Araştırma Makalesi
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Factors Affecting The Cross section Of Common Stock Returns: An Applied Analysis At Ise

Yıl 2009, Cilt: 18 Sayı: 1, 79 - 94, 01.06.2009

Öz

Studies executed at many developed capital markets has represented considerable evidence concerning the existence of firm size anomaly at stock exchanges However the evidence regarding Istanbul Stock Exchange were conflicting This might partly be attributed to the differences in the periods examined and the methods applied in the previous studies This study by applying different methods examined whether firm size captures the variation in average common stock returns And also it is examined whether abnormal returns can be gained by using the relationship between firm size and common stock returns at ISE over July 1993 to June 2004 period Along the firm size; the explanatory power of beta book to market value ratio of equity and price of the common stock over common stock returns has been investigated Key Words: Firm Size Anomaly Capital Assets Pricing Model Price Anomaly Beta Book to Market Value Ratio of Equity Anomaly

Kaynakça

  • Alford, A., Jones, J. J., Zmijewski, M. E., (1994), “ Extensions and Violations of the SEC Statutory Form 10-K Filing Date”, Journal of Accounting and Economics, C.17, S. 1-2, p. 229-254.
  • Allen, D.E; Cleary F., (1998), “Determinants of the Cross-Section of Stock Returns in the Malaysian Stock Market”, International Review of Financial Analysis, C.7, S. 3, p. 253-275.
  • Banz, R. W., (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics, C. 9, S. 1, p. 3-18.
  • Barber, B. M.; Lyon, J. D., (1997), “Firm Size, Book-to-market Ratio, and Security Returns A Holdout Sample of Financial Firms”, The Journal of Finance, C. 52, S. 2, p. 875-883.
  • Barry, C. B., Goldreyer, E., Lockwood, L. J., Rodriguez, M., (2001), “Robustness of Size and Value Effects in Emerging Equity Markets 1985-2000”, Texas Christian University Center for Financial Studies Working Paper.
  • Basu, S., (1983), “The Relationship between Earnings’ Yield, Market Value and Return for NYSE Common Stocks: Further Evidence”, Journal of Financial Economics, C.12, S. 1, p. 129-156.
  • Baştürk, F., (2002), “F/K Oranı ve Firma Büyüklüğü Anomalilerinin Bir Arada Ele Alınarak Portföy Oluşturulması ve Bir Uygulama Örneği”, Doktora Tezi, Eskişehir Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Bora, Zeynep Gül, (1995), “An Investigation of Anomalies at Istanbul Stock Exchange: Size and January Effects “, Yuksek Lisans Tezi.
  • Brown, P., Kleidon, A. W., Marsh, T. A., (1983), “New Evidence on the Nature of Size-Related Anomalies in Stock Prices”, Journal of Financial Economics, C. 12, S. 1, p. 33-56.
  • Chan, K. C.; Chen, N., (1991), “Structural and Return Characteristics of Small and Large Firms”, The Journal of Finance, C.46, p. 1467-1484.
  • Chan, K. C., Hamao, Y., Lakonishok, J., (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance, C. 46, p. 1739-1764.
  • Charitou, A.; Constantinidis, E., (2004), “Size and Book-to-Market Factors in Earnings and Stock Returns: Emprical Evidence for Japan”, University of Cyprus Working Paper.
  • Chou, R. K., Lin, J. B., Hsu, J. T., (2002), “The Consistency of Size Effect: Time Periods, Regression Methods, and Database Selection”, National Central University Working Paper, p. 1-24.
  • Chui, A. C. W.; Wei, K. C. J., (1998), “Book-to-Market, Firm Size, and the Turn-of- the-Year Effect: Evidence from Pacific-Basin Emerging Markets”, Pacific- Basin Finance Journal, C. 6, S. 3-4 , 275-293.
  • Chung Y. P., Johnson H., Schill M. J., (2004), “Asset Pricing When Returns Are Nonnormal: Fama-French Factors vs. Higher-order Systematic Co-Moments”, University of California Working Paper.
  • Connor, G.; Sehgal, S., (2001), “Tests of the Fama and French Model in India”, Working Paper, p. 1-23.
  • Cook, T. J.; Rozeff, M. S., (1984), “Size and Earnings/Price Ratio Anomalies: One Effect or Two?”, Journal of Financial and Quantitative Analysis, C. 19, S. 4, p. 449–464.
  • Davis, J. L., (1994), “The Cross-Section of Realized Stock Returns: The Pre- Compustat Evidence”, The Journal of Finance, C. 49, S. 5, p. 1579-1593.
