İslami Üç Faktör Varlık Fiyatlama Modeli; Katılım Endeksi Üzerine Bir Uygulama*

Fama French Üç FVFM’ne göre hisse senedi getirisindeki değişim; piyasanın risksiz faiz oranıüzerindeki fazla getirisi, ölçek ve DD/PD oranları tarafından açıklanmaktadır. Bu çalışmanın temelamacı Fama French Üç FVFM’inin İslami finansa uyarlanmasıdır. Bu amaç doğrultusunda KATLM30 endeksinde yer alan 2011-2017 yılları arasındaki her yıl Aralık ayının sonunda özsermayesi pozitifolan ve kesintisiz verisine ulaşılabilen 25 adet hisse senedi baz alınmıştır Elde edilen hissesenetlerinin aylık verileri regresyon analizi yöntemi ile analiz edilmiştir. Araştırma sonucunda FamaFrench Üç FVFM’inin İslami finansa uygulanabilir olduğu ama ilgili dönem için geçerli olmadığısonucuna ulaşılmıştır. Geleneksel Fama French Üç FVFM’inde SH, BL, BM ve BH portföylerindegeçerli olduğu tespit edilmiştir.

Islamic Three Factor Asset Pricing Model: An Application On Participation Index

Fama French Change in stock return by Three Factor Asset Pricing Model ; The excess return on the market's risk-free interest rate is explained by the ratios and the DD / PD ratios. The main aim of this study is to test the validity of the Fama French Three Factor Asset Pricing Model in Islamic financeIn line with this aim, each year between 2011 and 2017, which is included in the KATLM-30 index, 25 share certificates, which are positive in nature and accessible to uninterrupted data, are taken at the end of December. The monthly data of the stocks obtained were analyzed by the regression analysis method. As a result of the research, the Fama French Three Factor Asset Pricing Model is applied to Islamic financing but not for the period concerned. In the traditional Fama French Three Factor Asset Pricing Model, it has been determined that the market portfolio is valid for the SH, BL, BM and BH portfolios in the model received from BİST100.

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