Prof. Dr. Serpil CANBAŞ, Arş. Gör. Emrah ARIOĞLU

TESTING THE THREE FACTOR MODEL OF FAMA AND FRENCH: EVIDENCE FROM TURKEY

Hisse senedi getirilerindeki varyasyonu açıklamakta kullanılan 3 Faktör Modeli, varlık fiyatlamaya yeni bir boyut getirmiştir. Modelin getiriler üzerindeki açıklayıcı gücü farklı ülke ve bölgelerdeki çeşitli sektörlerde yer alan firmalara ait veriler kullanılarak test edilmiştir. Model, İMKB’de işlem gören firmalara ait veriler kullanılarak da test edilmiştir fakat elde edilen bulgular çelişki içerisindedir. Bu çalışmanın amacı ise 3 Faktör Modeli’nin, İMKB’de işlem gören hisse senetlerinin getirilerindeki varyasyonu açıklayıp açıklayamadığını, Finansal sektörde yer alan firmaları da örnek gruba dahil ederek, daha uzun bir süre için incelemektir. Bulgulara bakıldığı zaman, her ne kadar 3 Faktör Modeli’nin 1993 yılı Temmuz ayı ile 2004 yılı Haziran ayı arasındaki dönemde İMKB işlem gören firmaların hisse senetlerinin getirilerindeki varyasyonu büyük ölçüde açıklayabildiği söylenebilecek olsa da, Model’de eksik olan bazı faktörlerin var olabileceği de belirtilmelidir.

Anahtar Kelimeler:

3 Faktör Modeli, İMKB, Hisse Senedi Getirileri

TESTING THE THREE FACTOR MODEL OF FAMA AND FRENCH: EVIDENCE FROM TURKEY

The 3 Factor Model, used for explaining the variation in common stock returns has added a fresh insight into asset pricing. The explanatory power of the Model has been tested by employing data of firms from various sectors, countries and regions. The Model has been tested using data of the firms quoted to Istanbul Stock Exchange (ISE), too. But the findings were conflicting. The aim of this study is to investigate whether the 3 Factor Model could capture the variation in common stock returns of firms quoted to ISE or not, by using a data set including firms from the financial sector, for a longer time period. Considering the findings, it would be possible to emphasize that even though the 3 Factor Model could explain most of the variation in common stock returns over the period July of 1993 to June of 2004, there might be still some missing factors in the Model. In other words, the Model could not capture the variation in common stock returns totally.

Keywords:

3 Factor Model, Istanbul Stock Exchange, Common Stock Returns,

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