Araştırma Makalesi
BibTex RIS Kaynak Göster

Analysis of The Performances of Alternative Asset Pricing Models

Yıl 2021, , 69 - 89, 08.12.2021

Önder Büberkökü

https://doi.org/10.53507/akademikdusunce.1023373

Öz

In this study, besides Fama-French three-factor, four-factor and five-factor models, we examine the performance of 10 different factor models consisting of q-factor models and AQR style factor models.This is achieved by considering stocks of financial institutions. The relevant asset pricing models are applied to individual stock data by using ordinary regression. The study findings clearly point to the conclusion that the most suitable model for stocks of financial institutions is the five-factor Fama-French model extended with the momentum and long-term reversal factors. The findings also indicate that the market, value and momentum factors are the main drivers of the stock returns of the financial institutions.

Anahtar Kelimeler

Fama-French factor models q-factor models AQR style factor models

Kaynakça

  • Acarvi, S. K. ve Karaomer, Y. (2017). Fama-French Five Factor Model: Evidence From Turkey. International Journal of Economics and Financial Issusaes,7(6), 130-137.
  • Aleati, A., Gottardo, P. ve Murgia, M. (2000). ThePricing of Italian Equity Returns. EconomicNotes, 29(2), 153-177.
  • Ang, A., Liu, J. ve Schwarz, K. (August 7, 2018). Using Stocksor Portfolios in Tests of Factor Models AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper. SSRN, https://ssrn.com/abstract= 1106463. Erişim Tarihi: 06.09.2019.
  • Aras, G., Çam, İ., Zavalsız, B. ve Keskin, S. (2019). Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama. Istanbul Business Research, 47(2), 183-207.
  • Asnes, C., Frazzini, A. ve Pedersen, L.H. (2018). Quality Minus Junk. Review of Accounting Studies, 24, 34-112.
  • Avramov, D. ve Chordia, T. (2006). Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies, 19, 1001-1040.
  • Azimli, A. (2020). Pricing The Common Stocks in An Emerging Capital Market: Comparison of The Factor Models. Borsa Istanbul Review, 20(4), 334-346.
  • Balkan, E. ve Aygören, H. (Nisan, 2020). Finansal Varlıkların Fiyatlandırılmasında Etkinlik Skorlarının Rolü: BİST Sınai Endeks Uygulaması. Muhasebe ve Finansman Dergisi, 86, 247-266.
  • Basiewicz, P.G. ve Auret, C.J. (2010). Feasibility of the Famaand French Three Factor Model in Explaning Returns on the JSE. Investment Analysts Journal, 39(71), 13-25.
  • Başpehlivan, K. (2019). Fama-French Dört Faktörlü Modelin Gelişmekte Olan Piyasalarda Test Edilmesi. (Yayımlanmamış Yüksek Lisans Tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.
  • Bera, A.K., Uyar, U. ve Uyar, S.G.K. (2020). Analysis Of The Five-Factor Asset Pricing Model With Wavelet Multiscaling Approach. The Quarterly Review of Economics and Finance, 76, 414-423. Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57- 82.
  • Cochrane, J.H. (2001). Asset Pricing. Princeten New Jersey: Princeten Universty Press. Cohen, R.B., Polk, C. ve Vuolteenaho, T. (2005). Money Illusion in TheStock Market: The Modigliani- Cohn Hypothesis. The Quarterly Journal of Economics, 120(2), 639-668.
  • Cox, S. veBritten, J. (2019). The Fama-French Five-Factor Model: Evidence From the Johannesburg Stock Exchange. Investment Analysts Journal,48(3), 240-261.
