Haziran 2013
?
Ayben KOY
ada
. Ocak 2002 pozitif olan 138 adet hisse senedi
Zaman Serisi
Anahtar Kelimeler:
ARE THE SIZE PREMIUM and VALUE PREMIUM of FAMA and F
in ISTANBUL STOCK EXCHANGE?
VALID
ABSTRACT
In this study, Threethat continual dealing between January 2002 and
September 2012 which
months are included to the study.
This paper has been an evidence that Three-Factor Asset Pricing Model is valid in the portfolios which
composed by small equity stocks, consequently Capital Asset Pricing Model is still important and valid
against all of the critics.
Key Words: Three-Factor Asset Pricing Model, Capital Asset Pricing Model, Time Series Regressions.
102
Ayben Koy
Haziran 2013
G
beri
Fama ve French,
F
odeli
isse senedi geti
it hisse
tir.
Fama ve French
nin
sermaye
olmaktayk
sermaye
,
genel
Bu
)
(DD/PD) ve hisse senedinin sistematik risk priminin [
zerinde
tir.
- rf)] hisse senedi getirisi
1.
,
til
ir alan olarak
103
Ayben Koy
Haziran 2013
ki
The
The Cross Section of Expected Stock Returns (Beklenen
Hisse Senedi getirilerinin Yatay Kesit Analizi),
, AMEX
,
1.
-1). y
-1). y
- 1990
,
DD/PD
DD/PD
1940-
104
Ayben Koy
Haziran 2013
1
hisse senedi getirisi firma
Journal of Financial
Common Risk Factors in the Returns on Stocks ve Bonds (Hisse
isimli makalede; 1963 ren hisse senetlerine ait veriler
Hisse
Sen
iki
small-big). Daha
sonra her iki grup
B
(SMB ve HML).
en olan model
E(Ri )
Rf
1(E(Rm
Rf) +
2
E(SMB) +
3E(HML)
i: hisse senedi,
t: zaman,
E(Ri ) Rf: hisse senedi
E(Rm Rf)
1(E(Rm Rf): hisse senedinin sistematik risk primini
stermektedir.
SMB (small minus big)(
sahip hisse
sahip hisse senetlerinin
firma
n
elde
HML (high minus low) (
senetlerinin
u iki
n (Small High
an iki
1
105
n (Small Low
ile d k
Big Low)
Ayben Koy
Haziran 2013
temsil eder ve
leri ek getiriyi g sterir.
1,
2,
ime olan
3
stermektedir.
k
daha fazla
a DD/PD etkisi (value effect)
getiriler elde etmi lerdir. Bu duruma firma b
etkisi (size effect)
ksek getiri elde etmektedirler.
modeller
1.1.
abilir.
F
Banz(1981),
Hisse Senedi M
D
= Hisse Senedi F
,
belirlenen
hisse senetlerinin ise
Stattman(1980), Rosenberg, Reid ve Lanstein (1985) ABD hisse senetlerindeki ortalama
Hisse Senedi
M
.
,
106
Ayben Koy
Haziran 2013
Basu(1983),
isimlendi
1.2.
1973-
in
- 1995
sada (Hong
Ajili (2002),
nemini kapsa
Fransa
,
Drew, Naughton ve Veeraraghavan 2002
- 2001
daha
.
angay
ler
olarak k k
yap
nerilmektedir.
nder
de
modeli
rnekleme dahil
ne ek
an kombinasyonlara
tir.
107
nemini incelemektedir. Finansal
klayabilme
Ayben Koy
Haziran 2013
, Fama ve French
beta ile getiri
tek ba
ki
nda
tir. E/P
ndaki
,
getiriyi
ise
ni test
r ile
Firma
, 2008
zerinde
zerinde
neminde
ma
Homsud, Wasunsak
,
lem g ren 421 hisse senedinin 2002 - 2007
nemine ait verilerini kullanarak test etmi lerdir.
yden
de,
re
turulan
, 1996-
Fama ve French
sanay
malar, sadece yatay kesit analizlerine dayanmakta olup analizin zaman boyutu
m
108
Ayben Koy
Haziran 2013
arada dikkate alan
M
tir.
1999pa
a
Panel veri analizinin
re firma b
y risk priminin hisse senedinin risk primini bir
risk fakt
Bununla birlikte, hisse senedi getirisini en iyi a
nder (2003),
hisse senedi
in
, PD/DD
n olarak
stermektedir.
y risk primi
kbulut
2.
