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Fama-French üç faktör varlık fiyatlama modelinin İMKB’de uygulanması

Author

Listed:
  • M.Mete DOĞANAY

    (Çankaya Üniversitesi)

Abstract

Bu çalışmada Fama-French Üç Faktör Varlık Fiyatlama Modelinin İstanbul Menkul Kıymetler Borsası’nda uygulaması yapılmıştır. Çalışma, Temmuz 1995-Haziran 2005 tarihleri arasındaki 120 aylık dönemi kapsamıştır. Çalışmaya her yıl, İMKB’de işlem gören, menkul kıymet yatırım ortaklıkları dışında, ilgili yılın Haziran sonu itibariyle özsermayesi negatif olmayan bütün hisse senetleri dahil edilmiştir. Analizlerin sonucunda piyasa riskinin (piyasa faktörü), piyasa değerinin ve Piyasa Değeri/Defter Değeri oranının hisse senedi getirilerini etkileyen ortak (sistematik) risk faktörleri olduğu ve bu riskleri taşıyan yatırımcıların yüksek getiri elde ettiği, başka bir ifade ile bu risk faktörlerinin fiyatlandırıldığı tespit edilmiştir.

Suggested Citation

  • M.Mete DOĞANAY, 2006. "Fama-French üç faktör varlık fiyatlama modelinin İMKB’de uygulanması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 21(249), pages 61-71.
    • Handle: RePEc:iif:iifjrn:v:21:y:2006:i:249:p:61-71
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    More about this item

    Keywords

    varlık fiyatlama; fama-french modeli; sermaye piyasaları.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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