TÜRKİYE PİYASALARINDA PAY FİYATLAMA FAKTÖRLERİ.

This paper investigates six different equity pricing factors' performance in explaining the diversely constructed equity portfolio returns in Turkish markets between 2000 and 2018. For this purpose, we perform time-series regressions of the test portfolio returns formed by different methods on six equity pricing factors based upon market return, firm size, book-to-market ratio, operating profitability, investment, and momentum variables. The results are fivefold. First, even after controlling for six factors, we observe that some portfolios still have abnormal returns. Second, all test portfolios have high sensitivities to the market factor. Third, the portfolios incorporating small companies are more sensitive to SMB factor than portfolios incorporating big companies. Fourth, the significance of HML, RMW, and CMA factors in explaining portfolio returns depends heavily on how the test portfolios are constructed. Finally, the WML factor is not statistically significant in explaining the test portfolio returns; however, this finding can be explained by the fact that the momentum return has not been used as a ranking variable when constructing the test portfolios. [ABSTRACT FROM AUTHOR]