2.1
Ocak 2002 l
adet hisse senedi
2011 (116 ay) tarihleri
rekli olarak
zsermayesi pozitif olan (pozitif DD/PD
ren ve
138
-weighted) olarak
-weighted) olarak da kulla
. Bu
2.2
DD/PD
Finansal
.
109
Ayben Koy
Haziran 2013
2.3
B
(DD/PD) ve hisse senedinin sistematik risk primi [
/defter
- rf)] ile hisse senedi
Risk: Beklenen getiriden sapma
mektedir.
sistematik riski ifade eden
edilmektedir.
2.4
2.4.1.
)
sistematik risk priminin[
incelene
(DD/PD) ve hisse senedinin
- rf)] hisse senedi getirisi
.
2.4.2
Ocak 2002 -
k 2011
nda rekli olarak
zsermayesi pozitif olan(pozitif DD/PD
senetleri (138 adet)
l
m hisse
2.4.3
,
tir.
110
Ayben Koy
Haziran 2013
nternet
tir.
MKB 100 end
.
,
.
2.4.4. Verilerin Analizi
2.4.4.1.
dilmesi
a
:
DD/PD
hisse senedi
ece
DD/PD
DD/PD
2.4.4.2.
2.4.4.3. Verilere Ait statistiki Bilgiler
piyasa risk primi (Rm-Rf), risksiz faiz
ve
111
Ayben Koy
Haziran 2013
TABLO
Piyasa Risk Primi
SMB
HML
Ortalama
0.0001
0.019
-0.406
-0.596
Medyan
0.01
0.015
-0.28
-0660
Standart Sapma
0.102
0.014
3.753
4.131
Minimum
-0.27
0.006
-16.97
-25.41
Maksimum
0.26
0.061
11.6
11.49
SH: Piya
f
Bu durumda inceleme
-
TABLO 2:
BH
BM
BL
SH
SM
SL
Ortalama
2.601
2.492
3.444
2.309
2.291
2.658
Medyan
2.490
3.540
3.350
1.650
2.270
2.270
Standart Sapma
9.981
9.582
10.382
9.999
9.218
10.144
112
Minimum
-24.260
-29.220
-22.730
-29.50
-24.36
-25.350
Maksimum
28.440
26.860
61.570
40.870
32.010
32.000
Ayben Koy
Haziran 2013
istatistiki bilgileri yer
Tablo 3
TABLO 3
P1
P2
P3
P4
P5
P6
Ortalama
2.699
2.492
3.015
2.520
2.313
2.402
2.4.4.4.
Medyan
3.690
3.070
2.800
2.590
2.220
2.350
Standart Sapma
9.746
9.286
9.779
9.796
9.163
10.584
Minimum
-23.43
-23.75
-23.21
-29.40
-20.94
-30.25
Maksimum
29.38
30.67
53.30
35.05
30.14
38.61
Regresyon
tablo
getirileri;
e son olarak da
:
Ri
Rf
1(Rm
Rf) +
Ri
Rf
1(Rm
Rf) +
Ri
Rf
1(Rm
Rf) +
Ri
Rf
1(Rm
Rf)+
2
(SMB) +
3(HML)
2
3(HML)
+u
+u
(SMB) + u
113
Ayben Koy
Haziran 2013
TABLO 4:
FVFM
(SMB)
P1
P2
P3
P4
P5
P6
(0.01)
(0.01)
(0.01)
(0.01)
(0.01)
(0.01)
(0.01)
(0.05)
(0.01)
(0.01)
(0.05)
2
TABLO
P1
P2
P3
P4
P5
P6
0.714
0.733
CAPM
0.850
0.776
0.489
0.664
0.563
0.630
(0.01)
(0.01)
(0.01)
)
0.858
0.546
0.580
0.756
0.660
0.725
%85 -
model
FVFM ve
114
Ayben Koy
Haziran 2013
1 ile
3,3
72,5
Ocak 2002
,
bu
herhangi bir
r.
bir model iken
Fiyatlama
115
Ekim
Ayben Koy
Haziran 2013
niteliktedir.
KAYNAK
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-to-Market Effects and Their
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i Analizi ile Test
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Haziran 2013
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117
Ayben Koy
Haziran 2013
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si
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102 ? ARE THE SIZE PREMIUM and VALUE PREMIUM of FAMA