Alternatif Varlık Fiyatlandırma Modelleri ve Borsa İstanbul'da Uygulama

The aim of this study is to test whether the portfolio excess return can be explained by independent variables in asset pricing models. Asset pricing model has been used with the Capital Asset Pricing Model and the Fama French Three Factor Pricing Model. In the regression analysis with the time seri...

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Bibliographic Details
Published in:	Celal Bayar Üniversitesi sosyal bilimler dergisi Vol. 18; no. Sp. Issue; pp. 193 - 206
Main Authors:	Kalaycı, Şeref, Kutlu, Melih
Format:	Journal Article
Language:	Turkish
Published:	Celal Bayar University Social Sciences Institute 2020 Celal Bayar Üniversitesi Sosyal Bilimler Enstitüsü
Subjects:	Financial Markets Methodology and research technology Asset Pricing Borsa İstanbul 100 Index Portfolio Excess Return
Online Access:	Get full text
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Summary:	The aim of this study is to test whether the portfolio excess return can be explained by independent variables in asset pricing models. Asset pricing model has been used with the Capital Asset Pricing Model and the Fama French Three Factor Pricing Model. In the regression analysis with the time series, there was a positive and significant relationship between the market risk premium and the portfolio excess return in the Capital Asset Pricing Model. In the Fama French Three-Factor Pricing Model, there is a positive and significant relationship between market risk premium and portfolio excess return and between firm size and portfolio excess return.
ISSN:	1304-4796 2146-2844