PORTFÖY SEÇİMİNDE AŞAĞI YÖNLÜ RİSKLERİN KULLANIMI: BIST30 ENDEKSİNDEKİ PAYLAR ÜZERİNE BİR UYGULAMA

Year 2021, Volume: 6 Issue: 2, 332 - 356, 23.12.2021

Mehmet Emin Yıldız

https://doi.org/10.54452/jrb.947824

Abstract

Yatırımcıların kayıplara kazançlardan daha fazla önem vermesi ve getiri serilerindeki asimetrik dağılım, portföy teorisinin ortalama-varyans yaklaşımından ortalama-semivaryans yaklaşımına evrilmesine neden olmuştur. Gelişmekte olan piyasalarda, pay getirilerindeki asimetrik eğilim de aşağı yönlü risk ölçütlerinin kullanımını desteklemektedir. Çalışmanın nihai amacı portföy seçiminde ortalama-varyans yaklaşımının, ortalama-semivaryans yaklaşımından farklı sonuçlara neden olup olmadığını araştırmaktır. Bu doğrultuda BIST30 endeksinde yer alan payların, 2016-2020 yılları arasındaki aylık getirileri kullanılarak Tek Endeksli Piyasa Modeli ile betaları ve aşağı yönlü betaları hesaplanmıştır. Daha sonra CAPM ve D-CAPM uygulanarak elde edilen istenen getiriler, gerçekleşen getiriler ile karşılaştırılmış ve pozitif/negatif alfalı paylar belirlenmiştir. Çalışma sonucunda, betalar ve aşağı yönlü betalar arasındaki fark istatistiksel olarak anlamlı olmasına rağmen hem CAPM hem de D-CAPM kullanılarak portföye alınması veya portföyden çıkarılması gereken payların aynı olduğu ortaya konulmuştur. Diğer bir sonuç da ortalama-semivaryans yaklaşımı kullanılarak yapılan çeşitlendirmenin, ortalama-varyans yaklaşımı kullanarak yapılan çeşitlendirmeden daha başarılı olmadığıdır. Çalışmanın sonuçları D-CAPM’in, gelişmekte olan bir piyasa olarak Borsa İstanbul’da, CAPM’den daha yüksek istenen getiriler sunması bakımından da önemlidir.

Keywords

Aşağı yönlü beta, D-CAPM, semivaryans, modern portföy teorisi, finansal varlık Pazar doğrusu

UTILIZATION OF DOWNSIDE RISK MEASURES IN PORTFOLIO SELECTION: EVIDENCE FROM BIST30 INDEX

Abstract

Portfolio management has evolved from the mean-variance approach to the mean-semivariance approach because the investors have the tendency to prefer avoiding losses to acquiring equivalent gains and the distribution of return series tends to be non-symmetric. The non-symmetric tendency of stock returns in Emerging Markets also supports the utilization of downside risk measures. The ultimate purpose of the study is to analyze whether the mean-variance approach in portfolio selection causes different results from the mean-semivariance approach. For this purpose, betas and downside betas were obtained with the Single Index Market Model by using the monthly returns of the stocks within the scope of the BIST30 index between the years 2016-2020. Then, the required returns obtained by applying CAPM and D-CAPM were compared with the realized returns, and the stocks with positive and negative alpha were determined. Although there is a statistically significant difference between betas and downside betas, it is one of the most important results of the study that both CAPM and D-CAPM cause similar results in portfolio selection. Another result is that diversification using the mean-semivariance approach is no more successful than diversification using the mean-variance approach. The results of the study are also important in that D-CAPM generates higher required returns than CAPM in Borsa Istanbul as an Emerging Market.

Keywords

downside beta, d-capm, semivariance, modern portfolio theory, security market line

