FAMA FRENCH ÜÇ VE BEŞ FAKTÖR VARLIK FİYATLAMA MODELİNİN GEÇERLİLİĞİNİN TEST EDİLMESİ BIST 30 ENDEKSİ ÖRNEĞİ

Hisse senedi getirilerini etkileyen faktörler finansal piyasalarda her zaman ilgi odağı olmuştur. Bu doğrultuda Fama ve French piyasa, firma değeri ve büyüklük faktörlerini kullanarak üç faktörlü varlık fiyatlama modelini (FF3F) geliştirmişlerdir. Ardından FF3F’e yatırım ile karlılık faktörleride eklenmiş ve beş faktörlü varlık fiyatlama modeli (FF5F) geliştirilmiştir. Çalışmada Türkiye hisse senedi piyasası için FF3F’nin ve FF5F’nin geçerli olup olmadığının incelenmesi ve aralarındaki farkların ortaya koyulması amaçlanmaktadır. Bu doğrultuda 2008Ç2 – 2020Ç4 tarihleri arası 51 dönemin incelendiği çalışmanın sonucunda FF3F’in BİST-30 Endeksinde FF5F’e göre daha geçerli olduğu tespit edilmiştir.

Anahtar Kelimeler:

Fama French Üç Faktör Modeli, Fama French Beş Faktör Modeli, Varlık Fiyatlama

PDF

___

Acaravci, S. K., & Karaömer, Y. (2017). Fama-French Five Factor Model: Evidence from Turkey. International Journal of Economics and Financial Issues, 7(6), 130-137.
Aras, G., Çam, İ., Zavalsız, B. ve Keskin, S. (2018). Fama-French çok faktör varlık fiyatlama modellerinin performanslarının karşılaştırılması: Borsa İstanbul üzerine bir uygulama. Istanbul Business Research, 47(2), 183-207. https://doi.org/10.26650/ibr.2018.47.2.0026.
Bai, J. ve Ng, S. (2004). A PANIC Attack on Unit Root and Cointegration, Econometrica, 72 (4), 1127-1177.
Breitung, J., (2000). The Local Power of Some Unit Root Tests for Panel Data, in Advances in Econometrics, Vol. 15: Nonstationarity Panels, Cointegration, and Dynamic Panels, Baltagi, B. H. (ed.), 161-177, JAI Press, Amsterdam.
Breuer, J., McNown, R. ve Wallace, M. (2002). Series-Specific Unit Root Tests with Panel Data, Oxford Bulletin of Economics and Statistics, 64 (5), 527-546.
Choi, I. (2001). Unit Root Tests for Panel Data, Journal of International Money and Finance, 20 (2), 249-272.
Coşkun, K. & Torun, T. (2021). Fama & French Üç ve Beş Faktörlü Varlık Fiyatlama Modellerinin Geçerliliği: Borsa İstanbul Örneği. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 6(14), 84-102.
Fama, E. F. & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. The Journal of Financial Economics, 33, 3-56.
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 Fama-French Five-Factor Model in Emerging Markets. Emerging Markets Review, 37, 199-222.
Gujarati, D. N. ve Porter, D. C. (2009). Basics Econometrics, Fifth Edition, McGraw-Hill Companies, New York, USA.
Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data, The Econometrics Journal, 3 (2), 148-161.
Harris, R. D. F. ve Tzavalis, E. (1999). Inference for Unit Rootsin Dynamic Panels Where the Time Dimension is Fixed, Journal of Econometrics, 91 (2), 201-226.
Hausman, J. (1978). Specification Test in Econometrics, Econometrica, 46, 1251-71.
Im, K. S., Pesaran, M. H. ve Shin, Y. (2003) Testing for Unit Roots Heterogeneous Panels, Journal of Econometrics, 115 (1), 53-74.
Jiao, W., & Lilti, J.-J. (2017). Whether Profitability and Investment Factors Have Additional Explanatory Power Comparing with Fama-French Three-Factor Model: Empirical Evidence on Chinese A-Share Stock Market. China Finance and Economic Review, 5(1), 7.
Kalaycı, Ş. (2006). SPSS Uygulamalı Çok Değişkenli İstatistik Teknikleri. Ankara. Asil Yayın Dağıtım, s.421.
Karabay, A. (2018). Fama-French Beş Faktör Varlık Fiyatlama Modeli Türkiye Geçerliliğinin Test Edilmesi. İstanbul: (Doktora Tezi) İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü.
Levin, A., Lin, C. F. ve Chu, C. S. J. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of econometrics, 108 (1), 1-24.
Lin, Q. (2017). The Fama–French Five-Factor Asset Pricing Model in China. Emerging Markets Review, 43, 84-106.
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, 47(1), 13-37.
Maddala, G. S. ve Wu, S. (1999). A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test, Oxford Bulletin of Economics and Statistics, 61, 631-652.
Markowitz, H. (1952) Portfolio Selection, the Journal of Finance, 7, 1. 77-91.
Moon, H. R. ve Perron, B. (2004). Testing for A Unit Root in Panels with Dynamic Factors, Journal of Econometrics, 122 (1), 81-126.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica: Journal of the Econometric Society, 34(4), 768-783.
Musawa, N., Kapena, S., & Shikaputo, C. (2018). A Comparative Analysis of Fama French Five and Three-Factor Model in Explaining Stock Returns Variation. International Journal of Economics, 3(1), 30-48.
O’Connel, P. (1998). The Overvaluation of Purchasing Power Parity, Journal of International Economics, 44 (1), 1-19.
Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, CESifo Working Paper Series, No. 1229.
Pesaran, M. H. (2007). A Simple unit Root Test in the Presence of Cross-Section Dependence, Journal of Applied Econometrics, 22 (2), 265-312.
Phillips, P. C. B. ve Sul, D. (2003). Dynamic Estimation and Homogeneity Testing Under Cross Section Dependence, The Econometrics Journal, 6(1), 217-259.
Ross, S. A. (1976). “The arbitrage theory of capital asset pricing. Journal of Economic Theory. 13 (3), 341–60.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425-442.
Taylor, M. P. Ve Sarno, L. (1998). The Behaviour of Real Exchange Rates during the Post-Bretton Woods Period, Journal of International Economics, 46 (2), 281-312.
Wooldridge, J. M. (2012) Introductory Econometrics: A Modern Approach, Cengage Learning, Ohio, 95-98.
Zeren, F., Yilmaz, T., Belke, M. (2019). Testing the Validity of Fama French Five Factor Asset Pricing Model: Evidence from Turkey, Financial Studies, ISSN 2066-6071, Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research, Bucharest, Vol. 23, Iss. 2 (84), pp. 98-113.