TÜRKİYE PİYASALARINDA PAY FİYATLAMA FAKTÖRLERİ

Bu çalışmada, 2000 ve 2018 seneleri arasını kapsayan bir örneklem aralığında, Türkiye piyasalarında altı farklı pay fiyatlama faktörünün çeşitli şekillerde inşa edilmiş pay portföylerinin getirilerini açıklamadaki performansı mercek altına alınmaktadır. Bu amaçla, farklı yöntemlerle oluşturulmuş test portföylerinin getirilerinin, piyasa getirisi, şirket büyüklüğü, DP oranı, faaliyet kârlılığı, yatırım ve momentum değişkenleri üzerine inşa edilmiş altı pay fiyatlama faktörü üzerine regresyon analizleri gerçekleştirilmektedir. Sonuçlar şu şekilde özetlenebilir. Birincisi, altı fiyatlama faktörünün portföy getirileri üzerindeki etkisi arındırıldıktan sonra bile, bazı portföylerin anormal getirilere sahip olduğu gözlenmektedir. İkincisi, tüm test portföylerinin piyasa faktörüne olan hassasiyeti yüksektir. Üçüncüsü, küçük şirketleri içeren portföylerin SMB faktörüne olan hassasiyetleri büyük şirketleri içeren portföylerinkine göre daha yüksektir. Dördüncüsü, HML, RMW ve CMA faktörlerinin portföy getirilerini açıklamakta işlevsel olup olmadığı test portföylerinin ne şekilde inşa edildiğine bağlıdır. Son olarak, WML faktörü çalışmada kullanılan test portföylerinin getirilerinin açıklanması için işlevsel değildir ancak bu bulgunun da, test portföyleri oluşturulurken geçmiş yıldaki pay getirisinin bir sıralama ölçütü olarak kullanılmamasına bağlı olduğu söylenebilir.

Anahtar Kelimeler:

Varlık Fiyatlama, Borsa İstanbul, Anomaliler, Pay Senedi Getirileri, Uluslararası Finans

EQUITY PRICING FACTORS IN TURKISH MARKETS

This paper investigates six different equity pricing factors' performance in explaining the diversely constructed equity portfolio returns in Turkish markets between 2000 and 2018. For this purpose, we perform time-series regressions of the test portfolio returns formed by different methods on six equity pricing factors based upon market return, firm size, book-to-market ratio, operating profitability, investment, and momentum variables. The results are fivefold. First, even after controlling for six factors, we observe that some portfolios still have abnormal returns. Second, all test portfolios have high sensitivities to the market factor. Third, the portfolios incorporating small companies are more sensitive to SMB factor than portfolios incorporating big companies. Fourth, the significance of HML, RMW, and CMA factors in explaining portfolio returns depends heavily on how the test portfolios are constructed. Finally, the WML factor is not statistically significant in explaining the test portfolio returns; however, this finding can be explained by the fact that the momentum return has not been used as a ranking variable when constructing the test portfolios.

Keywords:

Asset Pricing, Borsa Istanbul, Anomalies, Equity Returns, International Finance,

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