Examining the Role of Profitability and Momentum Factors in the Fama-French Six-Factor Model: An Example of Borsa Istanbul

Abstract

This study aims to test the Fama-French five-factor model (FF5F) and the Fama-French six-factor model (FF6F), which are asset pricing models. For this purpose, quarterly data for the period 2019:Q1-2023:Q4 of 58 firms traded in both Borsa Istanbul Sustainability Index and Corporate Governance Index were used. In addition, models that take into account return on equity (ROE) as well as profitability (operating profitability) instead of just one profitability measure were constructed and compared with other models. The obtained data was subjected to panel data analysis. According to the analyses, it was observed that the market risk factor contributes most to the explanatory power of all models. Firm size was identified as the second most important factor contributing to the model. As a result, hypotheses stating that " the FF6F model explains share returns better than the FF5F model" and "ROE is more effective than operating profitability in explaining share returns" were accepted.

Keywords

• Fama-French five-factor model
• Fama-French six-factor model
• Profitability
• Momentum
• BIST

Fama-French Altı Faktör Modelinde Karlılık ve Momentum Faktörlerinin Rolünün İncelenmesi: Borsa İstanbul Örneği

Abstract

Bu çalışmada varlık fiyatlama modellerinden Fama ve French beş faktör modeli (FF5F) ile Fama ve French altı faktör modelinin (FF6F) test edilmesi amaçlanmıştır. Bu amaçla Borsa İstanbul Sürdürülebilirlik Endeksi ve Kurumsal Yönetim Endekslerinin her ikisinde de işlem gören 58 işletmenin 2019:Q1-2023:Q4 dönemine ait çeyreklik verileri kullanılmıştır. Ayrıca ilgili modellerde kullanılan karlılık (faaliyet karlılığı) değişkeni yerine özsermaye karlılığını da (ROE) dikkate alan modeller oluşturularak diğer modeller ile kıyaslanmıştır. Elde edilen veriler panel veri analizi ile test edilmiştir. Yapılan analizlere göre modellerin tamamının açıklayıcılığına en çok katkıyı piyasa risk faktörünün sağladığı görülmüştür. İşletme büyüklüğü ise modele en önemli katkıyı sağlayan ikinci faktördür. Sonuç olarak “pay getirilerini FF6F modeli FF5F modeline göre daha iyi açıklar” şeklindeki hipotez ile “pay getirilerini açıklamada özsermaye karlılığı faaliyet karlılığına göre daha etkindir” şeklinde kurulan hipotezler kabul edilmiştir.

Keywords

• Fama-French 5 faktör modeli
• Fama-French 6 faktör modeli
• Karlılık
• Momentum
• BİST

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