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

Year 2018, , 1 - 12, 01.09.2018
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

References

  • Ajili, S. (2002). The Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France. Paris: CEREG University Working Paper.
  • Banz, R. (1981). The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3-18.
  • Bildik, R., Gulay, G. (2002). Profitability of Contrarian vs Momentum Strategies: Evidence from the Istanbul Stock Exchange. EFMA 2002 London Meetings.
  • Carhart, M. M. (1997). On the Persistence in Mutual Fund Performance. Journal of Finance 52(1), 57- 82.
  • Charitou, A., Constantinidis, E. (2003). Size and Book-to-Market Factors in Earnings and Stock Re- turns: Empirical Evidence for Japan. Illinois International Accounting Symposium, 1-37.
  • Chiah, M., Daniel, C., Zhang, A., Li, S. (2016). A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia. International Review of Finance, 16(4): 595-638.
  • Clarice, C. M., William, E. Jr. (2015). Pricing Assets with Fama and French 5-Factor Model: A Bra- zilian Market Novelty. https://www.researchgate.net/publication/277020668. [Last accesed on 2017 Apr 16].
  • Czapkiewicz, A., Wójtowicz, T. (2014). The Four-Factor Asset Pricing Model on the Polish Stock Market. Economic Research-Ekonomska Istraživanja, 27(1): 771-783.
  • Dickey, D., Fuller, W.(1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427-431.
  • Elfakhani, S., Zaher, T. (1998). Differential Information Hypothesis, Firm Neglect and the Small Firm Size Effect. Journal of Financial and Strategic Decisions, 11(2): 9-40.
  • Eugene, F., Kenneth R. F. (1993). Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33: 3-56.
  • Eugene, F., Kenneth R. F. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Econom- ics, 116: 1-22.
  • Foye, J. (2017). Testing Alternative Versions of the Fama-French Five-Factor Model in the UK. https://ssrn.com/abstract=3020947. [Last accesed on 2018 Apr 10].
  • François, E. R., William F. R. (2016). Testing Fama–French’s New Five-Factor Asset Pricing Model: Evidence from Robust Instruments. Applied Economics Letters, 23(6): 444-448.
  • Gibbons, M. R., Ross, S. A., Shanken, J. (1989) A Test of the Efficiency of A Given Portfolio. Econo- metrica, 57(5): 1121-1152.
  • Gokgoz, F. (2008). Uc Faktorlu Varlık Fiyatlandirma Modelinin Istanbul Menkul Kıymetler Borsasin- da Uygulanabilirligi. Ankara Universitesi Siyasal Bilimler Fakultesi Dergisi, 63(2): 44-64.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1): 77-91.
  • Messis, P., Blanas, G., Iatrides, G. (2006). Fama & French Three-Factor Model vs. APT: Evidence from the Greek Stock Market. http://www.academia.edu/ 26904360/ Fama_and_French_Three- Factor_model_vs._APT_Evidence_From_the _Greek_ Stock_Market [Last accesed on 2018 Apr 10].
  • Nguyen, N., Ulku, N., Zhang, J. (2015). The Fama-French Five Factor Model: Evidence from Vi- etnam. http://www.nzfc.ac.nz/archives/2016/papers/ updated/49. [Last accessed on 2017 Apr 18].
  • Philips, P., Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2): 335-346.
  • Roll, R. (1981). A Possible Explanation of the Small Firm Effect. The Journal of Finance, (36)4: 879- 888.
  • Ross, S. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory. 13(3): 341-360.
  • Sharpe, W. F. (1970). Portfolio Theory and Capital Markets, America: McGraw-Hill.
  • Wijaya, S. C., Murhadi, W. R., Utami, M. (2017). Analisis Fama French Five Factor Model Dan Three https://www.researchgate.net/publication/323392332. [Last accesed on 2018 Apr 11]. Dalam Menjelaskan Return Portofolio Saham.
  • Yalcin, O. (2012). The Performance Evaluation and Persistence of a Type Mutual Funds in Turkey, Yayinlanmamis Yuksek Lisans Tezi. Ankara: Orta Dogu Teknik Universitesi.

