- Uluslararası İşletme Bilimi ve Uygulamaları Dergisi
- Cilt: 3 Sayı: 2
- EVALUATING THE IMPACT OF SPECIFIC VARIABLES IN THE BORSA ISTANBUL 30 INDEX
EVALUATING THE IMPACT OF SPECIFIC VARIABLES IN THE BORSA ISTANBUL 30 INDEX
Authors : Diler Türkoğlu, Fatih Konak
Pages : 41-52
View : 81 | Download : 91
Publication Date : 2024-01-03
Article Type : Research
Abstract :Estimating the link between risk and return, figuring out the expected returns of riskier assets, and identifying the key components of the capital asset pricing process are all very important to investors and portfolio managers. Considering quarterly data from 2012 to 2021, this research plans to look into the potential influence of the Fama and French-developed Five-Factor Model, a capital asset pricing model, on the risk-free interest rate of companies listed in the Borsa Istanbul 30 Index. In this context, the widely-known Panel Data Analysis approach is employed to assess the impact on returns above the risk-free interest rate of market risk, size, value, profitability, and investment characteristics. Following an initial examination of the results, it becomes apparent that the dependent variable is positively and significantly impacted by the variables of size, value, profitability, and market risk; on the other hand, the investment component has an undesirable impact on the dependent variable. It is asserted that the French Five-Factor Model and Fama factor have an impact on returns that are higher than the risk-free interest rate for the companies in the BIST 30 Index, provided that the data set and fundamental analysis assumptions are fulfilled.Keywords : Varlık Fiyatlama Modeli, Fama-French Beş Faktör Modeli, BIST 30 Index