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EQUITY RETURN ANOMALIES IN TURKISH MARKETS

Year 2020, Volume: 7 Issue: 4, 409 - 418, 31.12.2020

Yigit Atılgan A.doruk Gunaydın

https://doi.org/10.17261/Pressacademia.2020.1372

Abstract

Purpose- The purpose of this study is to investigate the predictive power of various stock attributes in the cross-section of equity returns in Borsa Istanbul.
Methodology- Covering a sample period between 1988 and 2018, this study implements univariate portfolio analyses. Specifically, each month, stocks are sorted into quintile portfolios based on one anomaly variable at a time. Next, the one-month-ahead equal- and value-weighted portfolio returns are calculated for each quintile to test whether the return spread between the extreme anomaly portfolios is economically and statistically significant.
Findings- The findings using the whole sample document that market beta, firm size, lagged return and lottery demand have a significant and negative relation with future stock returns. In contrast, book-to-market ratio, investment and profitability have a strong positive relation with expected equity returns.
Conclusion- Some anomalies that are shown to exist for U.S. equity returns are not documented in Turkey. Except for the investment anomaly, the directions of the common anomalies are in line with the existing literature in the U.S.

Keywords

Equity returns Borsa Istanbul anomalies emerging markets

References

  • Alkan, U., & Guner, B. (2018). Preferences for lottery stocks at Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 55, 211-223.
  • Azimli, A. , & Evrim Mandacı, P. (2017). Borsa Istanbul’da şirket yatirim ve beklenen hisse getirileri . Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi , 18 (2) , 299-315.
  • Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. Review of Financial Studies, 19(4), 1191-1239.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. Journal of Finance, 61(1), 259-299.
  • Atilgan, Y., Bali, T. G., Demirtas, K. O., & Gunaydin, A. D. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of Financial Economics, 135(3), 725-753.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2014). Hybrid tail risk and expected stock returns: When does the tail wag the dog? The Review of Asset Pricing Studies, 4(2), 206-246.
  • Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial Economics, 9(1), 3-18.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
  • Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross‐section of stock returns. the Journal of Finance, 63(4), 1609-1651.
  • Dağlı, H. , & Çöllü, D. (2015). Hisse senedi piyasalarinda görülen anomaliler: Borsa Istanbul örneği . Giresun Üniversitesi İktisadi ve İdari Bilimler Dergisi , 1 (1) , 17-36.
  • Eraslan, V. (2013). Fama and French three-factor model: Evidence from Istanbul Stock Exchange. Business and Economics Research Journal, 4(2), 11.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
  • Fazil, G., & İpek, A. (2013). Does idiosyncratic volatility matter in the emerging markets? Istanbul Stock Exchange evidence. Economic Research-Ekonomska istraživanja, 26(3), 133-150.
  • Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25.
  • Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55(3), 1263-1295.
  • Hong, H., & Sraer, D. A. (2016). Speculative betas. Journal of Finance, 71(5), 2095-2144.
  • Hou, K., Xue, C., & Zhang, L. (2020). Replicating anomalies. Review of Financial Studies, 33(5), 2019-2133.
  • Jacobs, H., & Müller, S. (2020). Anomalies across the globe: Once public, no longer existent? Journal of Financial Economics, 135(1), 213-230.
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45(3), 881-898.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
  • Karceski, J. (2002). Returns-chasing behavior, mutual funds, and beta's death. Journal of Financial and Quantitative Analysis, 37(4), 559-594.
  • Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105(1), 1-28.
  • Lintner, J. (1969). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets: A reply. Review of Economics and Statistics, 222-224.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 768-783.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442