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

Year 2018, , 1 - 12, 01.09.2018
https://doi.org/10.32479/iicd.148

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

References

  • Ajili, S. (2002). The Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France. Paris: CEREG University Working Paper.
  • Banz, R. (1981). The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3-18.
  • Bildik, R., Gulay, G. (2002). Profitability of Contrarian vs Momentum Strategies: Evidence from the Istanbul Stock Exchange. EFMA 2002 London Meetings.
  • Carhart, M. M. (1997). On the Persistence in Mutual Fund Performance. Journal of Finance 52(1), 57- 82.
  • Charitou, A., Constantinidis, E. (2003). Size and Book-to-Market Factors in Earnings and Stock Re- turns: Empirical Evidence for Japan. Illinois International Accounting Symposium, 1-37.
  • Chiah, M., Daniel, C., Zhang, A., Li, S. (2016). A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia. International Review of Finance, 16(4): 595-638.
  • Clarice, C. M., William, E. Jr. (2015). Pricing Assets with Fama and French 5-Factor Model: A Bra- zilian Market Novelty. https://www.researchgate.net/publication/277020668. [Last accesed on 2017 Apr 16].
  • Czapkiewicz, A., Wójtowicz, T. (2014). The Four-Factor Asset Pricing Model on the Polish Stock Market. Economic Research-Ekonomska Istraživanja, 27(1): 771-783.
  • Dickey, D., Fuller, W.(1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427-431.
  • Elfakhani, S., Zaher, T. (1998). Differential Information Hypothesis, Firm Neglect and the Small Firm Size Effect. Journal of Financial and Strategic Decisions, 11(2): 9-40.
  • Eugene, F., Kenneth R. F. (1993). Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33: 3-56.
  • Eugene, F., Kenneth R. F. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Econom- ics, 116: 1-22.
  • Foye, J. (2017). Testing Alternative Versions of the Fama-French Five-Factor Model in the UK. https://ssrn.com/abstract=3020947. [Last accesed on 2018 Apr 10].
  • François, E. R., William F. R. (2016). Testing Fama–French’s New Five-Factor Asset Pricing Model: Evidence from Robust Instruments. Applied Economics Letters, 23(6): 444-448.
  • Gibbons, M. R., Ross, S. A., Shanken, J. (1989) A Test of the Efficiency of A Given Portfolio. Econo- metrica, 57(5): 1121-1152.
  • Gokgoz, F. (2008). Uc Faktorlu Varlık Fiyatlandirma Modelinin Istanbul Menkul Kıymetler Borsasin- da Uygulanabilirligi. Ankara Universitesi Siyasal Bilimler Fakultesi Dergisi, 63(2): 44-64.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1): 77-91.
  • Messis, P., Blanas, G., Iatrides, G. (2006). Fama & French Three-Factor Model vs. APT: Evidence from the Greek Stock Market. http://www.academia.edu/ 26904360/ Fama_and_French_Three- Factor_model_vs._APT_Evidence_From_the _Greek_ Stock_Market [Last accesed on 2018 Apr 10].
  • Nguyen, N., Ulku, N., Zhang, J. (2015). The Fama-French Five Factor Model: Evidence from Vi- etnam. http://www.nzfc.ac.nz/archives/2016/papers/ updated/49. [Last accessed on 2017 Apr 18].
  • Philips, P., Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2): 335-346.
  • Roll, R. (1981). A Possible Explanation of the Small Firm Effect. The Journal of Finance, (36)4: 879- 888.
  • Ross, S. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory. 13(3): 341-360.
  • Sharpe, W. F. (1970). Portfolio Theory and Capital Markets, America: McGraw-Hill.
  • Wijaya, S. C., Murhadi, W. R., Utami, M. (2017). Analisis Fama French Five Factor Model Dan Three https://www.researchgate.net/publication/323392332. [Last accesed on 2018 Apr 11]. Dalam Menjelaskan Return Portofolio Saham.
  • Yalcin, O. (2012). The Performance Evaluation and Persistence of a Type Mutual Funds in Turkey, Yayinlanmamis Yuksek Lisans Tezi. Ankara: Orta Dogu Teknik Universitesi.
There are 25 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Songul Kakilli Acaravcı

Yunus Karaomer

Publication Date September 1, 2018
Published in Issue Year 2018

Cite

APA Acaravcı, S. K., & Karaomer, Y. (2018). Türkiye’de Fama-French Beş Faktörlü Modelin Karşılaştırmalı Performans Değelendirmesi. İşletme Ve İktisat Çalışmaları Dergisi, 6(3), 1-12. https://doi.org/10.32479/iicd.148

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