Özet:

The aim of this study is to test whether portfolio excess returns can be explained by the independent variables included in asset pricing models. As an asset pricing model, the Financial Asset pricing model and the Fama French three-factor pricing model have been used. In the time series and regression analysis, the Financial Asset Pricing Model has found positive and meaningful relationships between the market risk prime and portfolio excess returns. The Fama French Three Factor Pricing Model also has a positive and meaningful relationship between the market risk premium and the company size and portfolio excess returns.

Anahtar Kelimeler:

Özet:

The aim of this study is to test whether the portfolio excess return can be explained by independent variables in asset pricing models. Asset pricing model has been used with the Capital Asset Pricing Model and the Fama French Three Factor Pricing Model. In the regression analysis with the time series, there was a positive and significant relationship between the market risk premium and the portfolio excess return in the Capital Asset Pricing Model. In the Fama French Three-Factor Pricing Model, there is a positive and significant relationship between market risk premium and portfolio excess return and between firm size and portfolio excess return.