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Fama-French Five Factor Model: Evidence from Turkey

Author

Listed:
  • Song l Kakilli Acaravci

    (Faculty of Economics and Administrative Sciences, Department of Finance and Accounting, Mustafa Kemal University, Hatay, Turkey)

  • Yunus Karaomer

    (Faculty of Economics and Administrative Sciences, Department of Finance and Accounting, Mustafa Kemal University, Hatay, Turkey)

Abstract

The aim of this study is to test the validity of the Fama-French Five Factor Model (FF5F) in Borsa Istanbul (BIST) during the 132-month period between July 2005 and June 2016. Therefore, the excess returns of 14 different intersection portfolios constructed on the basis of size, market to book ratio, profitability and investment factors have been used during period between July 2005 and June 2016. Our results show that there is no pricing error according to result of Gibbons, Ross, and Shanken (1989) GRS-F test of FF5F. Hence, FF5F seems to be valid in the BIST. In addition, FF5F appear to explain variations on excess portfolio returns.

Suggested Citation

  • Song l Kakilli Acaravci & Yunus Karaomer, 2017. "Fama-French Five Factor Model: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 7(6), pages 130-137.
    • Handle: RePEc:eco:journ1:2017-06-16
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    References listed on IDEAS

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    Cited by:

    1. Akin ARDA & Arif SALDANLI & Sümeyra UZUN, 2023. "Validity of asset pricing models in Istanbul Stock Exchange (ISE) information technology index," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(634), S), pages 115-136, Spring.
    2. Claudia Florensia & Neneng Susanti, 2020. "How does the six-factor model do in explaining the relationship between return and risk on the Indonesia stock exchange?," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 9(7), pages 93-107, December.
    3. Güler ARAS & İlhan ÇAM & Bilal ZAVALSIZ & Serkan KESKİN, 2018. "Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama," Istanbul Business Research, Istanbul University Business School, vol. 47(2), pages 183-207, November.

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    More about this item

    Keywords

    CAPM; Fama-French Five Factor Model; Asset Pricing Models; Time Series.;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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