ÜÇ FAKTÖR VARLIK FİYATLAMA MODELİNİN GEÇERLİLİĞİ: BORSA İSTANBUL’DA BİR İNCELEME

Fama French Üç Faktörlü Varlık Fiyatlama Modelinde, portföyün getirisini, pazarın getirisinin yanında, büyüklüğün (PD) ve defter değeri/piyasa değeri (DD/PD) oranının da etkilediği belirtilmektedir. Bu çerçevede 2001-2013 yılları arasında Borsa İstanbul’da aralıksız faaliyet gösteren şirketler açısından büyüklük ve defter değeri/piyasa değeri değişkenlerinin hisse senedi getirileri üzerine etkisi dolayısı ile Fama French üç faktör varlık fiyatlama modelinin hisse senedi getirisini açıklama gücü incelenmiştir. Bu amaçla yapılan panel veri analizinde üç farklı regresyon modeli oluşturulmuştur. Tüm modellerde hem ölçek hem de piyasa değeri/defter değeri değişkenlerinin hisse senedi getirileri üzerinde anlamlı ve negatif yönde etkiye sahip olduğu tespit edilmiştirAnahtar Sözcükler: Büyüklük, piyasa değeri/defter değeri oranı, varlık fiyatlama, üç faktör varlık fiyatlama modeli, Borsa İstanbul, panel veri analiziJEL Sınıflandırması: G11, G12, G14, D53, C33

Anahtar Kelimeler:

Büyüklük, piyasa değeri/defter değeri oranı, varlık fiyatlama, üç faktör varlık fiyatlama modeli, Borsa İstanbul, panel veri analizi

are also effective in explaining the stock return alongside market portfolio in three factor model of Fama French. In this paper we analyze effects of market value and book-to-market value ratio for stock return, i.e. accounting effect of three factor model of Fama French in stock return, in related to firms that were present in Borsa Istanbul for thirteen year without interrupt in years of 2001- 2013. Three different regression models are generated in panel data analysis performed. We found that both market value and book-to-market value ratio have significant and negative effects over stock return in all three models

Keywords:

Size, book to market ratio, asset pricing, Fama French three factor model, Borsa Istanbul, panel data analysis,

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