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Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama

Author

Listed:
  • Güler ARAS

    (Yıldız Teknik Üniversitesi, İİBF, İşletme Bölümü, Finans Kurumsal Yönetim ve Sürdürülebilirlik Uygulama ve Araştırma Merkezi (CFGS), İstanbul, Türkiye)

  • İlhan ÇAM

    (Gebze Teknik Üniversitesi, İşletme Fakültesi, Kocaeli, Türkiye)

  • Bilal ZAVALSIZ

    (Yıldız Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Yönetimi, İstanbul, Türkiye)

  • Serkan KESKİN

    (Yıldız Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Yönetimi, İstanbul, Türkiye)

Abstract

Hisse senedi getirilerindeki değişimi açıklayan faktörlerin neler olduğunun ortaya koyulması, finans literatüründeki önemli araştırma konuları arasında yer almaktadır. Bu bağlamda, Fama ve French, piyasa, büyüklük ve değer faktörlerinden oluşan üç faktörlü varlık fiyatlama modeline (FF3F), kârlılık ve yatırım faktörlerini de ekleyerek beş faktörlü bir varlık fiyatlama modeli (FF5F) geliştirmişlerdir. Bu model, ABD başta olmak üzere, çeşitli gelişmiş ülke piyasalarında test edilmiş ve modelin getirilerdeki değişimin açıklanmasındaki başarısı kanıtlanmıştır. Ancak bu modelin, gelişmiş ülke piyasalarından farklı dinamiklere sahip olan gelişmekte olan ülke piyasalarında geçerli olup olmadığı ile ilgili araştırmalarda eksiklikler vardır. Bu çalışmada, Türkiye hisse senedi piyasası için, FF5F’nin geçerli olup olmadığının incelenmesi ve FF5F’nin CAPM ve FF3F başta olmak üzere diğer alternatif modellere göre ne kadar başarılı performans gösterdiğinin test edilmesi amaçlanmıştır. Bu amaç doğrultusunda, Ocak 2005 - Haziran 2017 tarihleri arası 150 aylık dönemde, 18 adet kesişim portföyünün getirileri üzerinden analizler yapılmıştır. Regresyon analizlerinden elde edilen sabit terimlerin mutlak değerlerinin ortalaması, ortalama düzeltilmiş R2 değerleri, GRS–F test istatistik ve p-değeri sonuçları değerlendirildiğinde, FF5F’in Türkiye hisse senedi piyasasında diğer alternatif modellerden daha iyi performans gösterdiği bulgusuna ulaşılmıştır.Classification-JEL: E02, G01, H11, N20, N25

Suggested Citation

  • 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.
    • Handle: RePEc:ist:ibsibr:v:47:y:2018:i:2:p:183-207
    DOI: 10.26650/ibr.2018.47.02.0026
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    References listed on IDEAS

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    • M0 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General

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