Fama ve French’in Üç Faktörlü Varlık Fiyatlama Modeli’nin Geçerliliği: Borsa İstanbul Örneği

Bu çalışmanın amacı, literatürde geniş bir uygulama alanı bulan Üç Faktörlü Varlık Fiyatlandırma Modeli’nin, 2006-2014 döneminde Borsa İstanbul’da geçerliliğini sektörel bazda incelemektir. Bu bağlamda, söz konusu dönem itibariyle BIST Sınai, BIST Hizmetler ve BIST Mali endekslerinde listelenen şirketlere ait yıllık veriler, hem zaman hem de yatay kesit boyutunu birlikte dikkate alan panel veri analizi ile test edilmiş ve pazar portföyü riski, piyasa değeri/defter değeri oranı ve firma büyüklüğü ile hisse senetlerinin normalüstü getirileri arasındaki ilişki ortaya konmaya çalışılmıştır. Bununla birlikte, hisse senedi getirilerini açıklamada sektörel anlamda risk faktörleri arasında farklılık olup olmadığı da yapılan analiz neticesinde tespit edilmiştir. Analiz bulgularına göre, sınai sektöründe, firma büyüklüğü, piyasa değeri/defter değeri oranı ve pazar portföyü risk priminin, hisse senedinin risk primini bir bütün olarak açıkladığı tespit edilmiştir. Mali sektör ve hizmetler sektöründe ise, yalnızca pazar portföyü risk primi, hisse senedi getirilerini açıklamada anlamlı bulunmuştur.

Testing Fama and French’s Three-Factor Asset Pricing Model: Evidence from Borsa Istanbul

The aim of this study is to investigate the validity of the Three Factor Asset Pricing Model, which has been intensively tested in finance literature, in Borsa Istanbul in the period of 2006-2014 on sector base. In this context, the yearly data of the companies listed on the BIST Industrials, BIST Services and BIST Financials indexes was tested with panel data analysis method that combines horizontal profile observations of companies. Furthermore, as a result of the analysis, whether the risk factors in explaining the returns on stocks vary on sectoral base was also determined. The findings of panel data analysis stipulated that company size, market value/book value ratio, and market portfolio risk premiums explained the equity risk premium as a whole for the industrial sector. In financial and services sectors, solely market portfolio risk premium was significant in explaining equity returns

Keywords:

Three-Factor Model, Fama and French, Panel Data Analysis Borsa Istanbul,

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