Relative performances of asset pricing models for BIST 100 index

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dc.contributor.authorKaya, Emine
dc.date.accessioned2026-06-19T06:39:32Z
dc.date.available2026-06-19T06:39:32Z
dc.date.issued2021
dc.departmentMalatya Turgut Özal Üniversitesi
dc.description.abstractThe purpose of this study is to evaluate the asset pricing models for Borsa Istanbul. Within this scope, we apply Capital Asset Pricing Model, Fama-French Three Factor Model, and Fama-French Five Factor Model. This study covers the firms listed in BIST 100 index between 2005 and 2017 years. The findings show that Fama-French Five Factor Model is the best performing model when we compare Capital Asset Pricing Model and Fama-French Three Factor Model. The regression estimations findings provide evidence that there are still the size and value premiums, but these premiums are not strong and the market premium is an important factor for Borsa Istanbul. In addition, there are strong investment patterns in the average returns and there is a profitability premium but not unambiguously strong in explaining the stock returns. On the other hand, the factor spanning tests prove that profitability is a non-redundant factor. Moreover, through the factor spanning tests, we can say that the value premium is a redundant factor and it does not improve the description of average return.
dc.identifier.doi10.1080/02102412.2020.1801169
dc.identifier.endpage301
dc.identifier.issn0210-2412
dc.identifier.issn2332-0753
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85096146782
dc.identifier.scopusqualityQ3
dc.identifier.startpage280
dc.identifier.urihttps://doi.org/10.1080/02102412.2020.1801169
dc.identifier.urihttps://hdl.handle.net/20.500.12899/5655
dc.identifier.volume50
dc.identifier.wosWOS:000589863400001
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorKaya, Emine
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofSpanish Journal of Finance and Accounting-Revista Espanola de Financiacion Y Contabilida
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WOS_20260612
dc.subjectAsset Pricing
dc.subjectAnomalies
dc.subjectProfitability And Investment Premiums
dc.subjectFama-French Five Factor Model
dc.subjectSize
dc.subjectValue
dc.titleRelative performances of asset pricing models for BIST 100 index
dc.typeArticle

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