  • Ehsani, S. Ve Linnainmaa, J. T. (December 9, 2020). Factor Momentum and the Momentum Factor. SSRN: https://ssrn.com /abstract=3014521. Erişim Tarihi: 04.08.2019.
  • Erdoğan, M. ve Elmas, B. (2010). Hisse Senedi Piyasalarında Görülen Anomaliler ve Bireysel Yatırımcı Üzerine Bir Araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279-300.
  • Fama, E.F. (1965). Random Walk in Stock Market Prices. Financial Analysts Journal, 21(5), 55-59.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fama, E. F. ve French, K. (1993). Common Risk Factors in TheReturns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3–56.
  • Fama, E. F. ve French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, 55-84.
  • Fama, E.F. (1998). Market Efficiency, Long Term Returns, and Behavioral Finance. Journal of Financial Economics,49, 283-306.
  • Fama, E. F. ve French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 11(1), 1–22.
  • Fama, E. F. ve French, K. R. (May, 2018). Choosing Factors. Journal of Financial Economics, 128(2), 234-252. Foye, J. (2018). A Comprehensive Test of The Fama-French Five-Factor Model in Emerging Markets. Emerging Market Review, 37, 199-222.
  • Genç, E. ve Çömlekçi, İ. (2018). Fama-French Üç Faktörlü Varlık Fiyatlama Modeli’nin Geçerliliği: Borsa İstanbul Üzerine Bir Araştırma. Van Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 40, 257-276.
  • Gököz, F. (2008). Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasındaki Uygulanabilirliği. Ankara Üniversitesi SBF Dergisi, 63(2), 43-64.
  • Guzeldere, H. ve Sarioglu, S.E. (2012). Varlık Fiyatlamada Fama-French Üç Faktörlü Model’in Geçerliliği: İMKB Üzerine Bir Araştırma. Business and Economics Research Journal, 3(2), 1- 19.
  • Harshitaa, S. S.ve Yadav, S. (2015). IndianStock Market AndTheAssetPricingModels. Procedia Economics and Finance 30, 294 – 304.
  • Hou, K., Mo, H., Xue, C. and Zhang, L. (February, 2020). An Augmented Q-Factor Model With Expected Growth. Review of Finance, 25(1), 1-41.
  • Hou, K., Xue, C. and Zhang, L. (2015). Digesting Anomalies: An Investment Approach. The Review of Financial Studies, 28(3), 650-705.
  • Hou, K., Mo, H., Xue, C. ve Zhang, L. (June, 2018). q5 NBER WorkingPaper No. 24709, 1-61. https://www.nber.org/system /files/ working_papers/w24709/w24709.pdf. Erişim Tarihi: 04.04.2019.
  • Huang, T-L. (2019). Is the Fama and French Five-Factor Model Robustin the Chinese Stock Market?. Asia Pacific Management Review, 24, 278-289.
  • Hundal, S., Eskola, A. ve Tuan, D. (2019). Risk–Return Relationship in The Finnish Stock Market in The Light of Capital Asset Pricing Model (CAPM). Journal of Transnational Management, 24(4), 1-20.
  • Isidore, R. ve Christie, P. (2018). A Behavioral Finance Perspective of the Stock Market Anomalies. International Journal of Research in Management Economics and Commerge, 8(4), 5-9.
  • Jareno, F., de la O., Gonzales, M. ve Escolastico, A.M. (2020). Extension of The Fama And French Model: A Study of The Largest European Financial Institutions. International Economics, 164, 115-139.
  • Jareño, F., González, M. ve Munera, L. (2020). Analysis of the Spanish IBEX-35 Companies’ Returns Using Extensions of the Fama and French Factor Models. Symmetry, 12(295), 1-19.
  • Jegadeesh, N., Noh, J., Pukthuanthong, K., Roll, R., Wang, J. (2019). Empirical Tests Of Asset Pricing Models With Individual Assets: Resolving The Errors-in-Variables Bias in Risk Premium Estimation. Journal of Financial Economics, 133(2), 273-298.
