Author(s): HÃ¼seyin DA?LIÂ Duygu ARSLANTÃRK ÃÃLLÃ
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.