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Journals / Optimum Ekonomi ve Yönetim Bilimleri Dergisi / 2023 / Cilt: 10 Sayı: 2

Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model

Koşullu Varlık Fiyatlama Modeli Kullanarak Hisse Senedi Getirilerinde Kesitsel Varyasyonun Anlaşılması

Işıl CANDEMIR
Pages
395–424
Publication Date
2023-07-14
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Finally, the results are sensitive to the methodology employed for portfolio construction.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:A common practice in the literature examining Turkish equity premia involves the application of time-invariant models that assume the constancy of parameters across time.
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Key Findings & Data:The present study examines whether the cross-sectional variability among equity returns can be explained by market, size, value and momentum factors and whether the parameters are time varying, utilizing a conditional asset pricing model formulated by Ferson and Harvey (1999).
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Conclusion & Impact:Finally, the results are sensitive to the methodology employed for portfolio construction.
🔬Design:Modeling & Simulation
📍Scope:2021 Verileri
⚙️Variables:Hisse Senedi Risk Primi · Koşullu Varlık Fiyatlama Modellleri · Gelişmekte Olan Piyasalar

Abstract

A common practice in the literature examining Turkish equity premia involves the application of time-invariant models that assume the constancy of parameters across time. The present study examines whether the cross-sectional variability among equity returns can be explained by market, size, value and momentum factors and whether the parameters are time varying, utilizing a conditional asset pricing model formulated by Ferson and Harvey (1999). The study yields four main findings. Firstly, I find that the market dividend yield has a positive and significant effect on portfolio returns over the period from July 1989 to May 2021. Secondly, I reject the time-invariance in betas, while not rejecting it for alpha. Thirdly, none of the factors I examined have been priced, indicating that the four-asset pricing model is not sufficient to explain time-varying premia. Finally, the results are sensitive to the methodology employed for portfolio construction.

Özet

Türk hisse senetleri üzerine yapılan çalışmalarda genel olarak, parametrelerin zaman içerisinde değişmediğini varsayan modeller kullanılmaktadır. Bu çalışma, Ferson ve Harvey'in (1999) geliştirdiği koşullu varlık fiyatlama modelini kullanarak, hisse senedi getirileri arasındaki kesitsel değişkenliğin piyasa, büyüklük, değer ve momentum faktörleri tarafından açıklanabilirliğini ve parametrelerin zamanla değişip değişmediğini incelemektedir. Çalışma dört ana bulgu ortaya koymaktadır. İlk olarak, Temmuz 1989'dan Mayıs 2021'e kadar olan dönemde, piyasa temettü getirisinin, portföy getirileri üzerinde pozitif ve anlamlı bir etkiye sahip olduğu saptandı. İkinci olarak, betaların zaman içerisinde sabit kaldığı hipotezi reddedilirken, alfaların zaman içerisinde sabit kaldığı hipotezi reddedilmedi. Üçüncü olarak, incelenen faktörlerin hiçbirinin fiyatlandırılmadığı belirlendi, bu da dört varlık fiyatlandırma modelinin zamanla değişen primleri açıklamak için yeterli olmadığını göstermektedir. Son olarak, sonuçların, portföy oluşturma için kullanılan yönteme duyarlı olduğu tespit edildi.

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Cite This Article

CANDEMIR, I. (2023). Understanding Cross-Sectional Variability in Equity Returns Using a Conditional Asset Pricing Model. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, Cilt: 10 Sayı: 2, 395–424. https://ajindex.com/articles/955827

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