Özet:

According to the Fama French Three Factor Asset Pricing Model, the change in stock return is explained by the excess return, scale and DD/PD rates over the risk-free interest rate of the market. The main objective of this study is to adapt the Fama French Three Factor Asset Pricing Model to Islamic Finance. The study also aims to compare the results of the Traditional Fama French Three Factor Asset Pricing Model with the results of the Islamic Fama French Three Factor Asset Pricing Model. In line with this goal, 25 shares were based each year between the years 2011-2017 included in the KATLM 30 index, which is positive at the end of December and can be reached without interruption. In the study, BIST 100 and KATLM 30 were used as two separate market returns. The Islamic Fama French Three Factor Asset Pricing Model was adopted by inflation instead of the interest rate for the creation. The monthly data of the earning shares were analyzed using the regression analysis method. The research has found that the Fama French Three Factor Asset Pricing Model is applicable to Islamic Finance but is not applicable to the relevant period. Traditional Fama French Three Factor Asset Pricing Model has been found to apply to SH, BL, UN and BH portfolios

Anahtar Kelimeler:

Özet:

Fama French Change in stock return by Three Factor Asset Pricing Model; The excess return on the market's risk-free interest rate is explained by the ratios and the DD / PD ratios. The main aim of this study is to test the validity of the Fama French Three Factor Asset Pricing Model in Islamic finance. It is also aimed to compare the results of the Traditional Fama French Three Factor Asset Pricing Model in the study with the results of the Islamic Fama French Three Factor Asset Pricing Model. In line with this aim, each year between 2011 and 2017, which is included in the KATLM-30 index, 25 share certificates, which are positive in nature and accessible to uninterrupted data, are taken at the end of December. Two separate market portfolios BİST100 and KATLM30 were taken in the study. Islamic Fama French Inflation was obtained instead of the interest rate for the creation of the Three Factor Asset Pricing Model. The monthly data of the stocks obtained were analyzed by the regression analysis method. As a result of the research, the Fama French Three Factor Asset Pricing Model is applied to Islamic financing but not for the period concerned. In the traditional Fama French Three Factor Asset Pricing Model, it has been determined that the market portfolio is valid for the SH, BL, BM and BH portfolios in the model received from BİST100