Varlık fiyatlama modellerinin borsa İstanbul'da uygulanabilirliği
Özet
This article aims to explore whether frequently preferred asset pricing models as Capital Asset Pricing Model (CAPM), Fama and French Three-Factor Model (FF3), and Fama and French Five-Factor Model (FF5) are valid in the Turkish Stock Market for the period 2009-2018 using the quantile regression (QR) approach. For this purpose, we test CAPM, FF3, and FF5 on 18 portfolios, formed from quoted stocks in Istanbul Stock Exchange 100 (BİST-100) by regressing portfolios' average weekly excess returns on risk premium/market factor (Rm-Rf), firm size, Book Value/Market Value (B/M), profitability and investments factors. The study differs from the previous literature by analyzing the weekly returns of the assets. In light of the statistical results, CAPM shows decent performance for BİST. FF3 and FF5 are applicable but relatively inconclusive. Especially, HML, RMW, and CMA factors are not enough to explain some of the portfolio returns. It is found that average excess weekly returns can be explained by five factors, but strongest and fully by the Rm-Rf in most portfolios.