The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul

Aysenur Tarakcioglu Altinay, Mesut Dogan, Bilge Leyli Demirel Ergun and Sevdie Alshiqi

Economic Studies journal, 2023, issue 4, 3-21

Abstract: This study aims to test the validity of the Fama-French Five-Factor Model (FF5F) for Turkey. Within the scope of the study, throughout 468 weeks between September 2009 and August 2018, the returns over the risk-free interest rate of 18 different intersection portfolios are used based on value, profitability, and investment factors. A total of 8424 portfolios (18 portfolios x 468 weeks) are generated in the study. As a result of the analyses, it is determined that the Five-Factor Asset Pricing Model is valid for Borsa Istanbul. Subsequently, it is concluded that the Fama-French Five-Factor Model has a higher explanatory power in describing the stock returns of the portfolios formed with stocks of small-scale companies compared to the portfolios formed with stocks of large-scale companies. The findings are consistent with the literature.

JEL-codes: E44 G11 G12 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:bas:econst:y:2023:i:4:p:3-21

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