Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Büberkökü, Önder

doi:10.29106/fesa.799148

Cited by 2 publications

(1 citation statement)

References 89 publications

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“…Bu alandaki literatür aşağıdaki şekilde özetlenebilmektedir. Büberkökü (2021) araştırma çalışmasında, Türk hisse senedi piyasaları için risk ve getiri arasındaki ilişki düzeyini analiz etmiştir. Bu amaçla öncelikle geleneksel yaklaşım çerçevesinde FIAPARCH-M, FIGARCH-M, HYGARCH, APARCH-M, GJR-GARCH ve GARCH-M modelleri kullanılmıştır.…”

Section: Literatür Taramasıunclassified

Aşaği Yönlü Ri̇sk Ölçütleri̇ Ve Modern Portföy Teori̇si̇ni̇n Karşilaştirilmasi: Borsa İstanbul Örneği̇

BAYAT

Yiğiter

2022

Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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The concept of risk entered the portfolio world with the work of Harry Markowitz. By considering risk and return together, Markowitz accepts the return distribution symmetrically to create optimal portfolios so that investors can obtain the least risk (variance) and the highest return. When the return distribution is symmetrical, variance can give accurate results as an indicator of risk. But what if the returns show an asymmetrical distribution, can this be the case? Based on this question, the purpose of our research is to compare the portfolio return, risk and covariances of 10 different stocks traded in BIST100 between 1.1.2011-31.4.2021 according to Modern Portfolio theory and Downside risk criteria. In our study, it has been found that Modern Portfolio does not diversify sufficiently, creates portfolios from stocks with high return-risk features, and when the returns do not show a symmetrical distribution, it is insufficient. On the contrary, it has been understood that portfolios created against downside risk measures contain less risk and that more accurate results can be achieved with downside risk measures in asymmetric return distribution.

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Section: Literatür Taramasıunclassified

Aşaği Yönlü Ri̇sk Ölçütleri̇ Ve Modern Portföy Teori̇si̇ni̇n Karşilaştirilmasi: Borsa İstanbul Örneği̇

BAYAT

Yiğiter

2022

Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Does Idiosyncratic Risk Have a Significant Impact on Return Probability? A Case Study of Borsa Istanbul 100 Stocks

Çam

2024

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

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Most asset pricing models ignore idiosyncratic risk, or firm-specific risk, while it is one of the most critical determinants of asset pricing and stock returns. In this paper, we investigate the impact of idiosyncratic risk on the returns of stocks traded on the Borsa Istanbul using six different fixed effect panel tobit and four different fixed effect panel logit regression models. The results of logit models suggest that as idiosyncratic risk increases, probability of positive stock returns also increases. Furthermore, an increase in a stock's market sensitivity has a negative effect on the probability of positive returns, while an increase in the market-to-book ratio, firm size, and market return has positive effects on returns. In all models, the explanatory variables, including idiosyncratic risk, market-to-book ratio, firm size, and market return, have a positive effect on returns, except for the model where negative values of dependent variable are censored at zero.

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Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Cited by 2 publications

References 89 publications

Aşaği Yönlü Ri̇sk Ölçütleri̇ Ve Modern Portföy Teori̇si̇ni̇n Karşilaştirilmasi: Borsa İstanbul Örneği̇

Aşaği Yönlü Ri̇sk Ölçütleri̇ Ve Modern Portföy Teori̇si̇ni̇n Karşilaştirilmasi: Borsa İstanbul Örneği̇

Does Idiosyncratic Risk Have a Significant Impact on Return Probability? A Case Study of Borsa Istanbul 100 Stocks

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