Fama-French Five Factor Model: Evidence from Turkey

Song l Kakilli Acaravci and Yunus Karaomer
Additional contact information
Song l Kakilli Acaravci: Faculty of Economics and Administrative Sciences, Department of Finance and Accounting, Mustafa Kemal University, Hatay, Turkey
Yunus Karaomer: Faculty of Economics and Administrative Sciences, Department of Finance and Accounting, Mustafa Kemal University, Hatay, Turkey

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 6, 130-137

Abstract: The aim of this study is to test the validity of the Fama-French Five Factor Model (FF5F) in Borsa Istanbul (BIST) during the 132-month period between July 2005 and June 2016. Therefore, the excess returns of 14 different intersection portfolios constructed on the basis of size, market to book ratio, profitability and investment factors have been used during period between July 2005 and June 2016. Our results show that there is no pricing error according to result of Gibbons, Ross, and Shanken (1989) GRS-F test of FF5F. Hence, FF5F seems to be valid in the BIST. In addition, FF5F appear to explain variations on excess portfolio returns.

Keywords: CAPM; Fama-French Five Factor Model; Asset Pricing Models; Time Series. (search for similar items in EconPapers)
JEL-codes: C19 D53 G14 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/5822/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/5822/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-06-16

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().