Abstract
This study aims to test the validity of multi-factor asset pricing models on the portfolios of non-financial companies whose shares are traded on Borsa Istanbul and to identify the model with the best explanatory power. Accordingly, the relationships between annual book-to-market equity ratio, firm size, market portfolio return, return on capital, operating profitability, momentum and value-added intellectual coefficient between 2008-2019 were analyzed using panel data analysis. As a result of the analyses made, it has been observed that Fama French's three and five factors, Carhart (momentum), q-factor, and suggested models are successful in explaining the returns of portfolios formed by non-financial companies. Furthermore, according to the GRS-F test statistic, the q-factor model was found to have higher explanatory power than other models.
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