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ALTERNATİF VARLIK FİYATLAMA MODELLERİNDEN ZAMANLARARASI VARLIK FİYATLAMA MODELİNE TEORİK BİR YAKLAŞIM

Year 2018, Volume: 9 Issue: 17, 257 - 279, 30.06.2018

Emine Kaya , Bener Güngör

Abstract

Finansal varlık fiyatlarını açıklamada kullanılan
modellerden biri Merton (1973) tarafından geliştirilen zamanlararası varlık
fiyatlama modelidir. Zamanlararası varlık fiyatlama modelinde, yatırım
fırsatlarındaki değişimi yansıtan durum değişkenlerinin ve piyasa portföyünün
getirisinin hisse senedi getirilerindeki yatay kesitsel değişimi açıkladığı
varsayılmaktadır. Bu çalışmanın amacı, varlık fiyatlama modellerine alternatif
bir yaklaşım olan zamanlararası varlık fiyatlama modelini kuramsal açıdan
derinlemesine incelemektir. Bu kapsamda ilk olarak, denge modellerine
değinilmiş ve zamanlararası varlık fiyatlama modeline teorik olarak yer
verilmiştir. Gelişmiş ve gelişmekte olan ülkeler için zamanlararası varlık
fiyatlama modeli uygulama bulgularının özetlenmesinin ardından, çalışma sonuç
ve önerilerle sonlandırılmıştır. Yazın incelendiğinde, Merton’un zamanlararası
varlık fiyatlama modelini geliştirdiği dönemlerde, modele daha çok teorik
olarak değinildiği görülmektedir. Ancak, 2000’li yıllardan sonra modele ilişkin
ampirik çalışmalar yapılmaya başlanmıştır. Nitekim, bu ampirik çalışmaların
daha çok modelin çeşitli versiyonları ile gelişmiş ülkeler için
gerçekleştirildiği fakat, gelişmekte olan ülkeler için ise modele ilişkin
uygulama boşluğunun olduğu tespit edilmiştir. 

Keywords

Zamanlararası varlık fiyatlama kesitsel anomaliler hisse senedi getirileri.

