Beta Tahmininde Getiri Araligi Etkisi: IMKB Ornegi

Ahmet Kamil Tuncel ()
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Ahmet Kamil Tuncel: Canakkale Onsekiz Mart Universitesi

Ege Academic Review, 2009, vol. 9, issue 1, 131-139

Abstract: Beta katsayisinin tahmin edilmesi, modern portfoy teorisinin belkemigini olusturur. Finans literaturunde yer alan arastirmalar, bir finansal varlik icin tek bir duragan Beta’dan soz edilemeyecegini gostermistir. Bir baska ifade ile, hisse senetlerinin getirilerinin hesaplanma sekli, hangi endeksin pazari temsil edecegi, ele alinan tahmin suresi ve benzeri degiskenler; tahmin edilen Beta katsayisinin farkli degerler almasina neden olmaktadir. Calismamizda 2000- 2007 doneminde IMKB’de getiri araligi etkisinin gorulup gorulmedigi arastirilmis; beta katsayilarin duragan olmadigi ve duraganlik uzerinde tahmin suresinin bir etkisinin bulunmadigi sonucuna ulasilmistir.

JEL-codes: G11 (search for similar items in EconPapers)
Date: 2009
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