CORPORATE INVESTMENT AND EXPECTED STOCK RETURNS

Bu çalışmada, Temmuz 2006 - Aralık 2015 döneminde Borsa İstanbul'da işlem gören şirketlerin yatırımları ile hisse senedi getirileri arasındaki ilişki araştırılmaya çalışılmıştır. Tek değişkenli portföy analizi sonuçlarımız şirket yatırım priminin ekonomik açıdan büyük olduğunu göstermektedir, örneğin yatırımları düşük olan şirket hisselerinden oluşan sıfır-yatırım portföyünün değer ağırlıklı (eşit ağırlıklı) aylık ortalama primi % 0.57 (0.61) olarak gözlenmektedir. Buna karşılık, bu prim istatistiksel olarak anlamlı değildir. Geleneksel faktör modellerinin kaysayı tahminleri bu sonucu doğrulamaktadır. Bu nedenle, şirket yatırım etkisinin beklenen getiriyi tahminlemede kullanılamayacağı sonucuna ulaşılabilir

BORSA İSTANBUL’DA ŞİRKET YATIRIM VE BEKLENEN HİSSE GETİRİLERİ

In this paper, we try to investigate the relationship between the investments and the stock returns of the companies which are traded in Borsa Istanbul (BIST) during the period from July 2006 to December 2015. The results of the univariate portfolio analysis indicate that the corporate investment premium is economically large such as the value weighted (equally weighted) average monthly premium on the zero-investment portfolio of low corporate investment stocks is 0.57 (0.61) % however, it is not statistically significant. The intercept estimates from traditional factor models justify this conclusion. Therefore, we can conclude that the corporate investment effect cannot be used to predict the expected returns

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