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
SL^2	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.