Finanasal varlıkları fiyatlandırma modeli
Başlık çevirisi mevcut değil.
- Tez No: 53292
- Danışmanlar: DOÇ.DR. MEHMET BOLOK
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1996
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 83
Özet
ÖZET Bu çalışmada Finansal Varlıkları Fiyatlandırma Modeli nin tanıtım ve uygulanması amaçlanmıştır. Çalışmaya kısa bir giriş bölümüyle başlanmıştır. Finansal Varlıkları Fiyatlandırma Modeli nin uygulanması için seçilen ve İ.M.K.B'de işlem gören 31 adet firmaya ait hisse senedinin analizlerine geçilmeden önce, uygulama konusunu oluşturan finansal varlıkların incelenmesine geçilmiştir. İkinci bölümde genel olarak finansal varlıkların yatırımcıya sağladığı getirilerden söz edilirken, bu getiriler elde edilirken karşılaşılması muhtemel risklerin neler olduğundan bahsedilmiş ve özellikle yatırımcının dikkat etmesi gerektiği sistematik risk denilen ve beta katsayısı ile gösterilen risk konularına yer verilmiştir. Bir portföyün seçimi ve yönetimi yapılırken, yatırımcı tarafından menkul kıymetler piyasasının işleyişini anlamak üzere gözönüne alınması gereken teoriler ve bu teorilerin doğrultusunda izlenmesi gereken stratejiler vardır. Bu bağlamda karşılaşabileceği olası riskleri dağıtmak amacıyla başvurması gereken yollar, ikinci bölümde kısaca açıklanmıştır. Finansal varlıkları fiyatlandırma modelinin varsayımları ile beklenen getiri ile risk arasındaki bağıntının açıklandığı üçüncü bölümde, hisse senetlerinin regresyon analizleri yapılırken uygulanması gereken istatistiksel yöntemlere yer verilmiştir. Bu bölümde ayrıca, finansal varlıkları fiyatlandırma modelinin çözümlenmesi için yapılan işlemler gösterilmiştir. Çalışmamızın dördüncü bölümünde hisse senetlerinin regresyon analizleri sonucu elde edilen regresyon denklemleri verilmiş ve bu denklemlerin geçerliliğinin saptanabilmesi için gerekli testler yapılmıştır. Bu testler sonucunda saptanan regresyon denklemlerinin yorumlanması ile elde edilen sonuçlara beşinci bölümde yer verilmiştir. Bu çalışma, yararlanılan kaynakların sıralandığı bölümden sonra, tüm hisse senetlerinin veri tabloları ve regresyon analizleri sonuçlarının yer aldığı ekler bölümü ile tamamlanmıştır. XII
Özet (Çeviri)
SUMMARY CAPITAL ASSETS PRICING MODEL The CAPM which is know to be a pricing method for securities, is especially important to all investors brokerage houses, advisory firms since CAPM help to determine the future value of securities. Bonds, one type of securities, provides its holders a fixed interest income for a specified maturity term. Although there are many different types of bonds and its derivates, in this study we will consider only treasury bills and government bonds while using CAPM. Equities which are the most important part of this study is just another form of securities. The main difference between the equity and the bonds is that, equity is a right for ownership, where as bonds provide right for interest income on invested principal for a limited time. Investors seek maximum return on their equity investment. Their main goals is take minimum risk while receiving the maximum return. Also, investors try to minimize their risks by different tools and products available in the market. Investors who do not want to take high risks, will probably chose bonds to secure a fixed income. Total risk is a combination of many different types of risks, such as, interest rate, currency, financial, trade, default, market, inflation, liquidity and a systematic risk. This systematic risk is especially important for equity markets. The systematic risk is indicated by (3 coefficient. Beta is accepted as a measure to asses the relationship between the market and a particular equity. The second coefficient used in the equity markets is called a (Alpha). This represents the price volatility of the equity which occurs as a result of inter-company developments, regardless of market events, a is also called non-systematic risk. Investors decide their policies on a particular security by looking at its |3 figure. XlllPortfolio is a basket of securities which includes bonds, equities and other type of securities. Portfolio management requires expertise. There are two main approaches in managing portfolios. The first approach (Classical portfolio management) requires the diversity of securities in case the investment can not earn the expected return on one security. The second approach (Modern portfolio management) assumes that the information on all factors which effect the prices will be transferred to investors right away. All investors expect to increase their return on their investment to maximum levels. Investment decisions are made according to risk and return relationship. Securities which form the portfolio are separated according to their risk-return levels. Therefore portfolio strategies are developed based on these levels. Distribution of risk levels is the most important thing while forming an investment portfolio. Concentrating in one economic sector or even one single security in an investment portfolio is very dangerous. The best thing to do while forming such a portfolio is to diversify among different industries, companies, bonds and equities. CAMP is based on the following assumptions: 1. All investors expect the highest return on their investments while they try to minimize their risks. 2. All investors should take their investment decisions according to return probabilities of each security. 3. The prices of securities are not effected by individual behaviors since there are many buyers and sellers in the market. 4. All investors can borrow and lend at risk free rate. 5. All transaction costs are assumed to be zero. 6. All assets are marketable and splitable. 7. For all investors maturity term and the holding period is the same. 8. Investors can take advantage of market prices by short selling. 9. Distribution of return probabilities is a normal distribution. Portfolio managers makes certain choices while forming their portfolio. These are: a) Security type. XIVb) Return (expected). c) Capital gain. d) Liquidity. e) Tax It would be hard to equally weigh all above issues in a portfolio. Therefore investors may have to sacrifice some in favor of others. There is a relationship between risk and return of an equity. Securities such as treasury bills and government bonds (which are accepted as risk free) can be bought and sold at requested amount or even be cashed to buy equities. Investors take their decisions on the volatility of the prices of securities. If there were no riskless assets it would be easy to form a portfolio that lies on the border of the effective curve. But if these riskless assets existed, the expected return of the portfolio will lie where the capital/market line meets the effective curve The line which characterizes the relationship between the return of market portfolio and a particular equity is explained by the following equation: Rit = ait + pi RMt + eit (1) The comparison between the return of a market portfolio and a particular equity is defined by beta coefficient. Beta shows the slope of the characteristics line and expanse. How the return of market portfolio effects the expected return of a particular equity. Thus we can see the expected amount of change in the return of the equity for every unit of change in the return of the market portfolio. Beta coefficient is explained as following: Cov(rh rm) Pi = (2) o^r, m Following comments can be made on how the magnitude of beta can effect the change in the value of a particular equity. If p>1 then, the change in the value of a particular equity will be more than the market. This can also be called aggressive p, which means, the value of equity will increase (decrease) more than the value of the market. It is also XVabsorbed that equities which have p>1 also tend to have higher systematic risks. If the p
Benzer Tezler
- Testing the validity of the capital asset pricing model in Turkey
Finansal varlıkları fiyatlandırma modelinin geçerliliğinin Türkiye'de test edilmesi
VEYSEL ERASLAN
- Finansal varlıkları fiyatlandırma modelinin ve modele göre portföy oluşturulmasının İstanbul Menkul Kıymetler Borsası'nda uygulanması (1991-1996)
Başlık çevirisi yok
SÜLEYMAN KALE
Yüksek Lisans
Türkçe
1997
BankacılıkGazi ÜniversitesiBankacılık ve Finans Bilim Dalı
DOÇ. DR. METİN KAMİL ERCAN
- Finansal varlıkları fiyatlandırma modeli' nin İstanbul Menkul Kıymetler Borsası'nda test edilmesi
Testing the capital asset pricing model in İstanbul Stock Exchange
İBRAHİM BOZKURT
- Portföy kurumları ve markowitz modeline göre bir uygulama
Portfolio theory and an application according to markowitz model
GÜLBEYAZ TALDELEN
Yüksek Lisans
Türkçe
2003
İşletmeİstanbul ÜniversitesiPara Sermaye Piyasaları ve Finansal Kurumlar Ana Bilim Dalı
PROF. DR. N. HÜLYA TALU
