Firma büyüklüğü ve hisse senedi getirileri arasındaki ilişkinin Fama French Beş Faktör Modeli ile incelenmesi: Borsa İstanbul üzerine bir uygulama
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Dosyalar
Tarih
2022
Yazarlar
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Yayıncı
Hatay Mustafa Kemal Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Bu çalışmanın amacı, Temmuz 2005-Haziran 2021 tarihleri arasındaki 192 aylık dönemde Borsa İstanbul'da işlem gören hisse senetlerinin getirilerinin firma büyüklüğü ile ilişkisini Fama French Beş Faktörlü Varlık Fiyatlama Modeli ile test ederek modelin geçerliliğini incelemektir. Borsa İstanbul'da işlem gören hisse senetleri pazar faktörü, büyüklük faktörü, değer faktörü, karlılık faktörü ve yatırım faktörü değişkenleri temel alınarak analiz edilmiştir. Firma büyüklüğü ile hisse senedi getirileri arasındaki ilişki, oluşturulan portföylerin aylık ortalama getirilerinden yararlanılarak incelenmiştir. Analizde Borsa İstanbul'da işlem gören mali sektör hisseleri kullanılmamıştır. Araştırmada yöntem olarak zaman serileri analizi kullanılmıştır. Analiz, firma büyüklüğü temel alınarak oluşturulan toplam 18 farklı kesişim portföyünün risksiz faiz oranını aşan getirileri kullanılarak yapılmıştır. Yapılan analizde regresyon katsayıları, t-istatistik değerleri, olasılık değerleri, R2 ve düzeltilmiş R2 değerleri ile Durbin-Watson test istatistikleri değerlendirilmiştir. Fama French Beş Faktörlü Varlık Fiyatlama Modeli ile Borsa İstanbul için yapılan analizde, firma büyüklüğü ile hisse senedi getirileri arasında anlamlı sonuçlar elde edilmiştir.
The aim of this study is to examine the validity of the model by testing the relationship between the returns of the shares traded on Borsa İstanbul with the size of the company with the Fama French Five-Factor Asset Pricing Model in the 192-month period between July 2005 and June 2021. Stocks traded on Borsa Istanbul were analyzed on the basis of market factor, size factor, value factor, profitability factor and investment factor variables. The relationship between firm size and stock returns was examined by using the average monthly returns of the portfolios created. Financial sector shares traded on Borsa Istanbul were not used in the analysis. Time series analysis was used as a method in the study. The analysis was conducted using the risk-free interest rate of a total of 18 different intersection portfolios created based on firm size . The returns of these created portfolios exceeding the risk-free interest rate were analyzed by using them. In the analysis, regression coefficients, t-statistical values, probability values, R2 and corrected R2 values and Durbin-Watson test statistics were evaluated. In the analysis conducted for Borsa İstanbul with the Fama French Five-Factor Asset Pricing Model, significant results were obtained between firm size and stock returns.
The aim of this study is to examine the validity of the model by testing the relationship between the returns of the shares traded on Borsa İstanbul with the size of the company with the Fama French Five-Factor Asset Pricing Model in the 192-month period between July 2005 and June 2021. Stocks traded on Borsa Istanbul were analyzed on the basis of market factor, size factor, value factor, profitability factor and investment factor variables. The relationship between firm size and stock returns was examined by using the average monthly returns of the portfolios created. Financial sector shares traded on Borsa Istanbul were not used in the analysis. Time series analysis was used as a method in the study. The analysis was conducted using the risk-free interest rate of a total of 18 different intersection portfolios created based on firm size . The returns of these created portfolios exceeding the risk-free interest rate were analyzed by using them. In the analysis, regression coefficients, t-statistical values, probability values, R2 and corrected R2 values and Durbin-Watson test statistics were evaluated. In the analysis conducted for Borsa İstanbul with the Fama French Five-Factor Asset Pricing Model, significant results were obtained between firm size and stock returns.
Açıklama
Anahtar Kelimeler
İşletme, Business Administration
