Daha İyi Bir Model? Türkiye'de Fama-French Altı Faktör Modelinin Ampirik Bir Araştırması

Öz

Bu çalışmanın amacı, Sermaye Varlık Fiyatlandırma Modeli ve Fama-French Faktörü (FF3F, FF5F ve FF6F) modellerinin Türkiye sermaye piyasasında Temmuz 2005'ten Haziran 2023'e kadar olan karşılaştırmalı performanslarını incelemektir. Bu bağlamda, Borsa İstanbul'da işlem gören tüm finansal olmayan firmalardan alınan aylık veriler kullanılarak bir zaman serisi analizi yapılmıştır. Bulgular, tüm modellerin Borsa İstanbul'da geçerli olduğunu ortaya koymaktadır. Ayrıca, FF6F modelinin hisse senedi getirilerindeki değişimleri açıklamada diğer modellerden daha iyi performans gösterdiği görülmektedir. Bu çalışma, FF6F modelinin Türkiye sermaye piyasalarındaki geçerliliğini değerlendirerek literatürdeki önemli bir boşluğu doldurmaktadır. Ayrıca, bu çalışmanın sonuçları, gelişmekte olan piyasalarda yatırım kararları ve portföy yönetimi için değerli öngörüler sunmaktadır.

Anahtar Kelimeler

• Fama-French Six Factor Model
• Momentum
• Borsa Istanbul

A Better Model? An Empirical Investigation of The Fama–French Six Factor Model in Türkiye

Öz

This study aims to investigate the comparative performances of the Capital Asset Pricing Model and Fama-French’s Factor (FF3F, FF5F, and FF6F) models in the Türkiye capital market from July 2005 to June 2023. In this context, a time series analysis was conducted using monthly data from all non-financial firms traded on the Borsa Istanbul. The findings reveal that all models are valid in the Borsa Istanbul. In addition, the FF6F model outperforms other models in explaining the variations in stock returns. This study fills an important gap in the literature by evaluating the validity of the FF6F model in the Türkiye capital markets. Besides, the results of this study offer valuable insights for investment decisions and portfolio management in emerging markets.

Anahtar Kelimeler

• Fama-French Six Factor Model
• Momentum
• Borsa Istanbul

Kaynakça

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