Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama

Year 2018, Volume: 47 Issue: 2, 183 - 207, 27.03.2019

Güler Aras İlhan Çam , Bilal Zavalsız Serkan Keskin

Abstract

Hisse senedi getirilerindeki değişimi açıklayan faktörlerin neler olduğunun ortaya koyulması, finans literatüründeki önemli araştırma konuları arasında yer almaktadır. Bu bağlamda, Fama ve French, piyasa, büyüklük ve değer faktörlerinden oluşan üç faktörlü varlık fiyatlama modeline (FF3F), kârlılık ve yatırım faktörlerini de ekleyerek beş faktörlü bir varlık fiyatlama modeli (FF5F) geliştirmişlerdir. Bu model, ABD başta olmak üzere, çeşitli gelişmiş ülke piyasalarında test edilmiş ve modelin getirilerdeki değişimin açıklanmasındaki başarısı kanıtlanmıştır. Ancak bu modelin, gelişmiş ülke piyasalarından farklı dinamiklere sahip olan gelişmekte olan ülke piyasalarında geçerli olup olmadığı ile ilgili araştırmalarda eksiklikler vardır. Bu çalışmada, Türkiye hisse senedi piyasası için, FF5F’nin geçerli olup olmadığının incelenmesi ve FF5F’nin CAPM ve FF3F başta olmak üzere diğer alternatif modellere göre ne kadar başarılı performans gösterdiğinin test edilmesi amaçlanmıştır. Bu amaç doğrultusunda, Ocak 2005 - Haziran 2017 tarihleri arası 150 aylık dönemde, 18 adet kesişim portföyünün getirileri üzerinden analizler yapılmıştır. Regresyon analizlerinden elde edilen sabit terimlerin mutlak değerlerinin ortalaması, ortalama düzeltilmiş R2 değerleri, GRS–F test istatistik ve p-değeri sonuçları değerlendirildiğinde, FF5F’in Türkiye hisse senedi piyasasında diğer alternatif modellerden daha iyi performans gösterdiği bulgusuna ulaşılmıştır. 

Keywords

Varlık fiyatlama modelleri, Fama-French Üç Faktör Modeli, Fama-French Beş Faktör Modeli, Kârlılık Faktörü, Yatırım Faktörü

A Comparison of the Performance of Fama-French Multifactor Asset Pricing Models: An Application on Borsa İstanbul

Abstract

Exploring the factors that explain changes in stock returns is one of the most important research topics in finance literature. Recently, Fama and French have developed the five-factor asset-pricing model (FF5F) by adding profitability and investment factors on the three-factor model (FF3F), which consists of market, size and value factors. This model has been tested in various developed countries, especially in the USA, and has proved its success in explaining the changes in stock returns. However, there are deficiencies in the researches on whether this model is valid for developing countries with different dynamics from developed countries. In this paper, it is aimed to examine whether the FF5F is valid for Turkish stock market and to test how successful the FF5F is in comparison with the CAPM, FF3F and other alternative models. For this purpose, returns of 18 different intersection portfolios have been analyzed during the period of 150-months between January 2005 and June 2017. According to the regression results of mean absolute values of intercept terms, mean adjusted R-squared values, GRS-F test statistics and its p-values, it has been found that FF5F performs better than the other alternative models in the Turkish stock market. 

Keywords

Asset pricing models, Fama–French Three Factor Model, Fama–French Five Factor Model, Profitability Factor, Investment Factor

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