STOCK RETURN ANOMALIES: EVIDENCE FROM BORSA İSTANBUL
Journal Title: The Journal of International Social Research - Year 2016, Vol 9, Issue 47
Abstract
This paper investigates the presence of six well-documented anomalies in global equity markets for the Borsa İstanbul, covering the period from July 2001 to June 2012. Anomalies used in this study are firm size, book-to-market equity ratio, momentum, accruals, asset growth and profitability and Fama-MacBeth cross sectional regression approach was used as a method. The results of Fama-MacBeth cross sectional regression approach show that the highest significant anomaly is momentum and firm size and book-to-market equity ratio are also significant anomalies for the Borsa İstanbul. But accruals, asset growth and profitability anomalies are found insignifiant. After partitioning stocks into three size categories (micro, small and big), we find that momentum anomaly is effective in all size categories; book to market ratio, firm size and profitability anomaly is effective in micro and small size categories.
Authors and Affiliations
Hüseyin DAĞLI
Keywords
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- EP ID EP252871
- DOI 10.17719/jisr.2016.1422
- Views 145
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