ALTERNATİF FİNANSAL VARLIK FİYATLAMA MODELLERİNİN PERFORMANSLARININ ANALİZİ

Bu çalışmada Fama-French faktör modellerinin yanı sıra q-faktör modelleri ile AQR faktör modellerinden oluşan 10 farklı faktör modelinin performansı finansal kuruluşlar dikkate alınarak incelenmiştir. İlgili faktör modelleri en küçük kareler yöntemi kullanılarak tekil hisse senetlerine uygulanmıştır. Çalışma bulguları finansal kuruluşlar için en uygun modelin momentum ve uzun dönem trend dönüş faktörü ile genişletilmiş beş faktörlü Fama-French modeli olduğu sonucuna işaret etmektedir. Bulgular ayrıca hisse senedi getirilerini açıklamada en istikrarlı faktörlerin piyasa faktörü, değer faktörü ve momentum faktörü olduğunu göstermektedir.

Anahtar Kelimeler:

Fama-French faktör modelleri, , q-faktör modelleri, AQR faktör modelleri

Analysis of The Performances of Alternative Asset Pricing Models

In this study, besides Fama-French three-factor, four-factor and five-factor models, we examine the performance of 10 different factor models consisting of q-factor models and AQR style factor models.This is achieved by considering stocks of financial institutions. The relevant asset pricing models are applied to individual stock data by using ordinary regression. The study findings clearly point to the conclusion that the most suitable model for stocks of financial institutions is the five-factor Fama-French model extended with the momentum and long-term reversal factors. The findings also indicate that the market, value and momentum factors are the main drivers of the stock returns of the financial institutions.

Keywords:

Fama-French factor models, q-factor models, AQR style factor models,

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