Finansal Varl?klar? Fiyatlama Modelinin Analizi
Varsay?mlar, Bulgular ve Hakk?ndaki Ele?tiriler
DOI:
https://doi.org/10.20525/ijfbs.v5i2.126Keywords:
FVFM, portföy teorisi, beta katsayısı, pazar portföyü, risksiz faiz oranıAbstract
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
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.
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
How to Cite
Issue
Section
License
Copyright (c) 2016 International Journal of Finance & Banking Studies (2147-4486)
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Authors contributing to IJFBS agree to publish their articles under the Creative Commons Attribution- 4.0 license, allowing third parties to share their work (copy, distribute, transmit) and to adapt it, under the condition that the authors are given credit, that the work is not used for commercial purposes, and that in the event of reuse or distribution, the terms of this license are made clear. Authors retain copyright of their work, with first publication rights granted to IJFBS. However, authors are required to transfer copyrights associated with commercial use to the Publisher. The authors agree to the terms of this Copyright Notice, which will apply to this submission if and when it is published by this journal
Submission of an article implies that the work described has not been published previously( except in the form of an abstract or as part of a published lecture or academic thesis), that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, it will not be published elsewhere in the same form, in English or in any other languages, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.
