Principles of Corporate Finance

Seventh Edition

Risk, Kazan ve Sermaye Frsat Maliyeti

Richard A. Brealey Stewart C. Myers

Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

Konular
Sermaye Piyasalarnn 75 yllk tarihesi Riskin llmesi Portfy Riski Beta ve Tekil(unique) Risk Yatrm eitlendirme Markowitz portfy teorisi Efficient Frontier

Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

1926da $1 yatrmn deeri

S&P Small Cap Corp Bonds Long Bond T Bill

6402 2587

1000

64.1 48.9

Endeks

10

16.6

1
0,1 1925

1940

1955

1970

1985

2000

Source: Ibbotson Associates

Yllar
Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

1926da $1 yatrmn kazanlar

S&P Small Cap Corp Bonds Long Bond T Bill

Gerek Kazanlar
660
267

1000

Endeks

10

6.6 5.0

1
0.1 1925

1.7

1940

1955

1970

1985

2000

Source: Ibbotson Associates

Yllar
Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

1926-2000 Kazan Oranlar

60 40

Kazan (%)

20 0 -20 -40

Common Stocks Long T-Bonds T-Bills

26

30

35

40

45

50

55

60

65

70

75

80

85

90

95

Yllar
Source: Ibbotson Associates
Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

20

00

-60

Ortalama Risk Primleri (1999-2000)

Risk primi (%)
11 10 9 8 7 6 5 4 3 2 1 0

4,3

5,1

7,1 7,5 6 6,1 6,1 6,5 6,7

9,9 10 11 9,9 8,5

USA

Swe

Ire

Aus

Swi

UK

Den

Ger

Can

Neth

Spa

lke
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Jap

Bel

Fra

It

Riskin llmesi
Varyans Beklenen kazantan sapmalarn karelerinin ortalamas. Bir volatilite lt. Standart Sapma Varyansn kare kk. Bir volatilite lt.

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Riskin llmesi
Para Atma Oyunu
(1) (2) (3) Kazan Oran (%) Ortalamadan sapma Sapmanin Karesi + 40 + 10 + 10 - 20 Varyans = 1800/4 = 450 Standart sapma = 450 = %21.2 + 30 0 0 - 30 900 0 0 900

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Riskin llmesi
Hisse Piyasasnn Yllk Kazanlarnn Dalm
13 12 11 10 9 8 7 6 5 4 3 2 1 0

Yl says

13

13 12 13 11 3

1
-50 to -40

1
-40 to -30

2
-30 to -20

4
-10 to 0 0 to 10 10 to 20 20 to 30 30 to 40 -20 to -10

2
50 to 60

Kazan (%)
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40 to 50

10

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11

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12

Riskin llmesi
eitlendirme - Riski drmek iin portfy deiik yatrm aralar arasnda yayma stratejisi. Tekil Risk Sadece belli bir hisseyi etkileyen risk faktrleri. Ayn zamanda eitlendirilebilir risk olarak bilinir. Piyasa Riski Genel hisse piyasasn etkileyen ekonomik risk kaynaklar. Ayn zamanda sistematik risk olarak da bilinir.

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13

Riskin llmesi

Portfy kazan oran

( (

ilk hissedeki portfy oran

ikinci hissedeki portfy oran

)( )(
x x

ilk hissenin kazan oran

ikinci hissenin kazan oran

) )

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14

Riskin llmesi
Portfy standart sapmas

Tekil risk Piyasa riski

0 5 10 15 Menkul Kymet Says

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15

Portfy Riski
ki hisseden oluan bir portfyn varyans aadaki 4 kutunu toplamna eittir.

Hisse 1 Hisse 1 Hisse 2

2 2 x1 1

Hisse 2 x1x 2 12 x1x 2121 2

2 x2 2 2

x1x 2 12 x1x 2121 2

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16

Portfy Riski
rnek: Portfynzde %65 Coca-Cola hissesi ve %35 Reebok hissesi olsun. Coca Cola hissesinin beklenen kazanc 10% x 65% = 6.5% ve Reebok iin ise, %20 x %35 = %7.0 olsun. Bu durumda, portfyn beklenen kazanc ise, 6.5 + 7.0 = %13.50 olacaktr. ki hisse arasndaki korelasyon katsaysn 1 kabul edelim.