  • Jegadeesh, N. veTitman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternati ve Explanations.Journal of Finance, LVI (2), 699-720.
  • Kaldırım, Y. (2017). Momentum Anomalisi ve Momentum Anomalisinde Defter Değeri / Piyasa Değeri Oranı, Firma Büyüklüğü, Fiyat / Kazanç Oranı Etkisi. Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,6(1), 141-162.
  • Kandır, S.K. ve İnan, H. (2011). Momentum Yatırım Stratejisinin Karlılığının İMKB’de Test Edilmesi. BDDK Bankacılık ve Finansal Piyasalar, 5(2), 51-70.
  • Kim, S-H., Kim, D. ve Shin, H-S. (2012). Evaluating Asset PricingModels in The Korean Stock Market. Pacific-Basin Finance Journal, 20(2),198-227.
  • Erdinç, Y. (2017). Comparison of CAPM, Three Factor Fama-French Model And Five-Factor Famafrench Model For The Turkish Stock Market. (Edited by Guray Kucukkocaoglu and Soner Gokten). In Financial Management from an Emerging Market Perspective, (First edition) 69–92. UK: Intech Open.
  • Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13–37.
  • Liu, J., Robert, F. S. ve Yu, Y. (2019). Size and Value in China. Journal of Financial Economics,134, 48-69.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
  • Medhat, M. ve Schmeling, M. (February 26, 2021). Short-term Momentum. SSRN, https://ssrn.com/abstract=31505 25. Erişim Tarihi: 04.06.2019.
  • Min, B., Xiao-Ming, L. ve Yafeng, Q. (2017). Shortability And Asset Pricing Model: Evidence From The Hong Kong Stock Market. Journal of Bankingand Finance, 85, 15-29.
  • Natalia, del Á. (2009). Behavioral Finance: Learning from market Anomalies and Psychological Factors. Revista de Instituciones, Ideas y Mercados, 50, 47-104.
  • Roy, R. ve Shijin, S. (2019). The Nexus Anomalies-Stock-Return-Asset Pricing Models: The International Evidence. Borsa İstanbul Review, 19, 1-14.
  • Sha, Y. ve Gao, R. (2019). Which is The Best: A Comparison Of AssetPricingFactorModels in ChineseMutualFundIndustry.EconomicModelling, 83, 8-16.
  • Sharpe, W. F. (1964). CapitalAssetPrices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance,19, 425–442.
  • Shi,Q. ve Li, B. (2020). The Evaluation And Comparisonof Three Becnhmark Asset Pricing Models With Daily Data: Supplementary Evidence. Asia-Pacific Journal of Accounting & Economics, 24, 1-17.
  • Soumare, I., Amenounve, E., Diop, O., Meite, D. ve N’sougan, Y.D. (2013). Applyingthe CAPM and the Fama-French Modelsto The BRVM Stock Market. Applied Financial Economics, 23, 275- 285.
  • Sümer, E. ve Aybar, Ş. (2016). Etkin Piyasalar Hipotezinin, Finansal Piyasaları Açıklamadaki Yetersizliği ve Davranışsal Finans. Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, IXII, 75-84.
  • Wu, P-C., Liu, S-Y. ve Chen, C-Y. (2016). Re-Examining Risk Premiums in The Fama-French Model: The Role of Investor Sentiment. North American Journal of Economics and Finance, 36, 154- 171.
  • Zaremba, A., Kizys, R. ve Raza, M.W. (2020). The Long-Run Reversal in The Long Run: Insights From Two Centuries of Internetional Equity Returns. Journal of Emprical Finance, 55, 177-199.
  • Zarmina, A. (2020). The World’s Largest Banks, S&P Global Market Intelligence. https://www.spglobal.com/marketintelligence/en/news-insights/latest-news-headlines/theworld- s-100-largest-banks-2020-57854079. Erişim Tarihi: 04.08.2019.

