Test of static financial asset pricing models in Borsa İstanbul

The purpose of this thesis is to test whether portfolio excess return created with objective stock returns and risk-free interest rates can be explained by independent variables in asset pricing models. For this study, portfolios were created on a monthly basis from stocks traded between 2008 and 2015 at the BIST 100 Index, and three of the most important and most widely used models of excess returns finance literature were Financial Asset Pricing Model, Fama and French Three Factor Pricing Model and Arbitrage Pricing Models. Regression analysis and factor analysis were used in the study. Regression analysis was performed with time series data and cross section data. In the regression analysis with the time series, there is a positive and significant relationship between the market risk premium and the portfolio overvaluation in the Financial Asset Pricing Model. This result shows that the market risk premium can explain the portfolio excess return. The explanatory power of the model is also high. In the Fama French Three-Factor Pricing Model, there is a positive and significant relationship between market risk premium and firm size and portfolio excess return . This result supports the Financial Assets Pricing Model in terms of market risk premium, and the size of the firm is important for investors. There is a negative and significant relationship between the book value of the market and the portfolio excess return. This result indicates that investors see a problem in firms with low market value, especially in terms of business analysis. In the Arbitrage Pricing Model, significant and negative relationships were found between Gold, Euro, Dollar, M2 money supply, Treasury Bond Interest and Domestic Debt Stock and portfolio excess return. This result is an expected result because the stocks are an alternative investment instrument in terms of investors. It shows that investors move in opposite direction with macroeconomic variables. Regarding the cross section regression, no significant results were obtained in the three models. Keywords: Asset Pricing, Excess Return, Risk