Coca - Cola Coca - Cola Reebok

2 2 x1 1 (. 65 ) 2 (31 .5) 2

Reebok x 1 x 2 12 1 2 .65 .35 1 31 .5 58 .5

2 2 2 x2 (. 35 ) ( 58 . 5 ) 2 2

x 1 x 2 12 1 2 .65 .35 1 31 .5 58 .5

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17

Portfy Riski

Portfy Varyans [(.65)2 x(31.5)2 ] [(.35)2 x(58.5)2 ] 2(.65x.35x 1x31.5x58.5) 1,006.1 Standart Sapma 1,006.1 31.7 %

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18

Portfy Riski

Beklenen Portfy Kazanc (x 1 r1 ) ( x 2 r2 )

2 2 2 Portfy Varyans x1 1 x 2 2 2 2( x1 x 212 1 2 )

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19

Portfy Riski
Glgeli blgeler varyans, dier blgeler ise kovaryans terimlerini gstermektedir.
1 2 3 4 5 6

Hisse

N 1 2 3 4 5 6 N

Hisse
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20

Beta ve Tekil Risk

1.

2.

Toplam risk = eitlendirilmi risk + piyasa riski Piyasa riski beta ile llr ve piyasa deiimlerine duyarll gsterir.

Beklenen hisse kazanc beta +10% -10%

- 10% -10%

+10%

Beklenen piyasa kazanc

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21

Beta ve Tekil Risk

Piyasa Portfy Ekonomideki tm varlklarn portfy. Uygulamada kapsaml piyasa endeksi (rn: S&P Composite) kullanlr. Beta Hisse senedinin piyasa portfynn kazancndaki deiimlere kar duyarlldr.
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22

Beta ve Tekil Risk

im Bi 2 m

Piyasa ile fiyat arasndaki Kovaryans

Piyasann varyans

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23

Markowitz Portfy Teorisi

Deiik hisselerin portfyde bulundurulmas standart sapmay(riski) drr. Korelasyon katsays bu d salamaktadr. Azalan standart sapmay salayan bu portfylere verimli portfyler(efficient portfolios) denir.

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24

Markowitz Portfy Teorisi

Fiyat deiiklikleri vs. Normal dalm
Microsoft Gnlk % deiim 1990-2001
0.14 0.12

Gnlerin Oran

0.1 0.08 0.06 0.04 0.02 0

-9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9

Gnlk % Deiim
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25

Markowitz Portfy Teorisi

Standart Sapma vs. Beklenen Kazan
Yatrm A
20 18 16

Olaslk (%)

14 12 10 8 6 4 2 0
-50 0 50

Kazan (%)
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26

Markowitz Portfy Teorisi

Standart Sapma vs. Beklenen Kazan
Yatrm B
20 18 16

Olaslk (%)

14 12 10 8 6 4 2 0
-50 0 50

Kazan (%)
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27

Markowitz Portfy Teorisi

Standart Sapma vs. Beklenen Kazan
Yatrm C
20 18 16

Olaslk (%)

14 12 10 8 6 4 2 0
-50 0 50

Kazan (%)
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28

Markowitz Portfy Teorisi

Beklenen Kazanlar ve Standart Sapmalar, hisseler arasnda farkl arlklar kullanldnda deimektedir.
Reebok Beklenen Kazan (%)

%35 Reebok

Coca Cola Standart Sapma

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29

Verimli n Eri (Efficient Frontier)

Her bir yarm eri iki hissenin farkl kombinasyonlarn gstermektedir. Tm hisse kombinasyonlar birletirildiinde verimli n eri (efficient frontier) elde edilmektedir.

Beklenen Kazan (%)

Standart sapma
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30

Efficient Frontier
Risksiz orandan (rf) bor verme veya bor alma bizi efficient frontier in dna gtrecektir.
Beklenen Kazan (%)

rf S
Standart Sapma

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31

Efficient Frontier
Korelasyon katsays = .4 Hisseler say Portfy % ABC Corp 28 %60 Big Corp 42 %40 Ortalama %15 %21

Standart Sapma(arlkl ortalama) = 33.6 Standard Sapma(portfy) = 28.1 Kazan(arlkl ortalama) Portfy = %17.4

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32

Efficient Frontier
Korelasyon katsays = .4 Hisseler s Portfy (%) Ort. Kazan ABC Corp 28 %60 %15 Big Corp 42 %40 %21

Standart Sapma (arlkl ort.) = 33.6 Standart Sapma (portfy) = 28.1 Kazan (arlkl ort.) Portfy = %17.4

New Corp hisselerini portfye ekliyelim.

