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

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

Öz

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

Kaynakça

  • 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

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

Öz

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

Kaynakça

  • 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.
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makalesi
Yazarlar

Songul Kakilli Acaravcı

Yunus Karaomer

Yayımlanma Tarihi 1 Eylül 2018
Yayımlandığı Sayı Yıl 2018

Kaynak Göster

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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