References

  • Altay, E. (2012). Sermaye piyasasında varlık fiyatlama teorileri sermaye piyasası teorisi ve arbitraj fiyatlama teorisi. İstanbul: Derin Yayınları.
  • Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 97, 101-131. doi: 10.1016/j.jfineco.2007.03.002.
  • Bank, S. & Dağlı, H. (2013). Finansal varlık fiyatlandırma modeli ve sonrasındaki gelişmeler. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 8, 180-205.
  • Barbalau, A., Robotti, C. & Shanken, J. (2015). Testing inequality restrictions in multifactor asset-pricing models. Working Paper.
  • Bernanke, B. S. & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy?. The Journal of Finance, LX(3), 1221-1257. doi: 10.1111/j.1540-6261.2005.00760.x.
  • Boons, M. (2016). State variables, macroeconomic activity, and the cross section of ındividual stocks. Journal of Financial Economics, 119, 489–511. doi : 10.1016/j.jfineco.2015.05.010.
  • Boons, M. (2013). State variables, macroeconomic activity and the cross-section of individual stocks. Netspar Discussion Paper No: 12.
  • Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7, 265-296. doi: 10.1016/0304-405X(79)90016-3.
  • Brennan, M., Wang, A. & Xia, Y. (2004). Estimation and test of a simple model of intertemporal capital asset pricing. The Journal of Finance, 59, 1743-1775. doi: 10.1111/j.1540-6261.2004.00678.x.
  • Brennan, M. J., Chordia, T. & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics, 49, 345-373. doi: 10.1016/S0304-405X(98)00028-2.
  • Brennan, M. J. & Xia, Y. (2003). Risk and valuation under an intertemporal capital asset pricing model. Rodney L. White Center for Financial Research Working Paper, Working Paper No: 09-03.
  • Brock, W. A. (1982). Asset prices in a production economy. İçinde (McCall J. J. ). İçinde The Economics of Information and Uncertainty. (s. 1-46). Chicago, University of Chicago Press.
  • Campbell, J. Y. & Cochrane, J. (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107(2), 205-251. doi: 10.1086/250059.
  • Campbell, J. Y., Hilscher, J. & Szilagyi, J. (2008). In search of distress risk. Journal of Finance, 63, 2899–2939. doi: 10.1111/j.1540-6261.2008.01416.x.
  • Chang, J.-R., Errunza, V., Hogan, K. & Hung, M.-W. (2005). An intertemporal international asset pricing model: Theory and empirical evidence. European Financial Management, 11(2), 173–194. Chen, J. (2003). Intertemporal CAPM and the cross-section of stock returns. Working Paper.
  • Chen, J. (2002). Intertemporal CAPM. Working Paper.
  • Chen, L., Novy-Marx, R. & Zhang, L. (2010). An alternative three-factor model. University of Rochester Unpublished Working Paper.
  • Cho, S. (2013). New return anomalies and New-Keynesian ICAPM. International Review of Financial Analysis, 29, 87–106. doi: 10.1016/j.irfa.2013.04.003.
  • Cho, S. (2007). Stock returns and New-Keynesian factors. Doctoral dissertation, Columbia University, New York.
  • Cochrane, J. H. (2005). Asset pricing. New Jersey: Princeton University Press.
  • Cochrane, J. H. (1996). A cross sectional test of investment-based asset pricing model. The Journal of Political Economy, 104(3), 572-621. doi: 10.1086/262034.
  • Cochrane, J. H. & Hansen, L. (1992). Asset pricing explorations for macroeconomics, O. J. Blanchard, & S. Fischer içinde. NBER Macroeconomics Annual (Cilt 7). MIT Press.
  • Cooper, I. & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. BEROC Conference.
  • Cooper, I. & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. SSRN Working Paper.
  • Daniel, K., Titman, S. & Wei, K. (2001). Explaining the cross-section of stock returns in Japan: Factors or characteristics?. The Journal of Finance, LVI(2), 743-766. doi: 10.1111/0022-1082.00344.
  • Davis, J. L., Fama, E. F. & French, K. (2000). Characteristics, covariances, and average return 1929 to 1997. Journal of Finance, 55(1), 389-406. doi: 10.1111/0022-1082.00209.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417. doi: 10.2307/2325486.
  • Fama, E. F. & French, K. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18(3), 25–46. doi: 10.1257/0895330042162430.