  • Demir, A., Küçükkiremitçi, O., Pekkaya, S., Üreten, A., (1997), “Fiyat/Kazanç Oranına ve Firma Büyüklüğüne Göre Oluşturulan Portföylerin Performanslarının Değerlendirilmesi”, Sermaye Piyasası ve İMKB Üzerine Çalışmalar, İMKB Yayınları.
  • Dimson, E., (1979), “Risk Measurement When Shares Are Subject to Thin Trading”, Journal of Financial Economics, C. 7, p. 197-226
  • Dyckman, T. R.; Morse, D., (1986), Efficient Capital Markets And Accounting: A Critical Analysis (2.baskı), USA: Prentice-Hall.
  • Ellouz, S., (2004),”Asset Pricing and the Predictability of Stock Returns in the French Market”, CEREG University of Paris Working Paper.
  • Fabozzi, F.; Modigliani, F., (1992), Capital Markets: Institutions And Instruments, USA: Prentice Hall.
  • Fama, E.; French, K. R., (1992), “The Cross-Section of Expected Stock Returns”, The Journal of Finance, C. 47, S. 2, p. 427-465.
  • Fama, E.; French, K. R., (1993), “Common Risk Factors in The Returns on Stocks and Bonds”, Journal of Financial Economics, C. 33, p. 3-56.
  • Haris, R.; Marston, F. C., (1994), “Value versus Growth Stocks: Book-to-Market, Growth and Beta”, Financial Analysts Journal, C. 50, S. 5, p. 18-24.
  • Herrera, M. J.; Lockwood, L. J., (1994), “The Size Effect in the Mexican Stock Market”, Journal of Banking & Finance, C. 18, S. 4, p. 621-632.
  • Heston, S. L. Rouwenhorst, K., Wessels, R. E., (1999), “The Role of Beta and Size in the Cross-Section of European Stock Returns”, European Financial Management, C. 5, S. 1, p. 9-27.
  • Jegadeesh, N., (1992), “Does Market Risk Really Explain Size Effect?”, The Journal of Quantitative Analysis, C. 27, S. 3, p. 337-351.
  • Karan, M. B., (2003), “İstanbul Menkul Kıymetler Borsası Anomalileri”, Ege Ekonomik Bakış Dergisi.
  • Karan, M. B., (2004), Yatırım Analizi Ve Portföy Yönetimi, Ankara:Gazi Kitabevi.
  • Keim, D., (1983), “Size Related Anomalies and Stock Return Seasonality: Further Emprical Evidence”, Journal of Financial Economics, C. 12, S. 1, p. 13-32.
  • Keim, D. B., Jaffe, J., Westerfield, R., (1989), “Earning Yields, Market Values, and Stock Returns”, The Journal of Finance, C. 44, S. 1, p. 135-148.
  • Lam, K. S. K., (2002), “The Relationship between Size, Book-to Market Equity Ratio, Earnings - Price Ratio, and Return for the Hong Kong Stock Market”, Global Finance Journal, C.13, S. 2, p.163-179.
  • Lamoureux, C.; Sanger, G. C., (1989), “Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market”, The Journal of Finance, C. 44, No. 5, p. 1219-1245.
  • Moore, C., (2000), “Unraveling the Size Effect”, Issues in Political Economy, C. 9, p. 1-13.
  • Özcan, M.; Yücel, R., (2003), “Anormal Getirilerde Firma Büyüklüğü Etkisi”, Celal Bayar Üniversitesi İ.İ.B.F Yönetim ve Ekonomi Dergisi, C. 10, S. 1, p. 83-97.
  • Pınar, T., (2002), “Hisse Senedi Getirilerinde Firma Büyüklüğü Etkisi: İMKB’de Uygulamalı Bir Analiz”, Yüksek Lisans Tezi, Gebze Yüksek Teknoloji Enstitüsü , Gebze.
  • Reinganum, M., (1981), “Misspesifications of Capital Asset Pricing: Emprical Anomalies Based on Earnings’ Yields and Market Values”, Journal of Financial Economics, C. 9, S. 1, p. 19-46.
  • Roll, R., (1981), ”A Possible Explanation of the Small Firm Effect”, The Journal of Finance, C. 36, S. 4, p. 879-888.
  • Taner, A. T.; Kayalıdere, K., (2002), “1995-2000 Döneminde İMKB’de Anomali Araştırması”, Celal Bayar Üniversitesi İ.İ.B.F Yönetim Ve Ekonomi Dergisi, C. 9, S. 1-2.
  • Topsever, V., (1998), “İMKB’de Gözlemlenen Anomalilere Kısa Bir Bakış ve Firma Büyüklüğü Etkisi Üzerine Bir Deneme”, Yüksek Lisans Tezi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü.
  • Tseng, K. C., (1988), “Low Price , Price-Earnings Ratio, Market Value and Abnormal Stock Returns”, The Financial Review, C. 23, S. 3, p. 333-343.
  • Schwert, G. C., (2000), “Anomalies and Market Efficiency”, University of Rochester National Bureau of Economic Research (NBER) Working Paper.
  • Strong, N.; Xu, X. G., (1997), “Explaining the Cross-Section of UK Expected Stock Returns”, British Accounting Review, C. 23, p. 1-23.
  • Waelkens, K. G.; Ward, M., (1997), “The low price effect on the Johannesburg Stock Exchange”, Investment Analysts Journal, C. 45, p. 35-48.
  • Wong, K. A., (1989), “The Firm Size Effect on Stock Returns in a Developing Stock Market”, Economics Letters, C. 30, S. 1, p. 61-65.
  • www.hazine.gov.tr www.ise.org

