Research Article
Testing the Augmented Fama–French Six-Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul
Table 1
Portfolios used in the study.
| Portfolio | Firm size | Value effect | |
| SL2 | Small | Low | Book value/market value | SN | Small | Neutral | SH | Small | High | BL | Big | Low | BN | Big | Neutral | BH | Big | High | SC | Small | Conservative | Investment | SM | Small | Medium | SA | Small | Aggressive | BC | Big | Conservative | BM | Big | Medium | BA | Big | Aggressive | SW | Small | Weak | Profitability | SM- | Small | Medium | SR | Small | Robust | BW | Big | Weak | BM- | Big | Medium | BR | Big | Robust | SC | Small | Conservative | Momentum | SN | Small | Neutral | SA | Small | Aggressive | BW | Big | Past winners | BN | Big | Neutral performers | BL | Big | Losers |
|
|
2It denotes the return on a portfolio of stocks with small company size and low book value/market ratio.
|