Finansal Varl?klar? Fiyatlama Modelinin Analizi
Hakan Bilir
International Journal of Finance & Banking Studies · 2016 · Vol. 5 / Issue 2 · 58-72
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Abstract
Yat?r?m f?rsatlar?n?n de?erlendirilmesi süreci beklenen getiri ve riskin ölçümüne ba?l?d?r. Finansal Varl?klar? Fiyatlama Modeli (FVFM), çok uzun y?llard?r modern finans teorisinin temel ta?lar?ndan bir tanesini olu?turmaktad?r. Model, varl?klar?n beklenen getirisi ve sistematik riski aras?ndaki basit do?rusal ili?kiyi ortaya koymaktad?r. Model halen, sermaye maliyetinin hesaplanmas?, portföy yönetiminin performans?n?n ölçülmesi ve yat?r?mlar?n de?erlendirilmesi amac?yla kullan?lmaktad?r. FVFM’in çekicili?i, beklenen getiri ve risk aras?ndaki ili?kinin ölçümlenmesi konusundaki güçlü tahmin yetene?inden gelmektedir. Bununla birlikte modelin bu yetene?i 30 y?l? a?k?n bir süredir akademisyenler ve uygulamac?lar taraf?ndan sorgulanmaktad?r. Tart??malar büyük ölçüde ampirik düzeyde gerçekle?tirilmektedir. FVFM’in ampirik düzeydeki problemleri, çok say?da basitle?tirilmi? varsay?m? içermesi nedeniyle teorik hatalard?r. Çok say?daki gerçekçi olmayan varsay?m modeli pratik olarak kullan??s?z hale getirmektedir. Model ile ilgili temel ele?tiriler ise risksiz faiz oran?, pazar portföyü ve beta katsay? üzerinde yo?unla?maktad?r. Bu çal??mada, modelin varsay?mlar? ve temel bulgular?n?n yan? s?ra uygulamas?na yönelik yap?lan ele?tiriler ele al?nacakt?r.
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Hakan Bilir
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