The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey

Songül Kakýllý Acaravcý and Yunus Karaömer
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Songül Kakýllý Acaravcý: Hatay Mustafa Kemal Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Ýþletme Bölümü, Hatay
Yunus Karaömer: Hatay Mustafa Kemal Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Ýþletme Bölümü, Hatay

Isletme ve Iktisat Calismalari Dergisi, 2018, vol. 6, issue 3, 1-12

Abstract: 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 2005-June 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 Fama-French 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.

Keywords: CAPM; Fama-French Factor Models; Regression Analysis. (search for similar items in EconPapers)
JEL-codes: C22 G11 G12 (search for similar items in EconPapers)
Date: 2018
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