  • Fama, E. F. & French, K. (1998). Value versus growth: The international evidence. Journal of Finance , 53(6), 1975-1999. doi: 10.1111/0022-1082.00080.
  • Fama, E. F. & French, K. (1996). Multifactor exlanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. doi: 10.1111/j.1540-6261.1996.tb05202.x.
  • Fama, E. F. & French, K. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, L(1), 131-155. doi: 10.2307/2329241.
  • Fama, E. F. & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56. doi: 10.1016/0304-405x(93)90023-5.
  • Fama, E. F. & Macbeth, J. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. doi: 10.1086/260061.
  • Farhadi, R. & Mousavi, S. M. (2013). Inter-temporal relationship between risk and return: Evidence from Tehran Securities Exchange (TSE). International Research Journal of Applied and Basic Sciences, 4(6), 1366-1369.
  • Ferson, W. E. & Harvey, C. (1999), Conditioning variables and croos-section of stock returns. The Journal of Finance, LIV(4), 1325-1360. doi: 10.1111/0022-1082.00148.
  • Gaudet, G. & Khadr, A. (1991). University the evolution of natural resource prices under stochastic investment opportunities: An intertemporal asset-pricing approach. International Economic Review, 30(2), 441-455. doi: 10.1016/S0304-3932(01)00093-9.
  • Gilchrist, S. & Leahy, J. (2002). Monetary policy and asset prices. Journal of Monetary Economics, 49, 75-97. doi: 10.1016/S0304-3932(01)00093-9.
  • Guo, H. & Savickas, R. (2003). On the cross section of conditionally expected stock returns, Working Paper Series, No: 2003-043A.
  • Kıyılar, M. (1998). Etkin pazar kuramının İMKB’de test edilmesi. Yönetim Dergisi, 29, 34-51.
  • Kothari, S. P., Shanken J. & Sloan, R. (1995). Another look at the cross-section of expected stock returns. The Journal of Finance, 50(1), 185-224. doi: 10.1111/j.1540-6261.1995.tb05171.x.
  • Lakonishok, J., Shleifer A. & Vishny, R. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578. doi: 10.1111/j.1540-6261.1994.tb04772.x.
  • Lettau, M. & Ludvigson, S. (2001). Consumption, aggregate wealth, and expected stock returns. The Journal of Finance, LVI(3), 815-849. doi: 10.1111/0022-1082.00347.
  • Liew, J. & Vassalou, M. (2000). Can book-to-market, size and momentum be risk factors that predict economic growth?. Journal of Financial Economics, 57, 221-245. doi 10.1016/S0304-405X(00)00056-8.
  • Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 41(1), 13-37. doi: 10.2307/1924119.
  • Maio, P. (2013). Return decomposition and the intertemporal CAPM. Journal of Banking & Finance, 37, 4958–4972. doi: 10.1016/j.jbankfin.2013.08.021.
  • Maio, P. & Santa-Clara, P. (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106, 586–613. doi: 10.1016/j.jfineco.2012.07.001.
  • Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887. doi: 10.2307/1913811.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 767–783. doi: 10.2307/1910098
  • Öztürkatalay, M. V. (2005). Hisse senedi piyasalarında görülen kesitsel anomaliler ve İMKB’ye yönelik bir araştırma. İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Parker, J. A. & Julliard, C. (2005). Consumption risk and the cross section of expected returns. Journal of Political Economy, 113(1), 185-222. doi: 10.1086/426042.
  • Pastor, L. & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685. doi: 10.2139/ssrn.279804.
  • Perez-Quiros, G. & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, LV(3), 1229-1262. doi: 10.1111/0022-1082.00246.
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. The Journal of Economic Theory, 13, 341-360. doi: 10.1016/0022-0531(76)90046-6.
  • Shanken, J. (1990). Intertemporal asset pricing an empirical investigation. Journal of Econometrics, 45, 99-120. doi: 10.1016/0304-4076(90)90095-B.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. doi: 10.1111/j.1540-6261.1964.tb02865.x.
  • Xing, Y. (2008). Interpreting the value effect through the q-theory: An empirical investigation. Rev. Financ. Stud., 21(4), 1767-1795. doi: 10.1093/rfs/hhm051.

