Finansal Varl?klar? Fiyatlama Modelinin Analizi

Varsay?mlar, Bulgular ve Hakk?ndaki Ele?tiriler

Authors

  • Hakan Bilir

DOI:

https://doi.org/10.20525/ijfbs.v5i2.126

Keywords:

FVFM, portföy teorisi, beta katsayısı, pazar portföyü, risksiz faiz oranı

Abstract

Yat?r?m f?rsatlar?n?n de?erlendirilmesi süreci beklenen getiri ve riskin ölçümüne ba?l?d?r. Finansal Varl?klar? Fiyatlama Modeli (FVFM), çok uzun y?llard?r modern finans teorisinin temel ta?lar?ndan bir tanesini olu?turmaktad?r. Model, varl?klar?n beklenen getirisi ve sistematik riski aras?ndaki basit do?rusal ili?kiyi ortaya koymaktad?r. Model halen, sermaye maliyetinin hesaplanmas?, portföy yönetiminin performans?n?n ölçülmesi ve yat?r?mlar?n de?erlendirilmesi amac?yla kullan?lmaktad?r. FVFM’in çekicili?i, beklenen getiri ve risk aras?ndaki ili?kinin ölçümlenmesi konusundaki güçlü tahmin yetene?inden gelmektedir. Bununla birlikte modelin bu yetene?i 30 y?l? a?k?n bir süredir akademisyenler ve uygulamac?lar taraf?ndan sorgulanmaktad?r. Tart??malar büyük ölçüde ampirik düzeyde gerçekle?tirilmektedir. FVFM’in ampirik düzeydeki problemleri, çok say?da basitle?tirilmi? varsay?m? içermesi nedeniyle teorik hatalard?r. Çok say?daki gerçekçi olmayan varsay?m modeli pratik olarak kullan??s?z hale getirmektedir. Model ile ilgili temel ele?tiriler ise risksiz faiz oran?, pazar portföyü ve beta katsay? üzerinde yo?unla?maktad?r. Bu çal??mada, modelin varsay?mlar? ve temel bulgular?n?n yan? s?ra uygulamas?na yönelik yap?lan ele?tiriler ele al?nacakt?r.

Downloads

Download data is not yet available.

References

Ahmadinia, Hamed, Reza Raei ve Amaneh Hasbaei (2001). A Study on Developing of Asset Pricing Models, International Business Research, Vol. 4, No.4, October, www.ccsenet.org/ibr

Alpha Advisor (2012). A Discussion of Beta: Its Limitations and Usefulness, Alpha System, Ken Stern & Associates, Fourt Quarter.

http://www.kenstern.com/wp-content/uploads/2012/03/AlphaAdvisor-4Q2012.pdf

Brigham, F. Eugene (1995). Fundamentals of Financial Management, Seventh Edition, The Dryden Press, USA

Copeland, E. Thomas And Weston J. Fred (1992). Financial Theory and Corporate Policy, Third Edition, Addison – Wesley Publishing Company, Inc.

Elbannan, Mona A (2015). The Capital Asset Pricing Model: An Overview of the Theory, International Journal of Economics and Finance, Canadian Center of Science and Education, Vol.7, No.1., doi:10.5539/ijef.v7n1p216

Estrada, Javier (2002). Systematic Risk in Emerging Markets: D-CAPM, Emerging Markets Review, 3, 365 – 379. www.elsevier.com/locate/econbase

Fama, Eugene F. And French, Kenneth R. (2004). The Capital Asset Pricing Model: Theory and Evidence, Journal of Economic Perspectives, V.18, Number 3, Summer, 25-46.

http://www1.american.edu/academic.depts/ksb/finance_realestate/mrobe/Library/FVFM_Fama_French_JEP04.pdf

Finch, Howard J, Fraser, Steve P. and Scheff, Steven R. (2011). Teaching The CAPM in the Introductory Finance Course, Journal of Economics and Finance Education, Volume 10, Number 1, Summer.

http://www.economics-finance.org/jefe/fin/10%20-20Teaching%20the%20FVFM.pdf

Gentzoglanis, Anastassios (2004). Regulatory Risk, Cost of Capital and Investment Decisions in the Telecommunications Industry: International Comparisons, In ITS-15th Biennial Conference, September 4 – 7, Berlin.

http://userpage.fu-berlin.de/~jmueller/its/conf/berlin04/Papers/Anastassios.pdf

Guo, Hui (2004). A Rational Pricing Explanation for the Failure of the FVFM, Federal Reserve Bank of St. Louis Review, May/June 2004, 86 (3), 23 – 33. https://research.stlouisfed.org/publications/review/2004/05/01/a-rational-pricing-explanation-for-the-failure-of-FVFM/

King, Michael R (2009). The Cost of Equity for Global Banks: a CAPM Perspective From 1990 to 2009, BIS Quartely Review, September, 59 – 73.

http://www.bis.org/publ/qtrpdf/r_qt0909g.pdf

Köseoğlu, Sinem Derindere ve Mercangöz, Burcu Adıgüzel (2013). Testing The Validity of Standart and Zero Beta Capital Asset Pricing Model in Istanbul Stock Exchange, International Journal of Business, Humanities and Technology, Vol. 3, No:7, September.

http://www.ijbhtnet.com/journals/Vol_3_No_7_September_2013/8.pdf

Jagannathan, Ravi and Mcgrattan, E. R. (1995). The CAPM Debate, Federal Reserve Bank of Minneapolis, Quarterly Review, V. 19, N. 4, Fall.

https://www.minneapolisfed.org/research/qr/qr1941.pdf

Markowitz, Harry (1952). Portfolio Selection, The Journal of Finance, V.7., No.1, March, 77-91.

https://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf

Milionis, Alexandros E. and DIMITRA K. Patsouri (2011). A Conditional CAPM; Implications For The Estimation Of Systematic Risk, Working Paper, 131, Bank of Greece, Athens.

http://www.emeraldinsight.com/doi/abs/10.1108/15265941111158488

Moosa, Imad A (2011). The Failure of Neoclassical Financial Economics: CAPM and its Pillars as an Illustration, Journal Article, 33, The Capco Institute Journal of Financial Transformation.

http://www.capco.com/uploads/articlefiles/292/file_0_1420618741.pdf

Roll, Richard and Ross, Stephen A. (1980). An Emprical Investigation of the Arbitrage Pricing Theory, The Journal of Finance, Vol. 35, No.5 (December), 1073 -1103

http://rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/Roll_Ross_JoF_1980.pdf

Sandberg, Petter (2005). How Modern Is Modern Portfolio Theory?, Master of Science Thesis Number 304, Royal Institute of Technology, StockholSigman, Karl (2005); Capital Asset Pricing Model,

http://www.columbia.edu/~ks20/FE-Notes/4700-07-Notes-FVFM.pdf

Downloads

Published

2016-07-21

How to Cite

Bilir, H. (2016). Finansal Varl?klar? Fiyatlama Modelinin Analizi: Varsay?mlar, Bulgular ve Hakk?ndaki Ele?tiriler. International Journal of Finance & Banking Studies (2147-4486), 5(2), 58–72. https://doi.org/10.20525/ijfbs.v5i2.126