Alternative models of expected stock return and risk - BIST application

For many years, statistical models have been created in order to understand and guess capital assets' return and risk. Although it is aimed to create a model suitable for every condition, country and date range, some models developed are accepted as valid in various countries and date ranges, and some of them are not considered valid in various situations. In this study, it is aimed to test whether the most cited models in the literature are valid for stocks in the Borsa Istanbul Informatics Index. For this, Capital Asset Pricing Model (CAPM), Fama - French 3 Factor Asset Pricing Model (FF3F), Carhart 4 Factor Asset Pricing Model (C4F), Fama - French 5 Factor Asset Pricing Model (FF5F) and 6 Factor Model (6F) created by adding the momentum factor, which is the difference between Carhart 4 Factor Model and Fama - French 5 Factor Model, to the Fama - French 5 Factor Model was used. In the period of 2013/January - 2019/December, testing was carried out with the returns of 13 companies in the ISE Information Technology Index. Testing was carried out through portfolios' and stocks' return. Thus, it is aimed to compare stock - based or portfolio - based results. As a result of the study; it was understood that CAPM can be applied in firm-based studies, and both CAPM and C4F can be applied in portfolio-based studies in ISE Information Technology Index.