ALTERNATİF FİNANSAL VARLIK FİYATLAMA MODELLERİNİN PERFORMANSLARININ ANALİZİ

Önder Büberkökü

doi:10.53507/akademikdusunce.1023373

Araştırma Makalesi

Analysis of The Performances of Alternative Asset Pricing Models

Yıl 2021, Sayı: 4, 69 - 89, 08.12.2021

Önder Büberkökü

https://doi.org/10.53507/akademikdusunce.1023373

Öz

In this study, besides Fama-French three-factor, four-factor and five-factor models, we examine the performance of 10 different factor models consisting of q-factor models and AQR style factor models.This is achieved by considering stocks of financial institutions. The relevant asset pricing models are applied to individual stock data by using ordinary regression. The study findings clearly point to the conclusion that the most suitable model for stocks of financial institutions is the five-factor Fama-French model extended with the momentum and long-term reversal factors. The findings also indicate that the market, value and momentum factors are the main drivers of the stock returns of the financial institutions.

Anahtar Kelimeler

Fama-French factor models, q-factor models, AQR style factor models

Kaynakça

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