References

• Ali, H. (2019). Does downside risk matter more in asset pricing? Evidence from China. Emerging Markets Review, 39, 154-174.
• Alles, L., & Murray, L. (2008). Downside risk in emerging markets. European financial management association annual meetings. Athens, June, 25-28.
• Arrow, K.J. (1971). Essays in the Theory of Risk-Bearing. Chicago: Markham Publishing Company
• Ang, A., Chen, J., & Xing, Y. (2006). Downside Risk. The Review of Financial Studies, 19(4), 1191-1239.
• Atilgan, Y., & Demirtas, O. (2013). Downside Risk in Emerging Markets. Emerging Markets Finance and Trade, 49, 64-83.
• Beach, S.L. (2006), Why emerging market equities belong in a diversified investment portfolio. Journal of Investing, 15(4), 12-18.
• Beach, S. L. (2011). Semivariance decomposition of country-level returns. International Review of Economics and Finance, 20(4), 607-623.
• Bekaert, G., & Harvey, C.R. (2017). Emerging Equity Markets in a Globalizing World. Retrieved from http://dx.doi.org/10.2139/ssrn.2344817
• Bodie, Z., Kane, A., & Marcus, A.J. (2009). Investments, New York, NY: McGraw-Hill.
• Bodnar, G. M., Bernard D., & Richard D. M. (2003). Cross-border valuation: The international cost of equity capital. NBER Working Paper 10115. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=471465
• Brealey, R.A., Myers, S.C., & Allen, F. (2008). Principles of Corporate Finance, International Edition. New York, NY: McGraw Hill.
• Donadelli, M., & Prosperi, L. (2011). The Equity Risk Premium: Empirical Evidence from Emerging Markets. CASMEF Working Paper. Retrieved from http://dx.doi.org/10.2139/ssrn.1893378
• Erb, C., B., Harvey, C.R., & Viskanta, T., (1995). Country risk and global equity selection. The Journal of Portfolio Management. 21(2), 74-83.
• Estrada, J. (2000). The Cost of Equity in Emerging Markets: A Downside Risk Approach. Emerging Markets Quarterly. 4, 19–30.
• Estrada, J. (2001). The Cost of Equity in Emerging Markets: A Downside Risk Approach (II), Emerging Markets Quarterly, Spring, 63-72. Retrieved from http://dx.doi.org/10.2139/ssrn.249579
• Estrada, J. (2002). Systematic Risk in Emerging Markets: The D-CAPM. Emerging Markets Review. 3 (3), 365-379.
• Estrada, J. (2003). Mean-Semivariance behavior (II): the D-CAPM. Working Paper, IESE Business School, 2-17.
• Estrada, J., & Serra, P. A. (2005). Risk and Return in Emerging Markets: Family Matters. Journal of Multinational Financial Management, 15, 257-272.
• Faff, R.W., & Lau, S., (1997). A generalised methods of moments test of mean variance efficiency in the Australian stock market. Pacific Accounting Review 9, 2–16.
• Feldstein, M.S. (1969). Mean-variance analysis in the theory of liquidity preference and portfolio selection. Review of Economic Studies, 36(1), 5-12.
• Fuenzalida, D., & Mongrut, S.A. (2010). Estimation of Discount Rates in Latin America: Empirical Evidence and Challenges. Journal of Economics, Finance and Administrative Science, 15(28), 7-43.
• Foong, S.-S., & Goh, K.-L. (2010). Measuring the cost of equity of emerging market firms: the case of Malaysia. Asian Academy of Management Journal of Accounting and Finance, 6(1), 25-46.
• Galagedera, D.U.A. (2007). An alternative perspective on the relationship between downside beta and CAPM beta. Emerging Markets Review, 8(1), 4-19.
• Galagedera, D.U.A, & Brooks, R. D. (2007). Is co-skewness a better measure of risk in the downside than downside beta? Evidence in Emerging Market Data. Journal of Multinational Financial Management, 17, 214-230.
• Godfrey, S., & Espinosa, R. (1996). A Practical Approach to Calculating Costs of Equity for Investments in Emerging Markets. Journal of Applied Corporate Finance, 9(3), 80-90.
• Grootveld, H., & Hallerbach, W. (1999). Variance vs downside risk: Is there really that much difference? European Journal of Operational Research, 114 (2), 304-319.
• Gul, F. (1991). A Theory of Disappointment Aversion. Econometrica, 59(3), 667– 686.
• Harvey, C. R. (2000). Drivers of Expected Returns in International Markets. Emerging Markets Quarterly, Fall, 1-17. Retrieved from http://dx.doi.org/10.2139/ssrn.795385
