{"id":1889,"date":"2012-04-19T12:26:23","date_gmt":"2012-04-19T17:26:23","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=1889"},"modified":"2012-04-19T12:58:36","modified_gmt":"2012-04-19T17:58:36","slug":"validity-of-fama-french-three-factor-model-in-asset-pricing-an-application-in-istanbul-stock-exchange","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/validity-of-fama-french-three-factor-model-in-asset-pricing-an-application-in-istanbul-stock-exchange","title":{"rendered":"Validity of Fama-French Three-Factor Model In Asset Pricing: An Application In Istanbul Stock Exchange"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Article Information<\/strong><\/span><\/span><\/td>\n<\/tr>\n

\nJournal:<\/strong><\/span><\/span>Business and Economics Research Journal
\n<\/span>Title of Article:<\/strong><\/span><\/span>Validity of Fama-French Three-Factor Model In Asset Pricing: An Application In Istanbul Stock Exchange
\n<\/span>Author(s):<\/strong><\/span><\/span> Harun Guzeldere, Serra Eren Sarioglu
\n<\/span>Volume:<\/strong><\/span><\/span> 3
\n<\/span>Number:<\/strong><\/span><\/span> 2
\n<\/span>Year:<\/strong><\/span><\/span> 2012
\n<\/span>Page:<\/strong><\/span><\/span>1 – 19
\n<\/span>ISSN:<\/strong><\/span><\/span>1309-2448<\/span><\/td>\n<\/tr>\n
Abstract <\/strong><\/span><\/span><\/td>\n<\/tr>\n
\n

The traditional Capital Asset Pricing Model stating that the risk premium of a financial asset is positively related to its market risk, was found to be insufficient in explaining the expected returns of stocks. Fama and French (1993) introduced the \u201cThree-Factor Asset Pricing Model\u201d via inserting the size and book-to-market factors to the standard Capital Asset Pricing Model. In this study, the validity of the Three-Factor Model in Istanbul Stock Exchange within 1999-2011 period is investigated. The model is tested on ISE-100 Index non-financial companies monthly data by utilizing panel data analysis. The findings reveal that Three-Factor Model gives statistically significant results in Istanbul Stock Exchange. In the forecast of the cost of capital, Three-Factor Model can be used instead of one-factor Capital Asset Pricing Model by the investors in Turkey. Our findings are consistent with most of the studies that suggested the validity of the Three-Factor Model in developed and emerging markets. <\/span><\/p>\n<\/td>\n<\/tr>\n

\n

Keywords:<\/strong><\/span><\/span>Three-Factor Model, Fama and French, Asset Pricing, Panel Data Analysis, ISE<\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

JEL Classification<\/strong><\/span><\/span>:<\/strong><\/span><\/span>C19, D53, G14 <\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Article Information Journal:Business and Economics Research Journal Title of Article:Validity of Fama-French Three-Factor Model In Asset Pricing: An Application In Istanbul Stock Exchange Author(s): Harun Guzeldere, Serra Eren Sarioglu Volume: 3 Number: 2 Year: 2012 Page:1 – 19 ISSN:1309-2448 Abstract The traditional Capital Asset Pricing Model stating that the risk premium of a financial asset […]<\/p>\n

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