THE FAMA-FRENCH FIVE-FACTOR ASSET PRICING MODEL: A RESEARCH ON BORSA ISTANBUL
Yazarlar (4)
Prof. Dr. Mesut Doğan Türkiye
Prof. Dr. Bilge Leyli DEMİREL Yalova Üniversitesi, Türkiye
Sevdıe Alshıqı
| Makale Türü | Özgün Makale (SCOPUS dergilerinde yayınlanan tam makale) | ||
| Dergi Adı | Economic Studies (Ikonomicheski Izsledvania) | ||
| Dergi ISSN | 0205-3292 Scopus Dergi | ||
| Dergi Tarandığı Indeksler | SCOPUS | ||
| Makale Dili | İngilizce | Basım Tarihi | 01-2023 |
| Cilt / Sayı / Sayfa | 32 / 4 / 3–21 | DOI | – |
| Makale Linki | https://www.iki.bas.bg/Journals/EconomicStudies/2023/2023-4/2023-04_bodytext.pdf | ||
| UAK Araştırma Alanları |
Finansal Muhasebe
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| Özet |
| 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. |
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