HİSSE SENEDİ PRİMİ BULMACASININ ÇÖZÜMÜ

Year 2022, , 612 - 631, 31.12.2022

Atilla Aras

https://doi.org/10.29106/fesa.1124492

Abstract

Bu çalışma, hisse senedi primi bulmacasının çözümünü sunmaktadır. Yeni model, daha önce yapılan çalışmalarda yatırımcıların finansal piyasalarda riske yönelik davranışlarına yer verilerek geliştirilmiştir. Yeni test edilen bu modele dair hesaplamalar, sübjektif zaman iskonto değerinin 0.99 olduğu varsayıldığında, göreceli riskten kaçınma katsayısının değerinin 1.033526 olduğunu göstermektedir Ayrıca, risksiz varlıklara yatırım yapan yatırımcılar belirsiz bir servet değeri için negatif fayda tahsis ederken, hisse senetlerine yatırım yapanlar, yatırımcıların riske yönelik davranışlarının belirlendiği yıl olarak otomatik olarak seçilen 1977'de belirsiz bir servet değeri için pozitif fayda tahsis etmektedirler. Sözü edilen yukarıdaki değerler, mevcut ampirik çalışmalarla uyumlu olduğundan; hisse senedi primi bulmacasına çözüm sağlayan yeni geliştirilmiş modelin geçerliliğini doğrulamaktadırlar.

Keywords

Modelin Yeterlilik Faktörü, Göreceli Riskten Kaçınma Katsayısı, Hisse Senedi Primi Bulmacası

SOLUTION TO THE EQUITY PREMIUM PUZZLE

Abstract

This study provides the solution to the equity premium puzzle. The new model was developed by including the behavior of investors toward risk in financial markets in prior studies. The calculations of this newly tested model show that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time discount factor to be 0.99. Furthermore, investors investing in risk-free asset allocate negative utility for an uncertain wealth value, while those investing in equity allocate positive utility for an uncertain wealth value in 1977 that is automatically selected as the year for the determination of the behavior of investors toward risk. Since the above mentioned values are compatible with the existing empirical studies, they confirm the validity of the newly derived model that provides the solution to the equity premium puzzle.

Keywords

Sufficiency Factor of the Model, Coefficient of Relative Risk Aversion, Equity Premium Puzzle

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