Factors affecting stock returns in financial markets have long been a central focus of research. In recent years, this interest has intensified, particularly with the development of multi-factor financial asset pricing models. The present study examines the explanatory power of these models on the stock returns of firms included in the Katılım 30 Index. Five widely recognized models in the literature were tested: the Intertemporal Asset Pricing Model (ICAPM), the Fama-French Three-Factor Model (FF3F), the Carhart Four-Factor Model, the Fama-French Five-Factor Model (FF5F), and the Q-Factor Model. The primary objective of this study is to determine which model most effectively explains the stock returns of the firms in the Katılım 30 Index.

The analysis is based on quarterly financial data from 18 firms in the Katılım 30 Index with continuous financial records over the period 2011–2023. Variables included in the models were constructed in accordance with established calculation methods in the literature and prepared for empirical analysis. The analyses were conducted using the ARDL Bounds Test in Eviews 10.

The results indicate that the FF3F model demonstrates the highest explanatory power for the stock returns of firms in the Katılım 30 Index. All factors within this model—RMRKT (market return), SMB (size), and HML (book-to-market ratio)—were statistically significant and exhibited coefficients consistent with theoretical expectations. Additionally, certain factors in both the Carhart Four-Factor and Q-Factor models were statistically significant and aligned with theory, suggesting that these models are also applicable within the Katılım 30 Index. In contrast, the results for the ICAPM and FF5F models suggest that they do not provide consistent explanatory power for the firms in the Katılım 30 Index.