{"id":1879,"date":"2012-04-19T12:23:52","date_gmt":"2012-04-19T17:23:52","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=1879"},"modified":"2012-04-19T12:58:49","modified_gmt":"2012-04-19T17:58:49","slug":"varlik-fiyatlamada-fama-french-uc-faktorlu-model%e2%80%99in-gecerliligi-imkb-uzerine-bir-arastirma","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/varlik-fiyatlamada-fama-french-uc-faktorlu-model%e2%80%99in-gecerliligi-imkb-uzerine-bir-arastirma","title":{"rendered":"Varl\u0131k Fiyatlamada Fama-French \u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u2019in Ge\u00e7erlili\u011fi: \u0130MKB \u00dczerine Bir Ara\u015ft\u0131rma"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Makale Bilgileri<\/strong><\/span><\/span><\/td>\n<\/tr>\n

\nDergi:<\/strong><\/span><\/span>\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi
\n<\/span>Makalenin Ba\u015fl\u0131\u011f\u0131:<\/strong><\/span><\/span> Varl\u0131k Fiyatlamada Fama-French \u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u2019in Ge\u00e7erlili\u011fi: \u0130MKB \u00dczerine Bir Ara\u015ft\u0131rma
\n<\/span>Yazar(lar):<\/strong><\/span><\/span> Harun Guzeldere, Serra Eren Sarioglu
\n<\/span>Cilt:<\/strong><\/span><\/span>3
\n<\/span>Say\u0131:<\/strong><\/span><\/span>2
\n<\/span>Y\u0131l:<\/strong><\/span><\/span>2012
\n<\/span>Sayfa:<\/strong><\/span><\/span> 1 – 19
\n<\/span>ISSN:<\/strong><\/span><\/span>1309-2448<\/span><\/td>\n<\/tr>\n
\u00d6zet<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\n

Bir menkul k\u0131ymetten beklenen risk priminin, piyasaya ili\u015fkin beklenen risk primi ile do\u011fru orant\u0131l\u0131 olmas\u0131 gerekti\u011fini savunan Finansal Varl\u0131klar\u0131 Fiyatland\u0131rma Modeli, varsay\u0131mlar\u0131ndaki baz\u0131 eksiklikler nedeniyle finansal varl\u0131klar\u0131n beklenen getirilerini a\u00e7\u0131klamakta yetersiz kalm\u0131\u015ft\u0131r. Bunun \u00fczerine, hisse senedi getirilerini belirlemede \u00e7ok fakt\u00f6rl\u00fc modeller \u00fczerinde \u00e7al\u0131\u015fmalar yapan ara\u015ft\u0131rmac\u0131lardan Fama ve French (1993), \u00e7ok fakt\u00f6rl\u00fc bir model olan \u201c\u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u201di geli\u015ftirmi\u015flerdir. Bu modelde, piyasa portf\u00f6y\u00fcn\u00fcn getirisi de\u011fi\u015fkenine firma b\u00fcy\u00fckl\u00fc\u011f\u00fc ve defter de\u011feri\/piyasa de\u011feri oran\u0131 olmak \u00fczere iki yeni fakt\u00f6r daha eklenmi\u015ftir. Bu \u00e7al\u0131\u015fmada, literat\u00fcrde geni\u015f bir uygulama alan\u0131 bulan \u201c\u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u201din 1999-2011 d\u00f6neminde \u0130MKB\u2019de ge\u00e7erlili\u011fi ara\u015ft\u0131r\u0131lm\u0131\u015ft\u0131r. \u0130MKB\u2019de normal\u00fcst\u00fc getirilerin, pazar\u0131n risk primi, firmalar\u0131n piyasa de\u011feri\/defter de\u011feri oranlar\u0131 ve b\u00fcy\u00fckl\u00fck \u00f6l\u00e7\u00fcleri ile nas\u0131l farkl\u0131la\u015ft\u0131\u011f\u0131n\u0131n ortaya koyulmas\u0131n\u0131n ama\u00e7land\u0131\u011f\u0131 \u00e7al\u0131\u015fmada, \u0130MKB-100 Endeksi\u2019nde i\u015flem g\u00f6ren finansal olmayan \u015firketlerin ayl\u0131k verileri panel veri analizi ile test edilmi\u015ftir. Ampirik \u00e7al\u0131\u015fman\u0131n bulgular\u0131n\u0131n \u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u2019in \u0130MKB\u2019de uygulanabilir oldu\u011funu tespit etmesi nedeniyle, sermaye maliyetinin tahmininde \u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u2019in gerek bireysel ve gerekse kurumsal yat\u0131r\u0131mc\u0131lar taraf\u0131ndan Finansal Varl\u0131klar\u0131 Fiyatland\u0131rma Modeli\u2019ne alternatif olarak kullan\u0131labilece\u011fi d\u00fc\u015f\u00fcn\u00fclmektedir. Ara\u015ft\u0131rman\u0131n bulgular\u0131, geli\u015fmi\u015f ve geli\u015fmekte olan piyasalarda modelin ge\u00e7erli oldu\u011fu sonucuna ula\u015fan bir\u00e7ok \u00e7al\u0131\u015fma ile paralellik g\u00f6stermektedir.<\/span><\/p>\n<\/td>\n<\/tr>\n

\n

Anahtar Kelimeler:<\/strong><\/span><\/span> \u00dc\u00e7 Fakt\u00f6rl\u00fc Model, Fama ve French, Varl\u0131k Fiyatlama, Panel Veri Analizi, \u0130MKB<\/span><\/p>\n<\/td>\n<\/tr>\n

JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/strong><\/span><\/span> C19, D53, G14 <\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi:\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: Varl\u0131k Fiyatlamada Fama-French \u00dc\u00e7 Fakt\u00f6rl\u00fc Model\u2019in Ge\u00e7erlili\u011fi: \u0130MKB \u00dczerine Bir Ara\u015ft\u0131rma Yazar(lar): Harun Guzeldere, Serra Eren Sarioglu Cilt:3 Say\u0131:2 Y\u0131l:2012 Sayfa: 1 – 19 ISSN:1309-2448 \u00d6zet Bir menkul k\u0131ymetten beklenen risk priminin, piyasaya ili\u015fkin beklenen risk primi ile do\u011fru orant\u0131l\u0131 olmas\u0131 gerekti\u011fini savunan Finansal Varl\u0131klar\u0131 Fiyatland\u0131rma […]<\/p>\n

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