The comparison of capital asset pricing model and arbitrage pricing model: Practice on BIST

The definiton of risk and variety of risks are examined in the first chapter. Investors attach importance to risk in portfolio because of affecting the return. Two kinds of risk that the first one is systematic risk and the other one is nonsystematic risk. Systematic risk is the total risk that created by the factors affecting all the securities involved in market. On the other hand, nonsystematic risk is about the company or originated from sector. This type of risk can be eliminated by providing with necessary diversification. More details about the kinds of risks are in the chapter. The purpose of the investors that provide the return from securities and portfolio. There are ratio of risk and portfolio at the same time. Therefore, the relationship between risk and return have direct proportion all time. The risk measurement of asset and more than one asset are different from each other. Also mathematical measures such as variance, standard deviation, covariance and correlation were addressed in this study. In the second chapter, this study included that the factor of risk which affect the return applied to eliminate portfolio concept and this concept is the more important over the years. The aim of the portfolio management, investments are that vary and minimize the level of risk. The article of ''Portfolio Selection'' is the first step of portfolio management in 1952. In addition, Markowitz published the book that is about the variety of portfolio, management, measurement of risk and occurance the concept of modern portfolio in 1959. Then, theory of portfolio whom Sharpe in 1964, Lintner in 1965, Mossin in 1966 developed independently. Also, Sharpe found the model of portfolio management and Lintner and Mossin contributed to develop this model. Third chapter included the definitions of capital asset pricing and arbitrage asset pricing models and comparison of these models using forms and assumption. Financial capital asset model considers the important market portfolio and states that the beta coefficient which is an indicator of systematic risk is also used in explaining the asset returns. Financial capital asset model is that the product of capital market determines the market price of risk while the equalization and it develops the measurement of risk for one asset. Financial Capital Asset based on the market portfolio. The market takes advantage of portfolio returns while it determines the risky securities returns. Researchers have developed and investigated the new models because of inadequate financial capital asset. The name of the new model is Arbitrage Asset Model. When the securities have the same risk and return in the market, arbitrage and price have predicted to balance for investors. Arbitrage is the formation of different prices of the same securities in the different markets. Investors make a profit by buying in the low price market and selling in the high price market. Arbitrage Asset Model developed by Stephan A.Ross in 1970 and it published and formulated in 1976. According to the Ross's Model, it had less limiting features than Financial Capital Asset Model. It is the pointed of Ross's Model that a lot of factors of systematic risk predict to affect the rate of asset returns. Arbitrage Asset Model includes that the relationship between the risk and return by using heavy averages of interest rate risk, market risk, nonpayment risk, purchasing power risk, management risk and other risk factors. Fourth chapter involves the methodological information of using some tests. In addition, index of BIST 100 can affect the nine independent macroeconomic variables and it investigated the relationship between the period of 05/2010- 01/2020 in this study. While it was used the Granger test for short term relation, Johansen test was used the long term relation. Moreover, this study was analyzed the impact of variables in model based on the period of BIST 100 by using action- reaction analyze. As a result of these analyzes, variables do not have an effect in the short term on the BIST 100 without the interest rate variable but they have an effect in the long term. Key Words: Return, risk, portfolio, financial capital asset, arbitrage asset.