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

Listed author(s):
  • M.Mete DOĞANAY

    (Çankaya Üniversitesi)

Registered author(s):

    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.

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    Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

    Volume (Year): 21 (2006)
    Issue (Month): 249 ()
    Pages: 61-71

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    Handle: RePEc:iif:iifjrn:v:21:y:2006:i:249:p:61-71
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