FACTORS AFFECTING THE CROSS-SECTION OF COMMON STOCK RETURNS: AN APPLIED ANALYSIS AT ISE

Yıl 2009, Cilt: 18 Sayı: 1, 79 - 94, 01.06.2009

Öz

Gelişmiş sermaye piyasalarında gerçekleştirilmiş olan çalışmalar, firma büyüklüğü
anomalisinin menkul kıymet piyasalarında var olduğu yönünde ciddi kanıtlar
sunmuştur. İstanbul Menkul Kıymetler Borsasına ilişkin kanıtlar ise çelişkilidir. Bu
durum kısmen, yürütülen çalışmalarda incelenen dönemler ve uygulanan metotlar ile
ilişkilendirilebilir. Bu çalışmada, çeşitli yöntemler uygulanarak, firma büyüklüğünün,
hisse senedi getirilerindeki değişkenliği açıklayıp açıklamadığı ve eğer açıklıyor ise;
firma büyüklüğü ile hisse senedi getirileri arasındaki ilişkiye dayalı olarak normal-üstü
getiriler elde edilip edilemeyeceği, Temmuz 1993-Haziran 2004 dönemi için
araştırılmıştır. Firma büyüklüğünün yanı sıra, beta, öz kaynak defter değeri-piyasa
değeri oranı ve hisse senedi fiyatının, hisse senedi getirileri üzerindeki açıklayıcı gücü
de araştırılmıştır.

