Özet:

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

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