RESESYON RİSK PRİMİ: MUHASEBE BAZLI VE PİYASA BAZLI RİSK ÖLÇÜMLERİNİN KARŞILAŞTIRILMASI

Bu çalışmanın ana konusu, hisse senedi portföy getirilerindeki performans ile maruz kalınan makro ekonomik riskler arasındaki ilişkiyi araştırmaktır. Firmaların mali rasyolarının, makro ekonomik risklere dayanıklılıkta bize gösterge olup, diğer klasik risk ölçüm yöntemlerinden daha iyi sonuç üretip üretmediğini incelemektir. İş çevriminde ekonominin daralma dönemleri ve bu dönemlerde ortaya çıkan resesyon riski, makro ekonomik riski tanımlar. Finansal rasyolar kullanılarak, firmanın maruz kaldığı resesyon riskini gösteren bir resesyon risk skorlaması yapılmıştır. Resesyon risk skoruna göre oluşturulan portföylerin, ekonominin genişleme ve daralma dönemlerindeki ortalama getirileri hesaplanmıştır. Bu iki dönemdeki ortalama getirilerin birbirinden çıkarılması ile de resesyon risk primleri hesaplanmıştır. Sonuç olarak resesyon döneminde, resesyon risk skoru baz alınarak oluşturulan portföylerin, CAPM(?eta) yöntemine göre oluşturulan portföylerden getiri anlamında çok daha iyi sonuçlar verdiği bulunmuştur. Bu nedenle sistematik riski daha iyi ölçümlediği sonucuna varılmıştır.

RECESSION RISK PREMIUM: COMPARISON BETWEEN ACCOUNTING- DETERMINED RISK AND MARKET-DETERMINED RISK

This research paper discusses the connection between macroeconomic risks and a stock's portfolio performance. Using financial ratios as a proxy, we will be able to determine a firm's stability and exposure to macroeconomic risks more accurately than using traditional risk measuring approaches. Contraction and recession periods in the business cycle are a major component of macroeconomic risk. To capture the risk during those periods, a composite risk score for each stock can be derived from calculated financial ratios, then to construct the portfolio stocks are sorted on resession scores. Recession risk exposure of a portfolio can be measured by its recession premium which can be calculated as follows, average return during recession periods minus average return during expansion periods. Results show, portfolios that have higher recession premiums are safer, capture systematic risk more adequately and perform better during recessions than CAPM-Beta based constructed portfolios.

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