The aim of this study is to test these models in Istanbul Stock Exchange; The Three Factor Model (FF3F Model) which is developed by Fama & French (1992, 1993 and 1996) as an alternative to the Capital Asset Pricing Model (CAPM) and The Five Factor Model (FF5F Model) which is also developed by Fama & French (2015) that takes the existing studies one step further. According to that, FF3F and FF5F models are tested by using 108 months closing prices of the stocks continuously traded in BIST 100 Index between July 2009 and June 2018. 6 regression model for FF3F Model and 14 regression model for FF5F Model were tested with multiple time series regression analysis. The results showed that the FF3F and FF5F Model can be applied on BIST 100 Index. Furthermore, when the F statistics and Adjusted R2 values were examined, it was concluded that the FF3F model outperformed the FF5F Model in explaining the stock returns.
Capital Asset Pricing Model Fama & French Three Factor Model Fama & French Five Factor Model Istanbul Stock Exchange
Sermaye Varlıklarını Fiyatlama Modeli Fama & French Üç Faktör Modeli Fama & French Beş Faktör Modeli Borsa İstanbul
Primary Language | Turkish |
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Subjects | Finance |
Journal Section | Research Papers |
Authors | |
Publication Date | February 28, 2021 |
Submission Date | December 15, 2020 |
Published in Issue | Year 2021 Volume: 6 Issue: 14 |
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.