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Sharpe (1964), Lintner (1965) ve Mossin (1966) tarafından ileri sürülen finansal varlık fiyatlama modeli (CAPM), Carhart (1997) tarafından sunulan 4 faktör varlık fiyatlama modeli, Fama – French (1993 ve 2015) tarafından ortaya konan 3 faktör varlık fiyatlama modeli ve 5 faktör varlık fiyatlama modeli risksiz getiri oranı temel alınarak geliştirilmiştir. Literatürde risksiz getiri oranı olarak ise faiz getirili bir finansal varlık olan devlet tahvillerinin ele alındığı görülmektedir. Bu kapsamda varlık fiyatlandırma modellerinin faizsizlik prensibi ile hareket etmeyi planlayan İslami finansal varlık yatırımcıları tarafından uygulanması mümkün olmamakla beraber, faizsiz bir finansal varlık fiyatlama modelinin geliştirilmesini kaçınılmaz kılmıştır.
The financial asset pricing model (CAPM) proposed by Sharpe (1964), Lintner (1965) and Mossin (1966) was developed on the basis of the 4 factor asset pricing model presented by Carhart (1997) and the 3 factor asset pricing model presented by Fama - French (1993 and 2015) and the 5 factor asset pricing model on the basis of the risk-free return rate. In literature, the rate of non-risk return is considered to be a profitable financial asset of the state bonds. While it is not possible to implement asset pricing models by Islamic financial asset investors who plan to act on the principle of interest, it has made the development of a non-profit financial asset pricing model inevitable.
In this study, the validity of the five-factor model in developing and underdeveloped countries was investigated in 2012-2020, as well as the validity of the model to be created by using the inflation rate instead of the risk-free interest rate, and the answers to the questions of its comparison with the original model. In seeking an answer to this question, Pakistan, Malaysia, Indonesia and Turkey were selected as the countries with interest-sensitive investors. In the study, the Kuala Lumpur Composite Index (KLCI) for Malaysia, the Jakarta Islamic Index (JKII) for Indonesia, the Karachi Meezan Index (KMI) for Pakistan and the Participation Index (KATLM) for Turkey were selected for the study and analysis was carried out on the top 30 companies in the index.
Alan : İlahiyat; Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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