculty/ken. french/data_library.html
Gujarati, N.D, (1995), Basic Econometrics, Literatür Yayınları, İstanbul.
Gürbüz A.O, Y. Ergincan, (2004), Şirket Değerlemesi: Klasik ve Modern Yaklaşımlar, Literatür Yayınları, Yayın No: 119, İstanbul.
İstanbul Menkul Kıymetler Borsası Aylık Bülten, çeşitli sayılar,1999-2004.
Levy H., (1978), ‘Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio’, The American Economic Review, September, Vol. 68, No. 4, ss. 643-658.
Roll R., (1988), ‘R2’ , The Journal of Finance, Vol XLIII, No:2, July, ss.541-566.

Thank you for copying data from http://www.arastirmax.com