• Harvey, C. R. (2001). The International Cost of Capital and Risk Calculator (ICCRC). Duke University Working Paper, 1-20.
• Hicks, J.R. (1935). Annual survey of economic theory: the theory of monopoly. Econometrica: Journal of the Econometric Society, 3(1), 1-20.
• Hwang S., & Pedersen, C.S. (2002). Best practice risk measurement in emerging markets: empirical test of asymmetric alternatives to CAPM, Working Paper, Cass Business School, UK.
• Kahneman, D., & Tversky, A., (1979). Prospect Theory: An Analysis of Decision Under Risk. Econometrica, 47(2), 263-291.
• Kandel, S. (1984). On the Exclusion of Assets from Tests of the Mean-Variance Efficiency of the Market Portfolio. The Journal of Finance, 39(1), 63-7.
• Kaplan, P. D., & Laurence B. S. (1994). Portfolio Theory Is Alive And Well. Journal of Investing, 3(3), 18-23.
• Kim, E. H, & Vijay S. (1997). Are Open Markets Good for Foreign Investors and Emerging Nations? Journal of Applied Corporate Finance, 10(3), 18–33.
• Lessard, D. R. (1996). Incorporating Country Risk in the Valuation of Offshore Projects. Journal of Applied Corporate Finance, 9(3), 52-63.
• MacKinlay, A. C., & Matthew P. R. (1991). Using Generalized Method of Moments to Test Mean–Variance Efficiency. Journal of Finance, 46(2), 511–527.
• Mariscal, J. O., & LEE, R. M. (1993). The Valuation of Mexican Stocks: an Extension of Capital Asset Pricing Model to Emerging Markets. Goldman Sachs Investment Research, 2-16.
• Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 12, 77-91.
• Markowitz, H. M. (1959). Portfolio Selection (First Edition). New York: John Wiley and Sons.
• Markowitz, H. M. (1991). Portfolio Selection (Second Edition). Cambridge, MA: Basil Blackwell, Inc.
• Marschak, J. (1938). Money and the Theory of Assets. Econometrica, 6, 311-325.
• Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. The Journal of Investing. 8 (2), 9-25.
• Odier, P., & B. Solnik. (1993). Lessons for International Asset Allocation. Financial Analysts Journal, 49(2), 63–77.
• Okyere-Boakye, K., & O’Malley, B. (2016). Downside CAPM: the case of South Africa. Journal of Economic and Financial Studies, 9(2), 578-608.
• Pereiro, L. E. (2001). The valuation of closely-held companies in Latin America, Emerging Market Review, 2001, pp. 330-370.
• Pratt, J. (1964). Risk Aversion in the Small and in the Large. Econometrica, 32(1/2), 122-136.
• Riddles, N. (2001). A Portfolio Manager’s View on Downside Risk. In F. A. Sortino & S. Satchell (Eds.), Managing Downside Risk in Financial Markets: Theory,
• Practice And Implementation, 93-100. Oxford, UK: Butterworth Heinemann.
• Rom, B. M., & Ferguson, K.W. (1994). Post-Modern Portfolio Theory Comes Of Age. Journal of Investing. 3(3), 11-17.
• Roy, A. D. (1952). Safety First And The Holding Of Assets. Econometrica. 20(3), 431-449.
• Salomons, R., & Grootveld, H. (2003). The Equity Risk Premium: Emerging vs. Developed Markets. Emerging Markets Review, 4, 121-144.
• Searle, S.R. (1971). Linear Models. New York: John Wiley & Sons.
• Sharpe, N.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19(3), 425-442.
• Susmel, R., (2001). Extreme Observations And Diversification in Latin American Emerging Equity Markets. Journal of International Money and Finance, 20, 971–986.
• Teplova, T. ve E. Shutova. (2011). A Higher Moment Downside Framework for Conditional and Unconditional CAPM in The Russian Stock Market. Eurasian Economic Review. 1(2), 157-178.
• Tsai, H. J., Chen, M. C. ve Yang, C. Y. (2014). A Time-Varying Perspective on The Capm and Downside Betas. International Review of Economics and Finance, 29, 440-454.
• Williams, J. B. (1938). The Theory of Investment Value (North Holland Publishing, Amsterdam); reprinted 1997 (Fraser Publishing, Burlington, VT).
• Yildiz, M.E., & Erzurumlu, Y.O. (2018). Testing Postmodern Portfolio Theory Based On Global And Local Single Factor Market Model: Borsa Istanbul case. Borsa Istanbul Review, 18(4), 259-268.
• Yildiz, M.E., Erzurumlu, Y.O., & Kurtulus, B. (2020) Comparative Analyses Of Mean-Variance And Mean-Semi Variance Approaches On Global And Local Single Factor Market Model For Developed And Emerging Markets. International Journal of Emerging Markets. Retrieved from doi: 10.1108/IJOEM-01-2020-01