Fama-French Five Factor Model: Evidence from Turkey
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 rati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2017-12-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/5822 |
| _version_ | 1828021092708515840 |
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| author | Songül Kakilli Acaravci Yunus Karaomer |
| author_facet | Songül Kakilli Acaravci Yunus Karaomer |
| author_sort | Songül Kakilli Acaravci |
| collection | DOAJ |
| description |
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.
Keywords: CAPM, Fama-French Five Factor Model, Asset Pricing Models, Time Series.
JEL Classifications: C19, D53, G14
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| first_indexed | 2024-04-10T11:46:57Z |
| format | Article |
| id | doaj.art-2ad3a41757734627aa41a4a52bae06bf |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:46:57Z |
| publishDate | 2017-12-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-2ad3a41757734627aa41a4a52bae06bf2023-02-15T16:17:18ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-12-0176Fama-French Five Factor Model: Evidence from TurkeySongül Kakilli Acaravci0Yunus KaraomerMustafa Kemal University, Hatay 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. Keywords: CAPM, Fama-French Five Factor Model, Asset Pricing Models, Time Series. JEL Classifications: C19, D53, G14 https://econjournals.com/index.php/ijefi/article/view/5822 |
| spellingShingle | Songül Kakilli Acaravci Yunus Karaomer Fama-French Five Factor Model: Evidence from Turkey International Journal of Economics and Financial Issues |
| title | Fama-French Five Factor Model: Evidence from Turkey |
| title_full | Fama-French Five Factor Model: Evidence from Turkey |
| title_fullStr | Fama-French Five Factor Model: Evidence from Turkey |
| title_full_unstemmed | Fama-French Five Factor Model: Evidence from Turkey |
| title_short | Fama-French Five Factor Model: Evidence from Turkey |
| title_sort | fama french five factor model evidence from turkey |
| url | https://econjournals.com/index.php/ijefi/article/view/5822 |
| work_keys_str_mv | AT songulkakilliacaravci famafrenchfivefactormodelevidencefromturkey AT yunuskaraomer famafrenchfivefactormodelevidencefromturkey |