Hisse senedi fiyatlarının reel opsiyonlara dayalı analizi: İstanbul Menkul Kıymetler Borsası örneği

It is widely accepted in financial economics that it is crucial to provide performance efficiency of asset pricing mechanism because a well-regulated stock market renders an important package of economic services. However, some financial economists uncovered a wide variety of stock market anomalies that cannot be explained by traditional asset pricing models. This study relates the explanation of these anomalies to non-normal equity return distribution found over the cross section of firms.The main purpose of the current study is to discuss stock market anomalies by linking empirical studies with Real Options Theory. Performance of stock returns was examined by utilizing dynamic portfolio grouping. It was tested if sorting along growth options results in asymmetry in the return distributions of stock portfolios. The results of the research indicated that the risk and pay-off characteristics of growth options appear to introduce differences in the performance of stocks. It was observed that return distribution of portfolios composed of firms with more growth options have higher value of variance, skewness and mean.There have been many studies about anomalies in Istanbul Stock Exchange (ISE), but what makes the contribution of this thesis incremental to existing literature is that it provides real options based explanation for pricing anomalies by using stock return data of non-financial firms listed in ISE.Key Words: Asset Pricing Models, Efficient Market Hypothesis, Equity Return Distribution, ISE, Present Value of Growth Options, Real Options, Stock Market Anomalies.