Sinful Stocks

Year 2016, Volume: 16 Issue: 1, 1 - 12, 01.02.2016

İbrahim Bozkurt

Abstract

The aim of this study is to analyse the return performances of sinful stocks which may guide investors in the process of portfolio management. In this paper, daily stock prices of 100 companies from 8 sinful industries traded at the stock exchange markets of the United States, Australia, Canada, Mexico, United Kingdom, France and Turkey are employed as dataset of the research. This paper covers the period of 1999-2014. The return performances of the sinful stocks are analysed by identifying the yields of the portfolios comprising the relevant sinful stocks. Jensen’s Alpha method is utilized in measuring the performances of the portfolios. The results of the study indicate that sinful portfolios have better performance than stock markets

Keywords

Bad Firm, Sinful Stock, Abnormal Return, Jensen’s Alpha Method.

Günahkar Hisseler

Abstract

Bu çalışmanın temel amacı, günahkâr hisselerin getiri performanslarını analiz etmek ve portföy yönetim sürecinde yatırımcılara faydalı olabilecek bilgiler sunmaktır. Bu çalışmada; ABD, Avustralya, Kanada, Meksika, Birleşik Krallık, Fransa ve Türkiye borsalarında işlem gören sekiz farklı günahkâr endüstriden 100 firmanın 1999-2014 yılları arasındaki günlük hisse fiyatları veri olarak kullanılmaktadır. Günahkâr hisselerin getiri performansları, günahkâr hisselerden oluşan portföylere ait getirilerin belirlenmesi suretiyle analiz edilmektedir. Portföy performanslarının ölçülmesinde Jensen’in alfa yöntemi kullanılmaktadır. Çalışma sonucunda, günahkâr portföylerin piyasa portföyünden daha iyi bir performans sergilediği tespit edilmiştir

Keywords

Kötü Firma, Günahkar Hisse, Anormal Getiri, Jensen’in alfa yöntemi.

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