Year 2018, Volume: 9 Issue: 17, 257 - 279, 30.06.2018

Emine Kaya , Bener Güngör

Abstract

References

  • Altay, E. (2012). Sermaye piyasasında varlık fiyatlama teorileri sermaye piyasası teorisi ve arbitraj fiyatlama teorisi. İstanbul: Derin Yayınları.
  • Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 97, 101-131. doi: 10.1016/j.jfineco.2007.03.002.
  • Bank, S. & Dağlı, H. (2013). Finansal varlık fiyatlandırma modeli ve sonrasındaki gelişmeler. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 8, 180-205.
  • Barbalau, A., Robotti, C. & Shanken, J. (2015). Testing inequality restrictions in multifactor asset-pricing models. Working Paper.
  • Bernanke, B. S. & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy?. The Journal of Finance, LX(3), 1221-1257. doi: 10.1111/j.1540-6261.2005.00760.x.
  • Boons, M. (2016). State variables, macroeconomic activity, and the cross section of ındividual stocks. Journal of Financial Economics, 119, 489–511. doi : 10.1016/j.jfineco.2015.05.010.
  • Boons, M. (2013). State variables, macroeconomic activity and the cross-section of individual stocks. Netspar Discussion Paper No: 12.
  • Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7, 265-296. doi: 10.1016/0304-405X(79)90016-3.
  • Brennan, M., Wang, A. & Xia, Y. (2004). Estimation and test of a simple model of intertemporal capital asset pricing. The Journal of Finance, 59, 1743-1775. doi: 10.1111/j.1540-6261.2004.00678.x.
  • Brennan, M. J., Chordia, T. & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics, 49, 345-373. doi: 10.1016/S0304-405X(98)00028-2.
  • Brennan, M. J. & Xia, Y. (2003). Risk and valuation under an intertemporal capital asset pricing model. Rodney L. White Center for Financial Research Working Paper, Working Paper No: 09-03.
  • Brock, W. A. (1982). Asset prices in a production economy. İçinde (McCall J. J. ). İçinde The Economics of Information and Uncertainty. (s. 1-46). Chicago, University of Chicago Press.
  • Campbell, J. Y. & Cochrane, J. (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107(2), 205-251. doi: 10.1086/250059.
  • Campbell, J. Y., Hilscher, J. & Szilagyi, J. (2008). In search of distress risk. Journal of Finance, 63, 2899–2939. doi: 10.1111/j.1540-6261.2008.01416.x.
  • Chang, J.-R., Errunza, V., Hogan, K. & Hung, M.-W. (2005). An intertemporal international asset pricing model: Theory and empirical evidence. European Financial Management, 11(2), 173–194. Chen, J. (2003). Intertemporal CAPM and the cross-section of stock returns. Working Paper.
  • Chen, J. (2002). Intertemporal CAPM. Working Paper.
  • Chen, L., Novy-Marx, R. & Zhang, L. (2010). An alternative three-factor model. University of Rochester Unpublished Working Paper.
  • Cho, S. (2013). New return anomalies and New-Keynesian ICAPM. International Review of Financial Analysis, 29, 87–106. doi: 10.1016/j.irfa.2013.04.003.
  • Cho, S. (2007). Stock returns and New-Keynesian factors. Doctoral dissertation, Columbia University, New York.
  • Cochrane, J. H. (2005). Asset pricing. New Jersey: Princeton University Press.
  • Cochrane, J. H. (1996). A cross sectional test of investment-based asset pricing model. The Journal of Political Economy, 104(3), 572-621. doi: 10.1086/262034.
  • Cochrane, J. H. & Hansen, L. (1992). Asset pricing explorations for macroeconomics, O. J. Blanchard, & S. Fischer içinde. NBER Macroeconomics Annual (Cilt 7). MIT Press.
  • Cooper, I. & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. BEROC Conference.
  • Cooper, I. & Maio, P. (2016). Equity risk factors and the intertemporal CAPM. SSRN Working Paper.
  • Daniel, K., Titman, S. & Wei, K. (2001). Explaining the cross-section of stock returns in Japan: Factors or characteristics?. The Journal of Finance, LVI(2), 743-766. doi: 10.1111/0022-1082.00344.
  • Davis, J. L., Fama, E. F. & French, K. (2000). Characteristics, covariances, and average return 1929 to 1997. Journal of Finance, 55(1), 389-406. doi: 10.1111/0022-1082.00209.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417. doi: 10.2307/2325486.
  • Fama, E. F. & French, K. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18(3), 25–46. doi: 10.1257/0895330042162430.
  • Fama, E. F. & French, K. (1998). Value versus growth: The international evidence. Journal of Finance , 53(6), 1975-1999. doi: 10.1111/0022-1082.00080.
