Testing multi-factor financial asset pricing models on participation indices

In financial markets, stock returns have always attracted attention in every period. Recently, especially with the development of multifactor financial asset pricing model, this interest has increased even more. In this study, the power of multifactor financial asset pricing models on the stock returns of firms included in Participation 30 index was tested. In this regard, five models used in the related literature were tested. These models are Intertemporal Asset Pricing Model (IAPM), Fama-French Three Factor Model (FF3F), Carhart Four Factor Model, Fama-French Five Factor Model (FF5F) and the Q-Factor Model. One of the focal point of the study is detect which model has the best performance in explaining the stock returns of firms listed in the Participation 30 index. In the study, quarterly data obtained from the financial statements between 2011 and 2023 0f 18 firms listed in the Participation 30 index and whose non-stop data are accessible was used. In the study, the variables belonging to models have been made suitable by preparing properly according to the calculation methods for the analysis. Datas were analyzed using the ARDL Bound Test in Eviews 10 software package. According to the results obtained, it has been concluded that FF3F Model best explains the stock returns of firms listed in the Participation 30 index. It has been seen that all factors in the model, namely RMRKT (Market Return), SMB (Size) and HML (Book Value/Market Value) are statistically meaningful and their coefficients are coherent with the theory. Additionally, it has been seen that there are factors whose coefficients are coherent with the theory and statisctically meaningful when looking at the results of the Carhart Four Factor and Q-Factor Models. From this perspective, it has been thought that both of the models are applicable to the Participation 30 index. In consequence of the analysis results obtained, it can be said that the IAPM and FF5F Models are not applicable to the Participation 30 index.