Araştırma Makalesi
Yıl 2017,
Cilt: 26 Sayı: 2, 189 - 204, 31.10.2017
Öz
Bu
çalışmada değer priminin, Borsa İstanbul’da Temmuz 2006- Haziran 2015 döneminde
hisse senedi getirilerine etkisi incelenmektedir. Bu amaçla Fama ve French
(1998)’in yaptıkları çalışmada kullandıkları iki faktör modeli kullanılmıştır.
Çalışmada değer primi değişkenini elde etmek için Defter Değeri/Piyasa Değeri,
Kazanç/Fiyat, Nakit Akımı/Fiyat ve Temettü Verimi oranları ölçüt olarak
kullanılmıştır. Bu
oranlara göre oluşturulan değer ve büyüme portföyleri kullanılarak her bir oran
için değer primi faktörü oluşturulmuştur. Yapılan analizler sonucunda değer ve
büyüme portföylerinin getirilerini açıklamada pazar risk primi değişkeninin, değer
primi değişkenlerine göre daha başarılı olduğu tespit edilmiştir. Söz konusu
oranlar içinde Kazanç/Fiyat ve Nakit Akımı/Fiyat oranına göre oluşturulan değer
primi faktörlerinin diğer oranlara göre daha anlamlı sonuçlar verdiği
gözlemlenmiştir. Ancak portföy getirilerinin bu faktörlerden negatif yönde
etkilendiği ortaya konulmuştur.
Anahtar Kelimeler
Değer Primi Etkisi Hisse Senedi Getirisi Değer ve Büyüme Hisse Senetleri
Kaynakça
- Arshanapalli, B., Coggin, T. D. ve Doukas, J. (1998). Multifactor asset pricing analysis of international value investment strategies. The Journal of Management, 24(4), 10-23. Banz, Rolf W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18. Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 32(3), 663-682. Basu, S. (1983). The relationship between earnings’ yield, market value and return for NYSE common stocks. Journal of Financial Economics, 12, 129-156. Bauman, W. S., Conover, C. M. ve Miller, R. E. (1998). Growth versus value and large cap versus small-cap stocks in international markets. Financial Analysts Journal, 54(2), 75-89. Blume, M. E. (1980). Stock returns and dividend yields: Some more evidence. The Review of Economics and Statistics, 62(4), 567-577. Canbaş, S. ve Arıoğlu, A. (2008). Testing the three factor model of fama and french: Evidence from Turkey. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(3), 79-92 Canbaş, S. ve Arıoğlu, A. (2009). Factors affecting the cross section of common stock returns: an applied analysis at ıse. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 18(1), 79-94. Chou, J., Das, P. K. ve Rao, U. (2011). The value premium and the January effect. Managerial Finance, 37(6), 517-536. Drew, Michael E. ve Veeraraghavan, M. (2002). A closer look at the size and value premium in emerging markets: evidence from the Kuala Lumpur Stock Exchange. Asian Economic Journal, 16(4), 337-351. Doğukanlı, H. ve Kandır, S. Y. (2002). Çoklu beta finansal varlıkları değerleme modeli ve Türkiye’de bir uygulama. İMKB Dergisi, 6(23), 1-14. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal Of Financial Economics, 33(1), 3-56. Fama, E. F. ve French, K. R. (1998). Value versus Growth: The international evidence. The Journal of Finance, 53(6),1975-1999. Fama, E. F. ve French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465. Fama, E. F. ve French, K. R. (1995). Size and book-to-market in earnings and returns. The Journal of Finance, 50(1), 131-155. Gonenc, H. ve Karan, B. (2003). Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the Istanbul Stock Exchange. Journal of International Financial Management and Accounting, 14(1), 1-25. Gujarati, D. N., & Porter, D. C. (2012). Temel ekonometri ( Ü. Şenesen ve G. G. Şenesen, Çev.). İstanbul: Literatür Yayınları. (Orijinal Baskı, 2009). Huang, Y., Yang, Jiawen. ve Zhang, Yongji. (2013). Value premium in the Chinese stock market: free lunch or paid lunch?. Applied Financial Economics, 23, 315-324. Kim, Daehwan. (2012). Value Premium across countries. The Journal of Portfolio Management, 38(4), 75-86. Lakonishok, J., Shleifer, A. ve Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578. Lewelen, J. (1999). The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics, 54, 5-43. Rasul, S. (2013). Performance of value and growth stocks: returns of stocks on Dhaka Stock Exchange. Indian Journal of Applied Research, 3(2), 205-208. Tarı, R. (2012). Ekonometri (göz.gez.bs.). Kocaeli: Umuttepe Yayınları. Uludağ, D. T. (2007). Value stocks vs. growth stocks:A comparison of the investment styles & an analysis of Istanbul Stock Exchange. Ankara: Capital Markets Board of Turkey, Publication Number: 23. Yadav, D. ve Gopal, C. (2013). A comparative study of the performance value vs. growth stocks during recent revival of Indian equity market. International Research Journal of Commerce Arts and Science , 4(3), 760-771 . Yen, J.Y., Sun, Q. ve Yan, Y. (2004). Value versus growth in Singapore. Journal of Multinational Financial Management, 14, 19-34.
