ABSTRACT

The purpose of this study is to evaluate the asset pricing models for Borsa Istanbul. Within this scope, we apply Capital Asset Pricing Model, Fama-French Three Factor Model, and Fama-French Five Factor Model. This study covers the firms listed in BIST 100 index between 2005 and 2017 years. The findings show that Fama-French Five Factor Model is the best performing model when we compare Capital Asset Pricing Model and Fama-French Three Factor Model. The regression estimations findings provide evidence that there are still the size and value premiums, but these premiums are not strong and the market premium is an important factor for Borsa Istanbul. In addition, there are strong investment patterns in the average returns and there is a profitability premium but not unambiguously strong in explaining the stock returns. On the other hand, the factor spanning tests prove that profitability is a non-redundant factor. Moreover, through the factor spanning tests, we can say that the value premium is a redundant factor and it does not improve the description of average return.

摘要

本研究的目的是评估伊斯坦布尔证券交易所的资产定价模型。在这个范围内，我们应用了资本资产定价模型、Fama-French 三因素模型和 Fama-French 五因素模型。本研究涵盖了 2005 年至 2017 年间列入 BIST 100 指数的公司。研究结果表明，当我们比较资本资产定价模型和 Fama-French 三因素模型时，Fama-French 五因素模型是表现最好的模型。回归估计结果提供了证据表明仍然存在规模和价值溢价，但这些溢价并不强，市场溢价是伊斯坦布尔证券交易所的一个重要因素。此外，平均回报有很强的投资模式，有盈利溢价，但在解释股票回报方面并不明确。另一方面，因子跨越检验证明盈利能力是一个非冗余因子。而且，通过因子跨度检验，我们可以说价值溢价是一个多余的因子，并没有改善对平均回报的描述。