ALTERNATİF FİNANSAL VARLIK FİYATLAMA MODELLERİNİN PERFORMANSLARININ ANALİZİ

Yıl 2021, , 69 - 89, 08.12.2021

Önder Büberkökü

https://doi.org/10.53507/akademikdusunce.1023373

Öz

Bu çalışmada Fama-French faktör modellerinin yanı sıra q-faktör modelleri ile AQR faktör modellerinden oluşan 10 farklı faktör modelinin performansı finansal kuruluşlar dikkate alınarak incelenmiştir. İlgili faktör modelleri en küçük kareler yöntemi kullanılarak tekil hisse senetlerine uygulanmıştır. Çalışma bulguları finansal kuruluşlar için en uygun modelin momentum ve uzun dönem trend dönüş faktörü ile genişletilmiş beş faktörlü Fama-French modeli olduğu sonucuna işaret etmektedir. Bulgular ayrıca hisse senedi getirilerini açıklamada en istikrarlı faktörlerin piyasa faktörü, değer faktörü ve momentum faktörü olduğunu göstermektedir.

Anahtar Kelimeler

Fama-French faktör modelleri, q-faktör modelleri AQR faktör modelleri

Kaynakça

  • Acarvi, S. K. ve Karaomer, Y. (2017). Fama-French Five Factor Model: Evidence From Turkey. International Journal of Economics and Financial Issusaes,7(6), 130-137.
  • Aleati, A., Gottardo, P. ve Murgia, M. (2000). ThePricing of Italian Equity Returns. EconomicNotes, 29(2), 153-177.
  • Ang, A., Liu, J. ve Schwarz, K. (August 7, 2018). Using Stocksor Portfolios in Tests of Factor Models AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper. SSRN, https://ssrn.com/abstract= 1106463. Erişim Tarihi: 06.09.2019.
  • Aras, G., Çam, İ., Zavalsız, B. ve Keskin, S. (2019). Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama. Istanbul Business Research, 47(2), 183-207.
  • Asnes, C., Frazzini, A. ve Pedersen, L.H. (2018). Quality Minus Junk. Review of Accounting Studies, 24, 34-112.
  • Avramov, D. ve Chordia, T. (2006). Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies, 19, 1001-1040.
  • Azimli, A. (2020). Pricing The Common Stocks in An Emerging Capital Market: Comparison of The Factor Models. Borsa Istanbul Review, 20(4), 334-346.
  • Balkan, E. ve Aygören, H. (Nisan, 2020). Finansal Varlıkların Fiyatlandırılmasında Etkinlik Skorlarının Rolü: BİST Sınai Endeks Uygulaması. Muhasebe ve Finansman Dergisi, 86, 247-266.
  • Basiewicz, P.G. ve Auret, C.J. (2010). Feasibility of the Famaand French Three Factor Model in Explaning Returns on the JSE. Investment Analysts Journal, 39(71), 13-25.
  • Başpehlivan, K. (2019). Fama-French Dört Faktörlü Modelin Gelişmekte Olan Piyasalarda Test Edilmesi. (Yayımlanmamış Yüksek Lisans Tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.
  • Bera, A.K., Uyar, U. ve Uyar, S.G.K. (2020). Analysis Of The Five-Factor Asset Pricing Model With Wavelet Multiscaling Approach. The Quarterly Review of Economics and Finance, 76, 414-423. Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57- 82.
  • Cochrane, J.H. (2001). Asset Pricing. Princeten New Jersey: Princeten Universty Press. Cohen, R.B., Polk, C. ve Vuolteenaho, T. (2005). Money Illusion in TheStock Market: The Modigliani- Cohn Hypothesis. The Quarterly Journal of Economics, 120(2), 639-668.
  • Cox, S. veBritten, J. (2019). The Fama-French Five-Factor Model: Evidence From the Johannesburg Stock Exchange. Investment Analysts Journal,48(3), 240-261.
  • Ehsani, S. Ve Linnainmaa, J. T. (December 9, 2020). Factor Momentum and the Momentum Factor. SSRN: https://ssrn.com /abstract=3014521. Erişim Tarihi: 04.08.2019.
  • Erdoğan, M. ve Elmas, B. (2010). Hisse Senedi Piyasalarında Görülen Anomaliler ve Bireysel Yatırımcı Üzerine Bir Araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279-300.
