İki yeni faktörle Fama ve French üç faktörlü varlık fiyatlandırma modeli: Borsa İstanbul'dan bir uygulama

Main objective of this research is facilitating financial managers and investors to make appropriate analysis of the risk and return relationship of their investment strategies and enabling them to make rational decisions to maximize their returns. After 30 years, the Fama and French (1993) three-factor model attracted significant attention for its better performance over the conventional Capital Asset Pricing Model (CAPM) in capturing the correlation between risk-return in a sample of U.S. stock market. Based on this, two primary objectives of this study are to determine its validity and to test the Fama French (F&F) three-factor (FF3F) model's performance on the BIST (Istanbul Stock Exchange). Furthermore, another objective is to add trading volume and exchange rate along with the conventional factors used in the FF3F asset pricing model (market risk, size, and value). The data is obtained from 70 listed firms in BIST-100 between January 2010 and December 2019, and the frequency of the data is daily. The main data source is the Thomson Reuters Database and TCMB data portal. The method in this research is linear regression. According to findings we can conclude that the FF3F model is valid in the Istanbul Stock Exchange. Besides, based on empirical evidence, the proposed model with two additional factors (trading volume and exchange rate) is also valid and have substantial impact on portfolio returns.