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PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE

Year 2000, Volume: 18 Issue: 2, 433 - 450, 31.12.2000

Abstract

This
paper performs a financial analysis that combines a set of
fundamental
information into a summarv measure which predicts the
return of
stocks bv usin2 logit analysis, The findings suggest that the
predictive
power of financial ratios is verv high and more important than the fundamental
information. but the variables (ratios) of logit models are
not stable
from one period to another. Also it is found that there is a
statistically significant correlation benveen the observed and predicted
ranking. We conclude that developing a more general model for prediction might
solve the problem about unstable variables, but the
general
model has verv limited ability of ranking the stocks according to their
perfonnance.

References

  • Ağaoğlu, E. A. (1989) Türkiye' de Banka İşletmelerinin Ekonomik Analizi ve Gelişme Eğilimleri. Unpublished Ph.D. Thesis. Ankara.
Year 2000, Volume: 18 Issue: 2, 433 - 450, 31.12.2000

Abstract

References

  • Ağaoğlu, E. A. (1989) Türkiye' de Banka İşletmelerinin Ekonomik Analizi ve Gelişme Eğilimleri. Unpublished Ph.D. Thesis. Ankara.
There are 1 citations in total.

Details

Journal Section Articles
Authors

Ramazan Aktaş

Mehmet Baha Karan

Publication Date December 31, 2000
Submission Date January 1, 2000
Published in Issue Year 2000 Volume: 18 Issue: 2

Cite

APA Aktaş, R., & Karan, M. B. (2000). PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 18(2), 433-450.
AMA Aktaş R, Karan MB. PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. December 2000;18(2):433-450.
Chicago Aktaş, Ramazan, and Mehmet Baha Karan. “PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 18, no. 2 (December 2000): 433-50.
EndNote Aktaş R, Karan MB (December 1, 2000) PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 18 2 433–450.
IEEE R. Aktaş and M. B. Karan, “PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 18, no. 2, pp. 433–450, 2000.
ISNAD Aktaş, Ramazan - Karan, Mehmet Baha. “PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 18/2 (December 2000), 433-450.
JAMA Aktaş R, Karan MB. PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2000;18:433–450.
MLA Aktaş, Ramazan and Mehmet Baha Karan. “PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 18, no. 2, 2000, pp. 433-50.
Vancouver Aktaş R, Karan MB. PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2000;18(2):433-50.

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