© International Economic Society.The aim of this paper is to explore the factors affecting the profitability of Turkish commercial banks during the period from January 2006 to March 2014. Some of these are internal factors controllable by the management. Others are external, such as macroeconomic and sector specific conditions outside the control of management. This study has focused on the bank specific factors. Using quarterly data from the unconsolidated financial statements of the 12 commercial banks in the BIST Banks Index, a balanced panel data set has been constructed to which the Swamy’s Random Coefficients Model has been employed. Two models have been used with ROA and ROE as dependent variables. According to the general results, the ratios of net fees and commissons to total expenses and interest from loans to interest on deposits have positive effect on ROA and ROE. The ratio of other operating expenses to total operating income and size represented by the natural logarithm of total assets, have been found to have a negative impact on profitability. The ratio of equity and long term subordinated loans to total assets has a positive impact on ROA but has been found insignificant in explaining ROE. Based on the results on individual banks, the ratio of other expenses to total operating income has been found to have a negative impact on both ROA and ROE in each of the 12 banks. Interest from loans to interest on deposits ratio has a positive impact on ROA and ROE in 11 banks.