Testing the validity of Fama French asset pricing models on BIST buyback index
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Abstract (EN)
One of the common research areas on capital markets is the accurate determination of asset prices. For this purpose, various pricing models have been developed and tested in capital markets to dynamically determine the returns of financial markets and optimize investment decisions. In particular, Fama and French's multi-factor financial asset pricing models have been widely accepted in the literature and have provided an important framework for the complex dynamics of markets. In this thesis, 21-quarter datasets of companies included in Borsa Istanbul (BIST) Buyback Index for the period 2019:Q1-2024:Q1 were used to investigate the applicability and effectiveness of Fama and French asset pricing models in explaining return dynamics. The study aims to evaluate how well these multi-factor models, which include market risk, size, value, profitability, momentum and investment factors, can capture the unique financial dynamics of an emerging market like Türkiye. When both R2 and adjusted R2 values are taken into account in the analysis results, it is seen that the FF6F model is the model that best explains the stock returns of the companies in the Borsa Istanbul Buyback Index. After the FF6F model, it is determined that the factor model that best explains the returns is the FF4F model. The weakest factor model that can contribute to the explanation of stock returns is determined as the FF3F model.
Author
Samet Özdemir
Institution
Balıkesir University
Muhasebe Finansman Bilim Dalı
How to Cite
Samet Özdemir (Master Thesis). Testing the validity of Fama French asset pricing models on BIST buyback index, 2025, Balıkesir University.
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