Güler ARAS, İlhan ÇAM, Bilal ZAVALSIZ, Serkan KESKİN

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

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.

Anahtar Kelimeler:

Varlık fiyatlama modelleri, Fama-French Üç Faktör Modeli, Fama-French Beş Faktör Modeli, Kârlılık Faktörü, Yatırım Faktörü

A Comparison of the Performance of Fama-French Multifactor Asset Pricing Models: An Application on Borsa İstanbul

Exploring the factors that explain changes in stock returns is one of the most important research topics in finance literature. Recently, Fama and French have developed the five-factor asset-pricing model (FF5F) by adding profitability and investment factors on the three-factor model (FF3F), which consists of market, size and value factors. This model has been tested in various developed countries, especially in the USA, and has proved its success in explaining the changes in stock returns. However, there are deficiencies in the researches on whether this model is valid for developing countries with different dynamics from developed countries. In this paper, it is aimed to examine whether the FF5F is valid for Turkish stock market and to test how successful the FF5F is in comparison with the CAPM, FF3F and other alternative models. For this purpose, returns of 18 different intersection portfolios have been analyzed during the period of 150-months between January 2005 and June 2017. According to the regression results of mean absolute values of intercept terms, mean adjusted R-squared values, GRS-F test statistics and its p-values, it has been found that FF5F performs better than the other alternative models in the Turkish stock market.

Keywords:

Asset pricing models, Fama–French Three Factor Model, Fama–French Five Factor Model, Profitability Factor, Investment Factor,

