Ahmet ERİŞMİŞ, K.Songül ACARAVCI, Y.Serkan KANDIR

Hisse senedi beta katsayılarının tahmini ve düzeltilmesi : İstanbul menkul kıymetler borsası üzerine bir uygulama

Bu çalışmanın amacı, Blume ve Vasicek tekniklerine göre düzeltilmiş beta değerlerinin düzeltilmemiş beta değerleri ile karşılaştırılmasıdır. Bu çerçevede, İstanbul Menkul Kıymetler Borsası (İMKB) şirketlerine ait hisse senetlerinin beta katsayıları, Temmuz 1996 - Haziran 2008 dönemi için hesaplanmış ve Blume ile Vasicek yöntemlerine göre düzeltmeler yapılmıştır. Analiz sonuçları, Blume ve Vasicek yöntemlerine göre düzeltilen beta değerlerinin, düzeltilmemiş beta değerlerinden farklı olduklarını ortaya koymuştur.

Estimation and adjustment of common stock beta coefficients : An empirical analysis in İstanbul stock exchange

Aim of this study is to compare unadjusted beta coefficients with beta coefficients adjusted according to Blume and Vasicek methods. In this context, beta coefficients of Istanbul Stock Exchange (ISE) companies’ common stocks are computed for July 1996 - June 2008 period and adjusted according to Blume and Vasicek methods. Empirical findings suggest that beta coefficients adjusted according to Blume and Vasicek methods are different from unadjusted beta coefficients.

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