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33

Efficient Frontier
Korelasyon katsays = 0.3 Hisseler s Portfy (%) Portfy 28.1 %50 New Corp 30 %50
YEN Standart Sapma (arlkl) = 31.80 YEN Standart Sapma (portfy) = 23.43 YEN Kazan (arlkl) portfy = %18.20

Ort. Kazan %17.4 %19

NOT: Daha Yksek Kazan ve Daha Dk Risk ETLENDRME ETKS

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34

Efficient Frontier
Kazan

B
A
Risk (s)

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35

Efficient Frontier
Kazan

B
AB A Risk

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36

Efficient Frontier
Kazan

B
AB A N

Risk

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37

Efficient Frontier
Kazan

B
ABN AB A N

Risk

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38

Efficient Frontier
Kazan Hedef yukar sola hareket etmektir. NEDEN?

B
ABN AB A N

Risk

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39

Efficient Frontier
Kazan
Dk Risk Yksek Kazan Yksek Risk Yksek Kazan

Dk Risk Dk Kazan

Yksek Risk Dk Kazan

Risk

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40

Efficient Frontier
Kazan
Dk Risk Yksek Kazan Yksek Risk Yksek Kazan

Dk Risk Dk Kazan

Yksek Risk Dk Kazan

Risk

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41

Efficient Frontier
Kazan

ABN AB A

Risk

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42

Menkul Kymet Piyasa izgisi

Kazan

Piyasa kazanc = rm Risksiz Kazan = rf

.
Verimli Portfy

Risk

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43

Menkul Kymet Piyasa izgisi

(Security Market Line, SML)
Kazan

Piyasa Kazanc= rm

.
Verimli Portfy

Risksiz Kazan=rf 1.0 BETA

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44

Security Market Line

Kazan

.
Risksiz Kazan = rf Security Market Line (SML)

BETA

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45

Security Market Line

Kazan SML

rf
1.0
BETA

SML Denklemi = rf + B ( rm - rf )
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46

Capital Asset Pricing Model

R = r f + B ( r m - rf )

CAPM
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47

CAPMin Denenmesi
Beta vs. Ortalama Risk Pirimi
Ortalama Risk Primi 1931-65

SML

30 Yatrmclar

20

10

Piyasa Portfy 1.0

Portfy Beta

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48

CAPMin Denenmesi
Beta vs. Ortalama Risk Primi
Ortalama Risk Primi 1966-91

30

20

Yatrmclar

SML

10

Piyasa Portfy
1.0
Portfy Beta

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49

CAPMin Denenmesi
Kazan vs. Book-to-Market
25

$
20 15 10 5 0
1928 1933 1938 1943 1948 1953 1958 1963 1968 1973 1978 1983 1988 1993 1998

High-minus low bookto-market

Low minus big

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50

Tketim Beta v.s. Piyasa Beta

Hisseler
(ve dier riskli varlklar)

Hisseler
(ve dier riskli varlklar)

Refah belirsiz Piyasa riski refah seviyesini belirsizletirir. Standart CAPM Tketim Belirsiz Tketim

Refah

CAPM

Refah = piyasa portfy

Tketim

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51

Arbitrage Pricing Theory

CAPMin alternatifi
Beklenen Risk Primi = r - rf = Bfactor1(rfactor1 - rf) + Bf2(rf2 - rf) + Kazan = a + bfactor1(rfactor1) + bf2(rf2) +

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52

Arbitrage Pricing Theory

Tahmini Risk Pirimleri (1978-1990)
Faktr Yield spread Faiz oran Kur Oranlar Reel GSMH Enflasyon Piyasa Tahmini Risk Prim i (rfactor rf ) 5.10% - .61 - .59 .49 - .83 6.36
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