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q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi

The Validity Test of q-Factor Model in Borsa Istanbul

Nesrin Özkan(ULUDAĞ ÜNİVERSİTESİ)0000-0002-8674-5518
Sayfa
441–456
Yayın Tarihi
2019-08-30
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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.

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:Varlık fiyatlama modelleri, finans literatüründe yıllardır ilgi çeken bir konu olmuştur.
📊
Temel Bulgular & Veri:Son dönemde, Hou, Xue ve Zhang (2015) tarafından “q-faktör model” olarak adlandırılan yeni bir varlık fiyatlama modeli geliştirilmiştir.
💡
Sonuç & Katkı: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.
🔬Tür:Literatür & Derleme Çalışması
📍Kapsam:2015 Verileri
⚙️Değişkenler:q-Faktör Model · Varlık Fiyatlama · Getiriler

Özet

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.

Abstract

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.

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Bu Makaleye Atıf Yap

Özkan, N. (2019). q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 14 Sayı: 2, 441–456. https://doi.org/10.17153/oguiibf.489738

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Kaynakça (53)

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  38. Fama, Eugene F.; French, Kenneth R. (1996), "Multifactor Explanations of Asset Pricing Anomalies", The Journal of Finance, Vol. 51 No. 1: 55-84.
  39. Fama, Eugene F.; French, Kenneth R. (2004), "The Capital Asset Pricing Model: Theory and Evidence", The Journal of Economic Perspectives, Vol. 18 No. 3: 25-46.
  40. Fama, Eugene F.; French, Kenneth R. (2006), "Profitability, Investment and Average Returns", Journal of Financial Economics, Vol. 82 No.3: 491-518.
  41. Fama, Eugene F.; French, Kenneth R. (2008), "Dissecting Anomalies", The Journal of Finance, Vol. 63 No.4: 1653-1678.
  42. Fama, Eugene F.; French, Kenneth R. (2015), "A Five-Factor Asset Pricing Model", Journal of Financial Economics, Vol.116 No.1: 1-22.
  43. Fama, Eugene F.; French, Kenneth R. (2017), "International Tests of a Five-Factor Asset Pricing Model", Journal of Financial Economics, Vol.123 No.3: 441-463.
  44. Gibbons, Michael R.; Ross, Stephen; Shanken, Jay (1989), “A Test of the Efficiency of a Given Portfolio”, Econometrica, Vol. 57: 1121-1152.
  45. Gökgöz, Fazıl (2008), "Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasında Uygulanabilirliği", Ankara Üniversitesi SBF Dergisi, Vol. 63 No.2: 44-64.
  46. Harshita, Singh S.; Yadav, Surendra S. (2015), “Indian Stock Market and The Asset Pricing Models”, Procedia Economics and Finance, Vol. 30: 294-304.
  47. Hou, Kewei; Xue, Chen; Zhang, Lu (2015), "Digesting Anomalies: An Investment Approach",Review of Financial Studies, Vol.28 No.3: 650-705.
  48. Hou, Kewei; Xue, Chen; Zhang, Lu (2016), "A Comparison of New Factor Models", Fisher College of Business Working Paper.
  49. Merton, Robert C. (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, Vol. 41 No.5: 867-887.
  50. Novy-Marx, Robert (2013), "The Other Side of Value: The Gross Profitability Premium", Journal of Financial Economics, Vol.108 No. 1: 1-28.
  51. Racicot, François-Eric, Theoret, Raymond (2015), "The q-factor Model and the Redundancy of the Value Factor: An Application to Hedge Fund", University of Ottawa, Working Paper, WP.2015.04.
  52. Roll, Richard (1977), "A Critique of the Asset Pricing Theory's Tests Part I: On Past and Potential Testability of the Theory", Journal of Financial Economics, Vol.4 No.2: 129-176.
  53. White, Halbert (1990)“ A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroscedasticity”, Econometrica, Vol. 48: 817-838.