Testing the Augmented Fama–French Six-Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul

Table 5

Estimator results.

Ri − Rf	A	β	S	H	R	c	M	GRS-F	DW	F-statistic	Adj. R^2
CAPM	0.026 (0.276)	0.304 (3.102)	—	—	—	—	—	1.68 (0.11)	2.093	27.53 (0.000)	0.321
FF3F	0.012 (0.183)	0.298 (3.041)	0.565 (4.343)	0.164 (1.856)	—	—	—	1.54 (0.19)	1.753	29.32 (0.000)	0.362
FF4F	0.002 (0.143)	0.322 (3.264)	0.464 (3.974)	0.175 (1.904)	.545 (4.565)	—	—	1.29 (0.28)	2.031	31.76 (0.000)	0.385
FF5F	0.017 (0.206)	0.215 (2.343)	0.653 (5.623)	.202 (2.005)	.492 (3.875)	.503 (3.943)	—	1.12 (0.38)	2.129	35.97 (0.000)	0.402
FF6F	0.021 (0.232)	0.301 (3.094)	0.527 (4.242)	0.194 (1.988)	.405 (3.215)	.551 (4.640)	.364 (3.574)	1.10 (0.39)	1.875	38.01 (0.000)	0.427