MARKET RISK PREMIUMS IN BIST 100 IN THE COVID ERA

Suat TEKER; Dilek TEKER; Esin DEMIREL

doi:https://doi.org/10.17261/Pressacademia.2021.1498

Makale detayları

MARKET RISK PREMIUMS IN BIST 100 IN THE COVID ERA

Yazarlar:

Suat TEKER | Dilek TEKER | Esin DEMIREL

Yayıncı:

PressAcademia

Ana Başlıklar:

Yönetim | Genel yönetim

Dergi:

PressAcademia Procedia 2021 Vol.14 Issue 1, pp.110-112

Belge Tipi:

Makale

Yayın Tarihi:

12/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000774855

Sıklık:

Üç Yıllık

eISSN:

2459-0762

DOI:

https://doi.org/10.17261/Pressacademia.2021.1498

Özet:

 

Purpose- Capital Asset Pricing Model (CAPM) is the most widely used and popular method in analysis of investment projects, stock valuation,
firm valuation, mergers and acquisitions, initial public offerings and secondary public offerings. The determination of market risk premium is
one of the most important inputs in the application of this model. The determination of market risk premium for the Turkish market has not
deeply studied in the literature so far. This study intends to calculate the market risk premium for the Turkish Stock Market with a special
emphasis on the Covid-19 era.
Methodology- The monthly data from the Reuters Database are collected for the BIST100 and 17 different sectoral indexes for the years of
2019 and 2020. Moreover, the monthly average short term interest rates on the Turkish Treasury Bonds are obtained from the database of
Central Bank of Turkey for the years of 2019 and 2020. Based upon the historical observations, the market risk premium is defined as the
difference in between the market index returns (BIST100 and 17 sectoral indexes) and the average short term interest rates on monthly
basis.
Findings- The market risk premiums measured on BIST100 index are about 10% in 2019 and 20% in 2020. The market risk premium is doubled
in the Covid era. The volatilities of BIST100 index are 7.86% in 2019 and 8.15% in 2020. The volatility of market risk premiums are also
significantly increased in the Covid era.
Conclusion- Covid era has significantly increased the market risk premiums and volatilities of the Turkish market. The results of this study
may be used as a reference study for local and international financial institutions, valuation industry and trade firms and academics for an
approximation of market risk premium in the Covid era.

Makale detayları

MARKET RISK PREMIUMS IN BIST 100 IN THE COVID ERA

Yazarlar: Suat TEKER | Dilek TEKER | Esin DEMIREL

Yayıncı: PressAcademia

Ana Başlıklar: Yönetim | Genel yönetim

Dergi: PressAcademia Procedia 2021 Vol.14 Issue 1, pp.110-112

Belge Tipi: Makale

Yayın Tarihi: 12/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000774855

Sıklık: Üç Yıllık

eISSN: 2459-0762

DOI: https://doi.org/10.17261/Pressacademia.2021.1498

Sayı

Yazarlar:

Suat TEKER | Dilek TEKER | Esin DEMIREL

Yayıncı:

PressAcademia

Ana Başlıklar:

Yönetim | Genel yönetim

Dergi:

PressAcademia Procedia 2021 Vol.14 Issue 1, pp.110-112

Belge Tipi:

Makale

Yayın Tarihi:

12/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000774855

Sıklık:

Üç Yıllık

eISSN:

2459-0762

DOI:

https://doi.org/10.17261/Pressacademia.2021.1498