Türkiye'de Fama-French Beş Faktörlü Modelin Karşılaştırmalı Performans Değelendirmesi

Year 2018, , 1 - 12, 01.09.2018

Songul Kakilli Acaravcı , Yunus Karaomer

https://doi.org/10.32479/iicd.148

Abstract

Bu çalışmanın amacı, Temmuz 2005 ile Haziran 2016 yılları arası dönemin Borsa İstanbul'da BİST Sermaye Varlıkları Fiyatlama Modeli SVFM ve Fama-French Faktör Modellerinin performansını test etmektir. Böylece hangi model veya modellerin portföy getirilerindeki değişimi daha iyi açıklayabildiğini ve hangisinin BİST'deki portföy getirilerini açıklamada kullanılabildiğini p–olasılık değeri, düzeltilmiş R2 ve GRS-F testi kullanılarak test edilmiştir. Çalışmanın sonuçları, GRS-F testi sonucuna göre CAPM hariç Fama-French Faktör Modellerinde fiyatlama hatası olmadığını göstermektedir. Böylece, Fama-French Faktör Modellerinin BİST’de geçerli olduğu görülmektedir. Ayrıca, Fama-French Faktör Modelleri portföy getirilerindeki değişimi açıklamaktadır ve FamaFrench Beş Faktör Modeli portföy getirilerini açıklamada en yüksek açıklayıcı güce sahip modeldir

Keywords

SVFM, Fama-French Faktör Modelleri, Regresyon Analizi

The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey1

Abstract

The aim of this study is to test the performance of the Capital Asset Pricing Model CAPM and Fama-French Factor Models in Borsa Istanbul BIST during period covering July 2005June 2016. Thus, it is tested by using the adjustments Adj. R2, Gibbons, Ross, and Shanken 1989 GRS-F test and p-probability values and it is aimed to find out which model s can explain the variation in portfolio returns better and which model s can be used to explain portfolio returns in BIST. The results in this article indicate that there is no pricing error as regards result of GRS-F test of FamaFrench Factor Models excluding CAPM. Hence, Fama-French Factor Models appeared to be valid in the case of BIST. Moreover, Fama-French Factor Models appear to explain variations in excess portfolio returns and Fama-French Five Factor Model has the most explanatory power in variations regarding portfolio returns

Keywords

CAPM, Fama-French Factor Models, Regression Analysis

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