The investigation of the Fama-French 5 factor model on the katilim index

In this study, the validity of the Fama French Five Factor Asset Pricing Model and an alternative model developed by using the inflation rate were examined on the Katılım 30 index. Accordingly, 28 firms operating in the Katılım 30 index for the period between 2011 and 2018 and having access to uninterrupted data were included in the study. The obtained stock and market yield data were analyzed by multiple regression model. The results showed that the Fama French Five Factor Asset Pricing Model and the developed alternative model were valid on the Katılım 30 index. In addition, it has been determined that the power of the alternative model developed to explain the change in returns is higher than the original Fama French Five Factor Asset Pricing Model. Keywords: Capital Asset Pricing Model, Fama French Five Factor Asset Pricing Model, Katılım Index