Yıl 2017,
Cilt: 26 Sayı: 2, 189 - 204, 31.10.2017
Öz
Kaynakça
- Arshanapalli, B., Coggin, T. D. ve Doukas, J. (1998). Multifactor asset pricing analysis of international value investment strategies. The Journal of Management, 24(4), 10-23. Banz, Rolf W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18. Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 32(3), 663-682. Basu, S. (1983). The relationship between earnings’ yield, market value and return for NYSE common stocks. Journal of Financial Economics, 12, 129-156. Bauman, W. S., Conover, C. M. ve Miller, R. E. (1998). Growth versus value and large cap versus small-cap stocks in international markets. Financial Analysts Journal, 54(2), 75-89. Blume, M. E. (1980). Stock returns and dividend yields: Some more evidence. The Review of Economics and Statistics, 62(4), 567-577. Canbaş, S. ve Arıoğlu, A. (2008). Testing the three factor model of fama and french: Evidence from Turkey. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(3), 79-92 Canbaş, S. ve Arıoğlu, A. (2009). Factors affecting the cross section of common stock returns: an applied analysis at ıse. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 18(1), 79-94. Chou, J., Das, P. K. ve Rao, U. (2011). The value premium and the January effect. Managerial Finance, 37(6), 517-536. Drew, Michael E. ve Veeraraghavan, M. (2002). A closer look at the size and value premium in emerging markets: evidence from the Kuala Lumpur Stock Exchange. Asian Economic Journal, 16(4), 337-351. Doğukanlı, H. ve Kandır, S. Y. (2002). Çoklu beta finansal varlıkları değerleme modeli ve Türkiye’de bir uygulama. İMKB Dergisi, 6(23), 1-14. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal Of Financial Economics, 33(1), 3-56. Fama, E. F. ve French, K. R. (1998). Value versus Growth: The international evidence. The Journal of Finance, 53(6),1975-1999. Fama, E. F. ve French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465. Fama, E. F. ve French, K. R. (1995). Size and book-to-market in earnings and returns. The Journal of Finance, 50(1), 131-155. Gonenc, H. ve Karan, B. (2003). Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the Istanbul Stock Exchange. Journal of International Financial Management and Accounting, 14(1), 1-25. Gujarati, D. N., & Porter, D. C. (2012). Temel ekonometri ( Ü. Şenesen ve G. G. Şenesen, Çev.). İstanbul: Literatür Yayınları. (Orijinal Baskı, 2009). Huang, Y., Yang, Jiawen. ve Zhang, Yongji. (2013). Value premium in the Chinese stock market: free lunch or paid lunch?. Applied Financial Economics, 23, 315-324. Kim, Daehwan. (2012). Value Premium across countries. The Journal of Portfolio Management, 38(4), 75-86. Lakonishok, J., Shleifer, A. ve Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578. Lewelen, J. (1999). The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics, 54, 5-43. Rasul, S. (2013). Performance of value and growth stocks: returns of stocks on Dhaka Stock Exchange. Indian Journal of Applied Research, 3(2), 205-208. Tarı, R. (2012). Ekonometri (göz.gez.bs.). Kocaeli: Umuttepe Yayınları. Uludağ, D. T. (2007). Value stocks vs. growth stocks:A comparison of the investment styles & an analysis of Istanbul Stock Exchange. Ankara: Capital Markets Board of Turkey, Publication Number: 23. Yadav, D. ve Gopal, C. (2013). A comparative study of the performance value vs. growth stocks during recent revival of Indian equity market. International Research Journal of Commerce Arts and Science , 4(3), 760-771 . Yen, J.Y., Sun, Q. ve Yan, Y. (2004). Value versus growth in Singapore. Journal of Multinational Financial Management, 14, 19-34.
Toplam 1 adet kaynakça vardır.
Ayrıntılar
| Bölüm | Makaleler |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 31 Ekim 2017 |
| Gönderilme Tarihi | 8 Kasım 2017 |
| Yayımlandığı Sayı | Yıl 2017 Cilt: 26 Sayı: 2 |
