Research Article
Testing the Augmented Fama–French Six-Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul
| Variables | LLC test | PP Fisher test | t-test | Probability (p) | Statistic | Probability (p) |
| SL | −8.45 | 0.000 | 42.43 | 0.000 | SN | −9.45 | 0.000 | 65.64 | 0.000 | SH | −14.84 | 0.000 | 67.50 | 0.000 | BL | −9.75 | 0.000 | 55.82 | 0.000 | BN | −23.95 | 0.000 | 81.73 | 0.000 | BH | −12.50 | 0.000 | 75.78 | 0.000 | SC | −8.55 | 0.000 | 53.71 | 0.000 | SM | −9.85 | 0.000 | 97.53 | 0.000 | SA | −12.64 | 0.000 | 107.27 | 0.000 | BC | −12.64 | 0.000 | 53.29 | 0.000 | BM | −13.54 | 0.000 | 88.38 | 0.000 | BA | −22.63 | 0.000 | 76.34 | 0.000 | SW | −14.63 | 0.000 | 69.61 | 0.000 | SM- | −12.44 | 0.000 | 123.45 | 0.000 | SR | −14.97 | 0.000 | 53.93 | 0.000 | BW | −16.64 | 0.000 | 87.30 | 0.000 | BM- | −9.64 | 0.000 | 75.38 | 0.000 | BR | −16.02 | 0.000 | 87.38 | 0.000 | SC- | −7.63 | 0.000 | 56.88 | 0.000 | SN- | −9.53 | 0.000 | 89.32 | 0.000 | SA- | −12.73 | 0.000 | 98.54 | 0.000 | BW- | −19.42 | 0.000 | 43.50 | 0.000 | BN- | −13.63 | 0.000 | 68.39 | 0.000 | BL- | −14.32 | 0.000 | 64.22 | 0.000 | RM-RF | −15.89 | 0.000 | 77.52 | 0.000 | SMB | −12.34 | 0.000 | 87.65 | 0.000 | HML | −15.34 | 0.000 | 87.54 | 0.000 | CMA | −20.33 | 0.000 | 93.34 | 0.000 | RMW | −9.54 | 0.000 | 33.43 | 0.000 |
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