  • Fama, E.F. (1965). Random Walk in Stock Market Prices. Financial Analysts Journal, 21(5), 55-59.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fama, E. F. ve French, K. (1993). Common Risk Factors in TheReturns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3–56.
  • Fama, E. F. ve French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, 55-84.
  • Fama, E.F. (1998). Market Efficiency, Long Term Returns, and Behavioral Finance. Journal of Financial Economics,49, 283-306.
  • Fama, E. F. ve French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 11(1), 1–22.
  • Fama, E. F. ve French, K. R. (May, 2018). Choosing Factors. Journal of Financial Economics, 128(2), 234-252. Foye, J. (2018). A Comprehensive Test of The Fama-French Five-Factor Model in Emerging Markets. Emerging Market Review, 37, 199-222.
  • Genç, E. ve Çömlekçi, İ. (2018). Fama-French Üç Faktörlü Varlık Fiyatlama Modeli’nin Geçerliliği: Borsa İstanbul Üzerine Bir Araştırma. Van Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 40, 257-276.
  • Gököz, F. (2008). Üç Faktörlü Varlık Fiyatlandırma Modelinin İstanbul Menkul Kıymetler Borsasındaki Uygulanabilirliği. Ankara Üniversitesi SBF Dergisi, 63(2), 43-64.
  • Guzeldere, H. ve Sarioglu, S.E. (2012). Varlık Fiyatlamada Fama-French Üç Faktörlü Model’in Geçerliliği: İMKB Üzerine Bir Araştırma. Business and Economics Research Journal, 3(2), 1- 19.
  • Harshitaa, S. S.ve Yadav, S. (2015). IndianStock Market AndTheAssetPricingModels. Procedia Economics and Finance 30, 294 – 304.
  • Hou, K., Mo, H., Xue, C. and Zhang, L. (February, 2020). An Augmented Q-Factor Model With Expected Growth. Review of Finance, 25(1), 1-41.
  • Hou, K., Xue, C. and Zhang, L. (2015). Digesting Anomalies: An Investment Approach. The Review of Financial Studies, 28(3), 650-705.
  • Hou, K., Mo, H., Xue, C. ve Zhang, L. (June, 2018). q5 NBER WorkingPaper No. 24709, 1-61. https://www.nber.org/system /files/ working_papers/w24709/w24709.pdf. Erişim Tarihi: 04.04.2019.
  • Huang, T-L. (2019). Is the Fama and French Five-Factor Model Robustin the Chinese Stock Market?. Asia Pacific Management Review, 24, 278-289.
  • Hundal, S., Eskola, A. ve Tuan, D. (2019). Risk–Return Relationship in The Finnish Stock Market in The Light of Capital Asset Pricing Model (CAPM). Journal of Transnational Management, 24(4), 1-20.
  • Isidore, R. ve Christie, P. (2018). A Behavioral Finance Perspective of the Stock Market Anomalies. International Journal of Research in Management Economics and Commerge, 8(4), 5-9.
  • Jareno, F., de la O., Gonzales, M. ve Escolastico, A.M. (2020). Extension of The Fama And French Model: A Study of The Largest European Financial Institutions. International Economics, 164, 115-139.
  • Jareño, F., González, M. ve Munera, L. (2020). Analysis of the Spanish IBEX-35 Companies’ Returns Using Extensions of the Fama and French Factor Models. Symmetry, 12(295), 1-19.
  • Jegadeesh, N., Noh, J., Pukthuanthong, K., Roll, R., Wang, J. (2019). Empirical Tests Of Asset Pricing Models With Individual Assets: Resolving The Errors-in-Variables Bias in Risk Premium Estimation. Journal of Financial Economics, 133(2), 273-298.
  • Jegadeesh, N. veTitman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternati ve Explanations.Journal of Finance, LVI (2), 699-720.
