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Finansal Varliklari Fiyatlama Modelinin Analizi: Varsayimlar, Bulgular ve Hakkindaki Elestiriler

Author

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  • Hakan Bilir

    (PhD., Bahcesehir Universitesi, Sosyal Bilimler Enstitusu)

Abstract

Yatirim firsatlarinin degerlendirilmesi sureci beklenen getiri ve riskin olcumune baglidir. Finansal Varlikları Fiyatlama Modeli (FVFM), cok uzun yillardir modern finans teorisinin temel taslarindan bir tanesini olusturmaktadir. Model, varliklarin beklenen getirisi ve sistematik riski arasindaki basit dogrusal iliskiyi ortaya koymaktadir. Model halen, sermaye maliyetinin hesaplanmasi, portfoy yonetiminin performansinin olculmesi ve yatirimlarin degerlendirilmesi amaciyla kullanilmaktadir. FVFM’in cekiciligi, beklenen getiri ve risk arasindaki iliskinin olcumlenmesi konusundaki guclu tahmin yeteneginden gelmektedir. Bununla birlikte modelin bu yetenegi 30 yili askin bir suredir akademisyenler ve uygulamacilar tarafindan sorgulanmaktadir. Tartismalar buyuk olcude ampirik duzeyde gerceklestirilmektedir. FVFM’in ampirik duzeydeki problemleri, cok sayida basitlestirilmis varsayimi icermesi nedeniyle teorik hatalardir. Cok sayidaki gercekci olmayan varsayim modeli pratik olarak kullanissiz hale getirmektedir. Modelle ilgili temel elestiriler ise risksiz faiz orani, pazar portfoyu ve beta katsayi uzerinde yogunlasmaktadir. Bu calismada, modelin varsayimlari ve temel bulgularinin yani sira uygulamasina yonelik yapilan elestiriler ele alinacaktir.

Suggested Citation

  • Hakan Bilir, 2016. "Finansal Varliklari Fiyatlama Modelinin Analizi: Varsayimlar, Bulgular ve Hakkindaki Elestiriler," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(2), pages 58-72, April.
    • Handle: RePEc:rbs:ijfbss:v:5:y:2016:i:2:p:58-72
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