  • Fama, E. F. & French, K. (1996). Multifactor exlanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. doi: 10.1111/j.1540-6261.1996.tb05202.x.
  • Fama, E. F. & French, K. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, L(1), 131-155. doi: 10.2307/2329241.
  • Fama, E. F. & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56. doi: 10.1016/0304-405x(93)90023-5.
  • Fama, E. F. & Macbeth, J. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. doi: 10.1086/260061.
  • Farhadi, R. & Mousavi, S. M. (2013). Inter-temporal relationship between risk and return: Evidence from Tehran Securities Exchange (TSE). International Research Journal of Applied and Basic Sciences, 4(6), 1366-1369.
  • Ferson, W. E. & Harvey, C. (1999), Conditioning variables and croos-section of stock returns. The Journal of Finance, LIV(4), 1325-1360. doi: 10.1111/0022-1082.00148.
  • Gaudet, G. & Khadr, A. (1991). University the evolution of natural resource prices under stochastic investment opportunities: An intertemporal asset-pricing approach. International Economic Review, 30(2), 441-455. doi: 10.1016/S0304-3932(01)00093-9.
  • Gilchrist, S. & Leahy, J. (2002). Monetary policy and asset prices. Journal of Monetary Economics, 49, 75-97. doi: 10.1016/S0304-3932(01)00093-9.
  • Guo, H. & Savickas, R. (2003). On the cross section of conditionally expected stock returns, Working Paper Series, No: 2003-043A.
  • Kıyılar, M. (1998). Etkin pazar kuramının İMKB’de test edilmesi. Yönetim Dergisi, 29, 34-51.
  • Kothari, S. P., Shanken J. & Sloan, R. (1995). Another look at the cross-section of expected stock returns. The Journal of Finance, 50(1), 185-224. doi: 10.1111/j.1540-6261.1995.tb05171.x.
  • Lakonishok, J., Shleifer A. & Vishny, R. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578. doi: 10.1111/j.1540-6261.1994.tb04772.x.
  • Lettau, M. & Ludvigson, S. (2001). Consumption, aggregate wealth, and expected stock returns. The Journal of Finance, LVI(3), 815-849. doi: 10.1111/0022-1082.00347.
  • Liew, J. & Vassalou, M. (2000). Can book-to-market, size and momentum be risk factors that predict economic growth?. Journal of Financial Economics, 57, 221-245. doi 10.1016/S0304-405X(00)00056-8.
  • Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 41(1), 13-37. doi: 10.2307/1924119.
  • Maio, P. (2013). Return decomposition and the intertemporal CAPM. Journal of Banking & Finance, 37, 4958–4972. doi: 10.1016/j.jbankfin.2013.08.021.
  • Maio, P. & Santa-Clara, P. (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106, 586–613. doi: 10.1016/j.jfineco.2012.07.001.
  • Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887. doi: 10.2307/1913811.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 767–783. doi: 10.2307/1910098
  • Öztürkatalay, M. V. (2005). Hisse senedi piyasalarında görülen kesitsel anomaliler ve İMKB’ye yönelik bir araştırma. İstanbul: İstanbul Menkul Kıymetler Borsası.
  • Parker, J. A. & Julliard, C. (2005). Consumption risk and the cross section of expected returns. Journal of Political Economy, 113(1), 185-222. doi: 10.1086/426042.
  • Pastor, L. & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685. doi: 10.2139/ssrn.279804.
  • Perez-Quiros, G. & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, LV(3), 1229-1262. doi: 10.1111/0022-1082.00246.
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. The Journal of Economic Theory, 13, 341-360. doi: 10.1016/0022-0531(76)90046-6.
  • Shanken, J. (1990). Intertemporal asset pricing an empirical investigation. Journal of Econometrics, 45, 99-120. doi: 10.1016/0304-4076(90)90095-B.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. doi: 10.1111/j.1540-6261.1964.tb02865.x.
  • Xing, Y. (2008). Interpreting the value effect through the q-theory: An empirical investigation. Rev. Financ. Stud., 21(4), 1767-1795. doi: 10.1093/rfs/hhm051.
There are 56 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Emine Kaya 0000-0002-7035-9241

Bener Güngör 0000-0002-0523-3810

Publication Date June 30, 2018
Published in Issue Year 2018 Volume: 9 Issue: 17

Cite

APA Kaya, E., & Güngör, B. (2018). ALTERNATİF VARLIK FİYATLAMA MODELLERİNDEN ZAMANLARARASI VARLIK FİYATLAMA MODELİNE TEORİK BİR YAKLAŞIM. Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 9(17), 257-279.
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