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

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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)

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.

Suggested Citation

  • Songül Kakýllý Acaravcý & Yunus Karaömer, 2018. "The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(3), pages 1-12.
    • Handle: RePEc:eco:journ4:2018-03-1
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    References listed on IDEAS

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    5. Mardy Chiah & Daniel Chai & Angel Zhong & Song Li, 2016. "A Better Model? An Empirical Investigation of the Fama–French Five-factor Model in Australia," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 595-638, December.
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    Cited by:

    1. Michal Gnap, 2022. "Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model," Research Reports, University of Warsaw, Faculty of Management, vol. 1(36), pages 4-14.
    2. Ekinci, Cumhur & Bulut, Ali Eray, 2021. "Google search and stock returns: A study on BIST 100 stocks," Global Finance Journal, Elsevier, vol. 47(C).

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    More about this item

    Keywords

    CAPM; Fama-French Factor Models; Regression Analysis.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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