Yıl 2018, Cilt 2018, Sayı 2, Sayfalar 102 - 117 2018-10-26

A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset
Arbitraj Fiyatlama Teorisi’nde Kullanılan Ülke Düzeyinde ve İşletme Düzeyinde Faktörlerin Gözden Geçirilmesi ve Büyük Veri Seti ile Hızlı Bir Test

Doğuş Emin [1]

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This study primarily reviews the studies that use Arbitrage Pricing Theory by separating the risk factors into two main groups as country-level factors and firm-level factors.  Following this, this study examines the stock return determinants of emerging countries in two separate models; macro model and micro model to provide an empirical evidence on both country effects and firm-specific effects separately. The macro model is constructed to examine the relative importance of country effect in explaining cross-sectional stock variations. For that purpose the significance of 4 key macroeconomic variables –fundamental country characteristics-; money supply, exchange rate, inflation rate, and total reserve are tested. For micro model, 5 key firm specific variables, beta, book-to-market equity, earnings-to-price ratio, size and leverage are examined. 

Bu çalışmanın öncelikli amacı Arbitraj Fiyatlama Teorisi’nde kullanılan ülke düzeyinde ve işletme düzeyinde şeklinde iki gruba ayrılmış risk faktörlerini gözden geçirmektir. Bu bağlamda literatürde temel teşkil eden ve bu değişkenleri kullanan çalışmaların gözden geçirilmesi ve özeti yapılacaktır. Çalışmanın ikinci ve literatüre en önemli katkı sağlayacak bölümü ise ülke ve işletme düzeyindeki faktörlerin hisse senedi fiyatlamalarında gerçekten etkin rol oynayıp oynamadığını büyük bir veri seti ile tespit eden ampirik kısım oluşturacaktır. Bu kısımda yalnızca ülke düzeyinde değişkenlerin kullanıldığı makro model ve yalnızca işletme düzeyinde değişkenlerin kullanıldığı mikro model olmak üzere ki model oluşturulacaktır. 

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Birincil Dil en
Konular
Dergi Bölümü Makaleler/2018/2
Yazarlar

Yazar: Doğuş Emin (Sorumlu Yazar)
Ülke: Turkey


Bibtex @araştırma makalesi { sbm472861, journal = {Sosyal Bilimler Metinleri}, issn = {1308-4453}, eissn = {1308-4895}, address = {Namık Kemal Üniversitesi}, year = {2018}, volume = {2018}, pages = {102 - 117}, doi = {}, title = {A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset}, key = {cite}, author = {Emin, Doğuş} }
APA Emin, D . (2018). A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri, 2018 (2), 102-117. Retrieved from http://dergipark.gov.tr/sbm/issue/39965/472861
MLA Emin, D . "A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset". Sosyal Bilimler Metinleri 2018 (2018): 102-117 <http://dergipark.gov.tr/sbm/issue/39965/472861>
Chicago Emin, D . "A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset". Sosyal Bilimler Metinleri 2018 (2018): 102-117
RIS TY - JOUR T1 - A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset AU - Doğuş Emin Y1 - 2018 PY - 2018 N1 - DO - T2 - Sosyal Bilimler Metinleri JF - Journal JO - JOR SP - 102 EP - 117 VL - 2018 IS - 2 SN - 1308-4453-1308-4895 M3 - UR - Y2 - 2018 ER -
EndNote %0 Sosyal Bilimler Metinleri A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset %A Doğuş Emin %T A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset %D 2018 %J Sosyal Bilimler Metinleri %P 1308-4453-1308-4895 %V 2018 %N 2 %R %U
ISNAD Emin, Doğuş . "Arbitraj Fiyatlama Teorisi’nde Kullanılan Ülke Düzeyinde ve İşletme Düzeyinde Faktörlerin Gözden Geçirilmesi ve Büyük Veri Seti ile Hızlı Bir Test". Sosyal Bilimler Metinleri 2018 / 2 (Ekim 2018): 102-117.