PERFORMANCE ANALYSIS ON PARTICIPATION COMPANIES: EVIDENCE FROM TURKEY

Yıl 2022, Cilt: 4 Sayı: 2, 15 - 34, 31.12.2022

Sakina Karroum Afıssou Badırou

https://doi.org/10.46482/ebyuiibfdergi.1190526

Öz

This paper aims to evaluate how the participation companies perform in Turkey during the period of 2016 to 2020. The study uses daily returns for evaluating performance for portfolios and companies. The evidence from the returns of 102 companies, consists of 1256 observations. The study adopts the CAPM extended to Fama and French model to evaluate six portfolios of companies and denoted that all portfolios from participation companies show better performance than the market during the period under review. It shows that the larger the size and value of the portfolio, or the smaller the size and value, the more efficient the performance is. Besides, the results show that most companies outperformed the market benchmark. This study contributes to analyzing performance of hundred and two types of participation companies, that are relevant and important for Turkish and foreign investments.

Anahtar Kelimeler

Fama and French model, Capital Asset Pricing Model, Participation companies

PERFORMANCE ANALYSIS IN PARTICIPATION COMPANIES: THE CASE OF TURKIYE

Öz

This study aims to evaluate the performance of unit fund companies in Turkey in the period of 2016-2020.For this purpose, daily returns are used to evaluate unit fund performance for portfolios and companies.Based on the data obtained from the returns of 102 companies, 1256 observations were examined.In the study, CAPM(Capital Asset Pricing Model), which was extended to the Fama and French model, was used to evaluate six company portfolios.According to the results obtained, participation funds outperform all portfolios from stock markets.Besides, the results show that most companies outperformed the market benchmark. This study contributes to the analysis of the performance of 102 participation companies that are relevant and important for Turkish and foreign halal investments. 

Anahtar Kelimeler

Fama and French model, Performance, Capital Asset Pricing Model, Participationcompanies

Kaynakça

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