STOCK RETURN ANOMALIES: EVIDENCE FROM BORSA ?STANBUL

Abstract

Author(s): Hüseyin DA?LI• Duygu ARSLANTÜRK ÇÖLLÜ

This paper investigates the presence of six well-documented anomalies in global equity markets for the Borsa ?stanbul, 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-tomarket equity ratio are also significant anomalies for the Borsa ?stanbul. 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.

Announcements

You can send your paper at https://www.scholarscentral.org/submissions/international-social-research.html

  • The Journal of International Social Research / Uluslararası Sosyal Araştırmalar Dergisi ISSN: 1307-9581, an international, peer-reviewed, on the web publication, from 2007 will be issued least four times annualy.
  • Our journal is an independent academic publication based on research in social sciences, contributing to its field and trying to publish scientific articles that will bring innovation to the original and social sciences.
  • The journal has got an international editorial board and referee board, mainly embodied from the each individually professional on the social research fields.
  • Uluslararası Sosyal Araştırmalar Dergisi / The Journal of International Social Research became a member of Cross Reff since 2014 and started to assign DOI numbers to the articles. image
Google Scholar citation report
Citations : 27

The Journal of International Social Research received 27 citations as per Google Scholar report

The Journal of International Social Research peer review process verified by publons
Get the App