Abstract:

The purpose of the study is to investigate the validity of the Fama French Five Factor Asset Pricing Model in the Stock Exchange in Istanbul. For this purpose, between 2006 and 2018, the return on the risk-free interest rate of the stock exchanges that are constantly traded in the Stock Exchange in Istanbul has been examined. Method - Quartal prepared set of data and the impact on stock returns are independent variables studied stock risk premiums, market value, record value/market value ratio, profitability and investment factors. Panel data analysis was used as an econometric analysis method. In contrast to the findings suggested by Fama and French (2015) there was a positive relationship between the market value and the investment factor and the revenue, while the relationship was found negative for the record value/market value factor. The profitability factor, however, has given unreasonable statistical results in the outstanding outcomes. Results - It is still apparent that the risk prime factor retains its importance in terms of the impact on the return of the stock. The findings do not provide sufficient evidence that the Fama French Five Factor Model for the relevant period is valid at the Stock Exchange in Istanbul.

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Abstract:

Purpose - The aim of this study is to investigate the validity of the Fama French Five-Factor Asset Pricing Model in Borsa Istanbul. For this purpose, the excess returns of the shares traded in Borsa Istanbul between 2006 and 2018 were analyzed. Methodology – The independent variables were the market risk premium, market capitalisation, book – to – market value ratio, profitability and investment factors. Panel Data Analysis was used as econometric analysis method in the study. Findings – There is a positive relationship between market value and investment factor and returns, while the relationship is found to be negative for book – to – market value ratio factor. The profitability factor is statistically meaningless in explaining the excess returns. Conclusions – The risk premium factor still remains important in terms of its effect on excess returns. The findings do not provide sufficient evidence that the Fama French Five-Factor Asset Pricing Model is valid for Borsa Istanbul during the relevant period.