Finansal varlıkları fiyatlama modeli ve İMKB' de bir uygulama.
Küçük Resim Yok
Tarih
2006
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Niğde Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Çalışmada, finansal varlıkların fiyatlandırılmasında kullanılan iki temel modelden biriolan Finansal VarlıklarıFiyatlama Modeli (FVFM) incelenmektedir. Yatırımcılar herzaman risklerle karşıkarşıya olmaktadırlar. Bu risklerden; birincisi sistematik olmayanrisk ve ikincisi ise sistematik risktir. Sistematik olmayan risklerin portföyçeşitlendirmesi ile azaltılmasımümkündür. Çeşitlendirme ile azaltılamayan sistematikriskin ise, ölçüsü olan betalarla hesaplanarak risk-getiri ilişkisinin tespit edilmesigerektiği belirtilmektedir. Modelde yalnızca teorik olarak risk ve beklenen getiri oranıilişkisi araştırılmamaktadır, aynızamanda ileri sürülen Finansal VarlıklarıFiyatlamaModelinin ampirik testleri de ayrıntılıolarak incelenmektedir. Çalışmanın uygulamakısmında Finansal VarlıklarıFiyatlama Modeli, İMKB Ulusal-100 endeksine girenhisse senetlerinin son 10 yılık ortalama yıllık getirileri ile beta katsayılarıarasındakiilişki basit regresyon yöntemi ile test edilmişve elde edilen bulgular, 1996-2005 yıllarıarasında İMKB Ulusal-100 endeksine giren hisse senetlerinde modelin geçerli olduğusonucunu vermiştir.
In this study, one of the two primary models used to price financial assets namelyCapital Asset Pricing Model (CAPM), is analysed and discussed. The investors alwaysface with different kinds of risks that can be classified as systematic and unsystematicrisks. Systematic risk describes the likelihood of the collapse of a financial system,such as a general stock market crash or a joint breakdown of the banking system. Assuch, it is a type of "aggregate risk" as opposed to "idiosyncratic risk", which is specificto individual stocks or firms. Systematic risk is a type at risk that cannot be reducedthrough diversification. Also is called market risk. Through CAPM, a model wasformed and the relationship between risk and expected rate of return was analysed. Inthis study, data was collected from İstanbul Stock Exchange over a period of ten years,1996-2005. The relationship between stock returns and beta coefficients wastestedusing simple regression model. Empirical findings indicate that CAPM the holds forstocks in ISE 100 Index during the sample period.
In this study, one of the two primary models used to price financial assets namelyCapital Asset Pricing Model (CAPM), is analysed and discussed. The investors alwaysface with different kinds of risks that can be classified as systematic and unsystematicrisks. Systematic risk describes the likelihood of the collapse of a financial system,such as a general stock market crash or a joint breakdown of the banking system. Assuch, it is a type of "aggregate risk" as opposed to "idiosyncratic risk", which is specificto individual stocks or firms. Systematic risk is a type at risk that cannot be reducedthrough diversification. Also is called market risk. Through CAPM, a model wasformed and the relationship between risk and expected rate of return was analysed. Inthis study, data was collected from İstanbul Stock Exchange over a period of ten years,1996-2005. The relationship between stock returns and beta coefficients wastestedusing simple regression model. Empirical findings indicate that CAPM the holds forstocks in ISE 100 Index during the sample period.
Açıklama
Sosyal Bilimler Enstitüsü, İşletme Ana Bilim Dalı
Anahtar Kelimeler
İşletme, Business Administration
