The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul
The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul
Author(s): Aysenur Tarakcioglu Altinay, Mesut Dogan, Bilge Leyli Demirel Ergun, Sevdie AlshiqiSubject(s): Economy, Business Economy / Management
Published by: Институт за икономически изследвания при Българска академия на науките
Keywords: CAPM; Fama-French Five Factors Model (FF5F); Stock Returns; Borsa
Summary/Abstract: This study aims to test the validity of the Fama-French Five-Factor Model (FF5F) for Turkey. Within the scope of the study, throughout 468 weeks between September 2009 and August 2018, the returns over the risk-free interest rate of 18 different intersection portfolios are used based on value, profitability, and investment factors. A total of 8424 portfolios (18 portfolios x 468 weeks) are generated in the study. As a result of the analyses, it is determined that the Five-Factor Asset Pricing Model is valid for Borsa İstanbul. Subsequently, it is concluded that the Fama-French Five-Factor Model has a higher explanatory power in describing the stock returns of the portfolios formed with stocks of small-scale companies compared to the portfolios formed with stocks of large-scale companies. The findings are consistent with the literature.
Journal: Икономически изследвания
- Issue Year: 2023
- Issue No: 4
- Page Range: 3-21
- Page Count: 19
- Language: English
