HİSSE SENEDİ GETİRİSİ VE FİRMA KARAKTERİSTİKLERİ ARASINDAKİ İLİŞKİNİN BORSA İSTANBUL ÜZERİNDE TEST EDİLMESİ: PANEL VERİ MODELİ UYGULAMASI

Bu çalışmada, firma karakteristiklerinin hisse senedi getirileri üzerindeki etkisi varlık fiyatlama modeli kullanılarak incelenmiştir. Çalışma, Borsa İstanbul-100 içinde yer alan 50 sanayi şirketine 2005/1Ç-2013/4Ç dönemine ilişkin verilerini kapsamaktadır. Kullanılan değişkenler, hisse getiri oranları, BIST-100 getiri oranı ve firma karakteristikleridir. Firma karakteristikleri olarak; likidite oranları, finansal yapı oranları, faaliyet oranları, karlılık oranları, büyüme oranları ve değerleme oranları adı altında toplam 26 mali oran kullanılmış, bu oranlar faktör analizi yoluyla 5'e indirgenmiştir. Veriler üzerinde durağanlık, otokorelasyon ve değişen varyans sınamaları yapılmıştır. Tüm serilerin düzeyde durağan olduğu sonucuna varılmıştır. Hata terimleri otokorelasyonsuzken, değişen varyans sorunu gözlenmiştir. Değişen varyansın giderilmesi için White düzeltmesi kullanılmıştır. Varlık fiyatlama modeli, rassal ve sabit etkili statik panel veri modelleri ile tahmin edilmiş, Hausman testi sonucunda rassal etkiler modelinin geçerli olduğu bulunmuştur. Modelden elde edilen bulgular, BIST sanayi hisselerinin getirileri üzerinde, BIST100 endeksinin dışında fiyat/kazanç oranı ve esas faaliyet kar marjı değişkenlerinin pozitif etkili olduğunu göstermektedir

INVESTIGATING THE RELATION BETWEEN STOCK RETURNS AND FIRM CHARACTERISTICS ON BORSA ISTANBUL: A PANEL DATA MODEL IMPLEMENTATION

This papers investigated relation between equity return and firm charactheristics, using asset pricing model. This study cover fifty ındustry company selected from BIST-100 and from 2005/1Ç to 2013/4Ç. Dataset includes equity return, BIST-100 return and firm charactheristics. It was used total of 26 financial ratios under the liquidity, finacial structure, operation and profitability ratios in the analysis. All of financial ratios was reductioned to 5 factors using factor analysis method. It was applied unit-root, autocorrelation and heteroskedasticity test. As a result of LLC, IPS, Breitung test, empirical results indicated that evidence for all variable are stationary at level. Error terms has no serial correlation and independent variable has an heteroskedasticity. Using White for the heteroskedasticity. Asset pricing model estimated for random and fixed panel date models. Results of Hausman test indicated that random effect model is valid. As a result of random effect model, BIST-100 return, price to earning ratio and operating profit margin has a positive effect on equity returns

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