Varlık fiyatlama modelleri, finans literatüründe yıllardır ilgi çeken bir konu olmuştur. Son dönemde, Hou, Xue ve Zhang (2015) tarafından “q-faktör model” olarak adlandırılan yeni bir varlık fiyatlama modeli geliştirilmiştir. Modelde risksiz faiz oranını aşan getiri, piyasa betası, firma büyüklüğü, yatırım ve karlılık faktörleri ile açıklanmaktadır. Bu çalışmada q-faktör modelinin geçerliliği zaman serisi regresyon yöntemi kullanılarak Borsa İstanbul’da test edilmiştir. GRS-F testi sonuçlarına göre, q-faktör modelinin Borsa İstanbul’da geçerli olduğu bulunmuştur. Elde edilen bulgular, dört faktörün tümünün Temmuz 2009 ile Haziran 2016 döneminde Borsa İstanbul’da fiyatlandığını ve q-faktör modelinin beklenen hisse senedi getirilerini tahminlemede kullanılabileceğini göstermiştir.
Asset pricing models have been a topic of interest in financial literature for years. Recently, a new asset pricing model, called "q-factor model" by Hou, Xue and Zhang (2015) has been developed. The model is described by the return that exceeds the riskless interest rate, the market beta, the company size, the investment and the profitability factors. In this study, the validity of the q-factor model was tested at the Borsa Istanbul using the time series regression method. According to the results of the GRS-F test, the Q-factor model was found to be valid in the Borsa Istanbul. The findings found that all of the four factors were priced at the Stock Exchange in July 2009 to June 2016 and that the Q-factor model could be used to predict the expected share return.
Asset pricing models are the subject that has attracted much attention in finance for years. Recently Hou, Xue and Zhang (2015) developed a new asset pricing model and denominated “q-factor model”. In the model, the excess returns of risk-free rate are explained by market beta, firm size, investment and profitability factors. In this study, the validity of q-factor model in Borsa Istanbul is investigated by using time series regression method. As per GRS-F test results, it is obtained that q-factor model is valid in Borsa Istanbul. The findings revealed that all four factors are priced between July 2009 and June 2016 in Borsa Istanbul and q-factor model can be used in predicting expected returns.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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