  • Kaldırım, Y. (2017). Momentum Anomalisi ve Momentum Anomalisinde Defter Değeri / Piyasa Değeri Oranı, Firma Büyüklüğü, Fiyat / Kazanç Oranı Etkisi. Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,6(1), 141-162.
  • Kandır, S.K. ve İnan, H. (2011). Momentum Yatırım Stratejisinin Karlılığının İMKB’de Test Edilmesi. BDDK Bankacılık ve Finansal Piyasalar, 5(2), 51-70.
  • Kim, S-H., Kim, D. ve Shin, H-S. (2012). Evaluating Asset PricingModels in The Korean Stock Market. Pacific-Basin Finance Journal, 20(2),198-227.
  • Erdinç, Y. (2017). Comparison of CAPM, Three Factor Fama-French Model And Five-Factor Famafrench Model For The Turkish Stock Market. (Edited by Guray Kucukkocaoglu and Soner Gokten). In Financial Management from an Emerging Market Perspective, (First edition) 69–92. UK: Intech Open.
  • Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13–37.
  • Liu, J., Robert, F. S. ve Yu, Y. (2019). Size and Value in China. Journal of Financial Economics,134, 48-69.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
  • Medhat, M. ve Schmeling, M. (February 26, 2021). Short-term Momentum. SSRN, https://ssrn.com/abstract=31505 25. Erişim Tarihi: 04.06.2019.
  • Min, B., Xiao-Ming, L. ve Yafeng, Q. (2017). Shortability And Asset Pricing Model: Evidence From The Hong Kong Stock Market. Journal of Bankingand Finance, 85, 15-29.
  • Natalia, del Á. (2009). Behavioral Finance: Learning from market Anomalies and Psychological Factors. Revista de Instituciones, Ideas y Mercados, 50, 47-104.
  • Roy, R. ve Shijin, S. (2019). The Nexus Anomalies-Stock-Return-Asset Pricing Models: The International Evidence. Borsa İstanbul Review, 19, 1-14.
  • Sha, Y. ve Gao, R. (2019). Which is The Best: A Comparison Of AssetPricingFactorModels in ChineseMutualFundIndustry.EconomicModelling, 83, 8-16.
  • Sharpe, W. F. (1964). CapitalAssetPrices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance,19, 425–442.
  • Shi,Q. ve Li, B. (2020). The Evaluation And Comparisonof Three Becnhmark Asset Pricing Models With Daily Data: Supplementary Evidence. Asia-Pacific Journal of Accounting & Economics, 24, 1-17.
  • Soumare, I., Amenounve, E., Diop, O., Meite, D. ve N’sougan, Y.D. (2013). Applyingthe CAPM and the Fama-French Modelsto The BRVM Stock Market. Applied Financial Economics, 23, 275- 285.
  • Sümer, E. ve Aybar, Ş. (2016). Etkin Piyasalar Hipotezinin, Finansal Piyasaları Açıklamadaki Yetersizliği ve Davranışsal Finans. Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, IXII, 75-84.
  • Wu, P-C., Liu, S-Y. ve Chen, C-Y. (2016). Re-Examining Risk Premiums in The Fama-French Model: The Role of Investor Sentiment. North American Journal of Economics and Finance, 36, 154- 171.
  • Zaremba, A., Kizys, R. ve Raza, M.W. (2020). The Long-Run Reversal in The Long Run: Insights From Two Centuries of Internetional Equity Returns. Journal of Emprical Finance, 55, 177-199.
  • Zarmina, A. (2020). The World’s Largest Banks, S&P Global Market Intelligence. https://www.spglobal.com/marketintelligence/en/news-insights/latest-news-headlines/theworld- s-100-largest-banks-2020-57854079. Erişim Tarihi: 04.08.2019.
Toplam 55 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makaleleri
Yazarlar

Önder Büberkökü 0000-0002-7140-557X

Yayımlanma Tarihi 8 Aralık 2021
Gönderilme Tarihi 14 Kasım 2021
Yayımlandığı Sayı Yıl 2021

Kaynak Göster

APA Büberkökü, Ö. (2021). ALTERNATİF FİNANSAL VARLIK FİYATLAMA MODELLERİNİN PERFORMANSLARININ ANALİZİ. Akademik Düşünce Dergisi(4), 69-89. https://doi.org/10.53507/akademikdusunce.1023373