TÜRKİYE PİYASALARINDA PAY GETİRİSİ ANOMALİLERİ

Year 2020, Volume: 7 Issue: 4, 409 - 418, 31.12.2020

Yigit Atılgan A.doruk Gunaydın

https://doi.org/10.17261/Pressacademia.2020.1372

Abstract

Amaç- Bu çalışma, Borsa İstanbul’da işlem gören pay senetleri için, pay senetlerine ait belirli özelliklerin, pay senetlerinin gelecekteki getirileri üzerinde anlamlı bir etkisinin olup olmadığını incelemektedir.
Yöntem- 1988-2018 yılları arasındaki dönemi kapsayan bu çalışmada, tek değişkenli portföy analizi kullanılmıştır. Pay senetleri her ay, söz konusu çeşitli değişkenlerin büyüklüğüne göre beş portföye ayrılmaktadır. Daha sonra, bu portföylerin hem eşit ağırlıklı, hem de piyasa değerine göre ağırlıklandırılmış bir sonraki ayki getirileri hesap edilip, uç portföyler arasındaki getiri farkının ekonomik ve istatistiki olarak anlamlı olup olmadığı test edilmiştir.
Bulgular- Borsa İstanbul’da işlem gören pay senetleri için, piyasa betası, şirket büyüklüğü, bir payın geçmiş aydaki getirisi ve payın piyango özelliği ile beklenen pay senedi getirileri arasında negatif bir ilişki gözlemlenmiştir. Ayrıca, öz sermayenin defter değerinin piyasa değerine oranı, şirketin toplam varlıklarındaki büyüme (yatırım) ve karlılık oranı ile beklenen pay getirileri arasında pozitif bir ilişkiye rastlanmıştır. Bu anomalilerin yönü yatırım değişkeni haricinde literatürdeki bulgularla uyum göstermektedir.
Sonuç- ABD’de mevcut olan anomalilerin tamamı Türkiye için çalışmamaktadır. Ayrıca, yatırım anomalisi dışında Borsa İstanbul’da çalışan anomalilerin yönleri, ABD'deki mevcut literatürle uyumludur.

Keywords

Pay senedi getirileri Borsa Istanbul anomaliler gelişen piyasalar

References

  • Alkan, U., & Guner, B. (2018). Preferences for lottery stocks at Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 55, 211-223.
  • Azimli, A. , & Evrim Mandacı, P. (2017). Borsa Istanbul’da şirket yatirim ve beklenen hisse getirileri . Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi , 18 (2) , 299-315.
  • Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. Review of Financial Studies, 19(4), 1191-1239.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. Journal of Finance, 61(1), 259-299.
  • Atilgan, Y., Bali, T. G., Demirtas, K. O., & Gunaydin, A. D. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of Financial Economics, 135(3), 725-753.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2014). Hybrid tail risk and expected stock returns: When does the tail wag the dog? The Review of Asset Pricing Studies, 4(2), 206-246.
  • Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial Economics, 9(1), 3-18.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
  • Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross‐section of stock returns. the Journal of Finance, 63(4), 1609-1651.
  • Dağlı, H. , & Çöllü, D. (2015). Hisse senedi piyasalarinda görülen anomaliler: Borsa Istanbul örneği . Giresun Üniversitesi İktisadi ve İdari Bilimler Dergisi , 1 (1) , 17-36.
  • Eraslan, V. (2013). Fama and French three-factor model: Evidence from Istanbul Stock Exchange. Business and Economics Research Journal, 4(2), 11.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
  • Fazil, G., & İpek, A. (2013). Does idiosyncratic volatility matter in the emerging markets? Istanbul Stock Exchange evidence. Economic Research-Ekonomska istraživanja, 26(3), 133-150.
  • Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25.
  • Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55(3), 1263-1295.
  • Hong, H., & Sraer, D. A. (2016). Speculative betas. Journal of Finance, 71(5), 2095-2144.
  • Hou, K., Xue, C., & Zhang, L. (2020). Replicating anomalies. Review of Financial Studies, 33(5), 2019-2133.
  • Jacobs, H., & Müller, S. (2020). Anomalies across the globe: Once public, no longer existent? Journal of Financial Economics, 135(1), 213-230.
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45(3), 881-898.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
  • Karceski, J. (2002). Returns-chasing behavior, mutual funds, and beta's death. Journal of Financial and Quantitative Analysis, 37(4), 559-594.
  • Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105(1), 1-28.
  • Lintner, J. (1969). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets: A reply. Review of Economics and Statistics, 222-224.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 768-783.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442
There are 29 citations in total.

Details

Primary Language Turkish
Subjects Economics, Finance, Business Administration
Journal Section Articles
Authors

Yigit Atılgan This is me 0000-0003-3818-3300

A.doruk Gunaydın 0000-0001-5235-6664

Publication Date December 31, 2020
Published in Issue Year 2020 Volume: 7 Issue: 4

Cite

APA Atılgan, Y., & Gunaydın, A. (2020). TÜRKİYE PİYASALARINDA PAY GETİRİSİ ANOMALİLERİ. Journal of Economics Finance and Accounting, 7(4), 409-418. https://doi.org/10.17261/Pressacademia.2020.1372

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