PDF

___

Acaravci, S. K., & Karaomer, Y. (2017). FamaFrench five factor model: evidence from Turkey, International Journal of Economics and Financial Issues, 7(6), 130-137.
Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis, Journal of Financial Economics, 110(2), 347-357.
Allen, D. E., & Cleary, F. (1998). Determinants of the cross-section of stock returns in the Malaysian stock market, International Review of Financial Analysis, 7(3), 253-275.
Anghel, A., Dumitrescu, D., & Tudor, C. (2015). Modeling portfolio returns on Bucharest Stock exchange using the Fama-French multifactor model, Romanian Journal of Economic Forecasting, 17(1), 22-46.
Arshanapalli, B. G., Coggin, T. D., & Doukas, J. (1998). Multifactor asset pricing analysis of international value investment strategies, The Journal of Portfolio Management, 24(4), 10-23.
Atakan, T. & Gökbulut, İ. (2010). Üç faktörlü varlık fiyatlandırma modelinin İstanbul Menkul Kıymetler Borsası’nda uygulanabilirliğinin panel veri analizi ile test edilmesi, MUFAD Dergisi, 45: 180-189. Azimli, A., & Mandacı, P. E. (2017). Corporate investment and expected stock returns in Borsa Istanbul, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 18(2), 299-315. Banz, R. W. (1981). The relationship between return and market value of common stocks, Journal of financial economics, 9(1), 3-18.
Basu, S. (1983). The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence, Journal of financial economics, 12(1), 129-156.
Bereket, Y. (2014). The valıdıty of Fama-French fourfactor model in Istanbul Stock Exchange, Yüksek Lisans Tezi. Orta Doğu Teknik Üniversitesi / Sosyal Bilimler Enstitüsü, Ankara.
Bhandari, L. C. (1988). Debt/equity ratio and expected common stock returns: Empirical evidence, The journal of finance, 43(2), 507-528. Black, F. (1972). Capital market equilibrium with restricted borrowing, The journal of business, 45(3), 444-455.
Black, F. Jensen, M. C. & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests, In Studies in the Theory of Capital Markets. Michael C. Jensen, ed. New York: Praeger.
Blitz, D., Hanauer, M. X., Vidojevic, M., & van Vliet, P. (2016). Five Concerns with the FiveFactor Model, Available at SSRN: https://ssrn. com/abstract=2862317. Blume, M. E. (1970). Portfolio theory: a step toward its practical application, The Journal of Business, 43(2), 152-173.
Boamah, N. A. (2017). The price of risk on the African frontier stock markets, Journal of African Business, 18(2), 238-256.
Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?, The Journal of finance, 40(3), 793-805.
Cao, Q., Leggio, K. B., & Schniederjans, M. J. (2005). A comparison between Fama and French’s model and artificial neural networks in predicting the Chinese stock market, Computers & Operations Research, 32(10), 2499-2512.
Carhart, M. M. (1997). On persistence in mutual fund performance, The Journal of Finance, 52(1), 57-82.
Ceylan, N. B., Dogan, B., & Berument, M. H. (2015). Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market–Borsa Istanbul, Economic research-Ekonomska istraživanja, 28(1), 467-486.
Chan, H. W., & Faff, R. W. (2005). Asset pricing and the illiquidity premium, Financial Review, 40(4), 429-458.
Chiah, M., Chai, D., Zhong, A., & Li, S. (2016). A Better Model? An Empirical Investigation of the Fama–French Five-factor Model in Australia, International Review of Finance, 16(4), 595-638.
Connor, G., Hagmann, M., & Linton, O. (2012). Efficient semiparametric estimation of the Fama– French model and extensions, Econometrica, 80(2), 713-754.
Connor, Gregory and Sanjay Sehgal, 2001, Tests of the Fama and French Model in India, London School of Economics, Dıscussıon Paper No: 379. http://eprints.lse.ac.uk/25057/1/dp379.pdf.
Coşkun, E. & Çınar, Ö. (2014). Üç faktör varlık fiyatlama modelinin geçerliliği: Borsa İstanbul’da bir inceleme, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(4), 235-250.
Czapkiewicz, A., & Wójtowicz, T. (2014). The four-factor asset pricing model on the Polish stock market, Economic research-Ekonomska istraživanja, 27(1), 771-783.
de la O González, M., & Jareño, F. (2018). Testing extensions of Fama & French models: A quantile regression approach. The Quarterly Review of Economics and Finance. https://doi. org/10.1016/j.qref.2018.08.004.
Erdinç, Y. (2017). Comparison of CAPM, threefactor Fama-French model and Five-Factor Fama-french model for the Turkish Stock Market. In Financial Management from an Emerging Market Perspective. 69-92. IntechOpen.
Fama, E. F., & French, K. R. (1992). The crosssection of expected stock returns, The Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence, The Journal of Economic Perspectives, 18(3), 25-46.
Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns, Journal of financial economics, 105(3), 457-472.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model, Journal of Financial Economics. 116 (1), 1-22.
Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset-pricing model, Journal of Financial Economics, 123(3), 441-463.
Foye, J. (2018). A comprehensive test of the FamaFrench five-factor model in emerging markets, Emerging Markets Review. doi:10.1016/j. ememar.2018.09.002.
Gaunt, C. (2004). Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket, Accounting & Finance, 44(1), 27-44.
Gibbons, M., Ross, S., Shanken, J. (1989). A test of the efficiency of a given portfolio, Econometrica, 57, 1121-1152.
Gökgöz, F. (2008). Üç faktörlü varlık fiyatlama modelinin İstanbul Menkul Kıymetler Borsasında uygulanabilirliği, Ankara Üniversitesi SBF Dergisi, 63(2), 43-64.
Gönenç, H., & Karan, M. B. (2003). Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the Istanbul stock Exchange, Journal of International Financial Management & Accounting, 14(1), 1-25.
Guo, B., Zhang, W., Zhang, Y., & Zhang, H. (2017). The five-factor asset pricing model tests for the Chinese stock market, Pacific-Basin Finance Journal, 43, 84-106.
Güzeldere, H. & Sarıoğlu, S.E. (2012). Varlık fiyatlamada Fama-French üç faktörlü modelin geçerliliği: BIST üzerine bir araştırma, Business and Economics Research Journal, 3(2), 1-19.
Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach, The Review of Financial Studies, 28(3), 650-705.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of finance, 48(1), 65-91.
Jiao, W. & Lilti, J. J. (2017). Whether profitability and investment factors have additional explanatory power comparing with FamaFrench Three-Factor Model: empirical evidence on Chinese A-share stock market, China Finance and Economic Review, 5(1), 7.
Kara, E. (2016). Testing Fama and French’s threefactor asset pricing model: Evidence from Borsa Istanbul, Cankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences. 6(1), 257-272.
Kaya, E. & Güngör, B. (2017). Fama ve French üç faktörlü modelin geçerliliği: Borsa İstanbul üzerine panel veri analizi”, Journal of Academic Researches and Studies, 9(17), 222-236.
Koy, A. (2013). Fama ve French’ în büyüklük ve değer risk primleri İMKB’de geçerli midir?, İ. Ü. İşletme Fakültesi İşletme İktisadı Enstitüsü Yönetim Dergisi. 24(74), 102-118.
Kubota, K., & Takehara, H. (2017). Does the Fama and French Five-Factor Model Work Well in Japan?, International Review of Finance. DOI: 10.1111/irfi.12126.
Lin, Q. (2017).”Noisy prices and the Fama– French five-factor asset pricing model in China, Emerging Markets Review, 31, 141-163.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, The Review of Economics and Statistics, 13-37.
Maiti, M., & Balakrishnan, A. (2018). Is human capital the sixth factor?. Journal of Economic Studies, 45(4), 710-737.
Markowitz, H. (1959). Portfolio Selection, Efficient Diversification of Investments. J. Wiley.
Martinsa, C. C., & Eid Jr, W. (2015). Pricing assets with Fama and French 5–Factor Model: A Brazilian market novelty. XV Encontro Brasileiro de Finanças, 23 - 25 Temmuz, Mackenzie Presbyterian University, Sao Paulo, Brezilya.
Miller, M., Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. Journal of Business 34, 411-433.
Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
Racicot, F. E., & Rentz, W. F. (2016). Testing Fama– French’s new five-factor asset pricing model: evidence from robust instruments. Applied Economics Letters, 23(6), 444-448.
Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency”, The Journal of Portfolio Management, 11(3), 9-16.
Ross, S. A. (1976). “The arbitrage theory of capital asset pricing. Journal of Economic Theory. 13 (3), 341–60.
Roy, R., & Shijin, S. (2018). A six-factor asset pricing model. Borsa Istanbul Review. https:// doi.org/10.1016/j.bir.2018.02.001
Sharpe, W. F. (1964). “Capital asset prices: A theory of market equilibrium under conditions of risk”, The Journal of Finance, 19(3), 425-442.
Sundqvist, T. (2017). Tests of a Fama-French FiveFactor Asset Pricing Model in the Nordic Stock Markets. Yüksek Lisans Tezi. Hanken School of Economics, Finlandiya.
Walid, E. M., & Ahlem, E. M. (2009). New evidence on the applicability of Fama and French threefactor model to the Japanese stock market. Working paper, Osaka University. http://www. tn.refer.org/CEAFE/Papiers_CEAFE10/Fina_ marche/ElhajMohamed.pdf
Xie, S., & Qu, Q. (2016). The three-factor model and size and value premiums in china’s stock market. Emerging Markets Finance and Trade, 52(5), 1092-1105.
Yufang, S. (2017). The Comparison of Fama-French Five-Factor Model in Chinese A-share Stock Market and in Real Estate Sector. Yüksek Lisans Tezi. Aalto University / School of Business, Finlandiya.
Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: a comparison of factor pricing models. Emerging Markets Review, 31, 1-15.
Zhou, W., & Li, L. (2016). A New Fama-French 5-Factor Model Based on SSAEPD Error and GARCH-Type Volatility. Journal of Mathematical Finance, 6(05), 711.