Kaynakça

  • Alford, A., Jones, J. J., Zmijewski, M. E., (1994), “ Extensions and Violations of the SEC Statutory Form 10-K Filing Date”, Journal of Accounting and Economics, C.17, S. 1-2, p. 229-254.
  • Allen, D.E; Cleary F., (1998), “Determinants of the Cross-Section of Stock Returns in the Malaysian Stock Market”, International Review of Financial Analysis, C.7, S. 3, p. 253-275.
  • Banz, R. W., (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics, C. 9, S. 1, p. 3-18.
  • Barber, B. M.; Lyon, J. D., (1997), “Firm Size, Book-to-market Ratio, and Security Returns A Holdout Sample of Financial Firms”, The Journal of Finance, C. 52, S. 2, p. 875-883.
  • Barry, C. B., Goldreyer, E., Lockwood, L. J., Rodriguez, M., (2001), “Robustness of Size and Value Effects in Emerging Equity Markets 1985-2000”, Texas Christian University Center for Financial Studies Working Paper.
  • Basu, S., (1983), “The Relationship between Earnings’ Yield, Market Value and Return for NYSE Common Stocks: Further Evidence”, Journal of Financial Economics, C.12, S. 1, p. 129-156.
  • Baştürk, F., (2002), “F/K Oranı ve Firma Büyüklüğü Anomalilerinin Bir Arada Ele Alınarak Portföy Oluşturulması ve Bir Uygulama Örneği”, Doktora Tezi, Eskişehir Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Bora, Zeynep Gül, (1995), “An Investigation of Anomalies at Istanbul Stock Exchange: Size and January Effects “, Yuksek Lisans Tezi.
  • Brown, P., Kleidon, A. W., Marsh, T. A., (1983), “New Evidence on the Nature of Size-Related Anomalies in Stock Prices”, Journal of Financial Economics, C. 12, S. 1, p. 33-56.
  • Chan, K. C.; Chen, N., (1991), “Structural and Return Characteristics of Small and Large Firms”, The Journal of Finance, C.46, p. 1467-1484.
  • Chan, K. C., Hamao, Y., Lakonishok, J., (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance, C. 46, p. 1739-1764.
  • Charitou, A.; Constantinidis, E., (2004), “Size and Book-to-Market Factors in Earnings and Stock Returns: Emprical Evidence for Japan”, University of Cyprus Working Paper.
  • Chou, R. K., Lin, J. B., Hsu, J. T., (2002), “The Consistency of Size Effect: Time Periods, Regression Methods, and Database Selection”, National Central University Working Paper, p. 1-24.
  • Chui, A. C. W.; Wei, K. C. J., (1998), “Book-to-Market, Firm Size, and the Turn-of- the-Year Effect: Evidence from Pacific-Basin Emerging Markets”, Pacific- Basin Finance Journal, C. 6, S. 3-4 , 275-293.
  • Chung Y. P., Johnson H., Schill M. J., (2004), “Asset Pricing When Returns Are Nonnormal: Fama-French Factors vs. Higher-order Systematic Co-Moments”, University of California Working Paper.
  • Connor, G.; Sehgal, S., (2001), “Tests of the Fama and French Model in India”, Working Paper, p. 1-23.
  • Cook, T. J.; Rozeff, M. S., (1984), “Size and Earnings/Price Ratio Anomalies: One Effect or Two?”, Journal of Financial and Quantitative Analysis, C. 19, S. 4, p. 449–464.
  • Davis, J. L., (1994), “The Cross-Section of Realized Stock Returns: The Pre- Compustat Evidence”, The Journal of Finance, C. 49, S. 5, p. 1579-1593.
  • Demir, A., Küçükkiremitçi, O., Pekkaya, S., Üreten, A., (1997), “Fiyat/Kazanç Oranına ve Firma Büyüklüğüne Göre Oluşturulan Portföylerin Performanslarının Değerlendirilmesi”, Sermaye Piyasası ve İMKB Üzerine Çalışmalar, İMKB Yayınları.
  • Dimson, E., (1979), “Risk Measurement When Shares Are Subject to Thin Trading”, Journal of Financial Economics, C. 7, p. 197-226
  • Dyckman, T. R.; Morse, D., (1986), Efficient Capital Markets And Accounting: A Critical Analysis (2.baskı), USA: Prentice-Hall.
  • Ellouz, S., (2004),”Asset Pricing and the Predictability of Stock Returns in the French Market”, CEREG University of Paris Working Paper.
  • Fabozzi, F.; Modigliani, F., (1992), Capital Markets: Institutions And Instruments, USA: Prentice Hall.
  • Fama, E.; French, K. R., (1992), “The Cross-Section of Expected Stock Returns”, The Journal of Finance, C. 47, S. 2, p. 427-465.
  • Fama, E.; French, K. R., (1993), “Common Risk Factors in The Returns on Stocks and Bonds”, Journal of Financial Economics, C. 33, p. 3-56.
  • Haris, R.; Marston, F. C., (1994), “Value versus Growth Stocks: Book-to-Market, Growth and Beta”, Financial Analysts Journal, C. 50, S. 5, p. 18-24.
  • Herrera, M. J.; Lockwood, L. J., (1994), “The Size Effect in the Mexican Stock Market”, Journal of Banking & Finance, C. 18, S. 4, p. 621-632.
  • Heston, S. L. Rouwenhorst, K., Wessels, R. E., (1999), “The Role of Beta and Size in the Cross-Section of European Stock Returns”, European Financial Management, C. 5, S. 1, p. 9-27.
  • Jegadeesh, N., (1992), “Does Market Risk Really Explain Size Effect?”, The Journal of Quantitative Analysis, C. 27, S. 3, p. 337-351.
  • Karan, M. B., (2003), “İstanbul Menkul Kıymetler Borsası Anomalileri”, Ege Ekonomik Bakış Dergisi.
  • Karan, M. B., (2004), Yatırım Analizi Ve Portföy Yönetimi, Ankara:Gazi Kitabevi.
  • Keim, D., (1983), “Size Related Anomalies and Stock Return Seasonality: Further Emprical Evidence”, Journal of Financial Economics, C. 12, S. 1, p. 13-32.
  • Keim, D. B., Jaffe, J., Westerfield, R., (1989), “Earning Yields, Market Values, and Stock Returns”, The Journal of Finance, C. 44, S. 1, p. 135-148.
  • Lam, K. S. K., (2002), “The Relationship between Size, Book-to Market Equity Ratio, Earnings - Price Ratio, and Return for the Hong Kong Stock Market”, Global Finance Journal, C.13, S. 2, p.163-179.
  • Lamoureux, C.; Sanger, G. C., (1989), “Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market”, The Journal of Finance, C. 44, No. 5, p. 1219-1245.
  • Moore, C., (2000), “Unraveling the Size Effect”, Issues in Political Economy, C. 9, p. 1-13.
  • Özcan, M.; Yücel, R., (2003), “Anormal Getirilerde Firma Büyüklüğü Etkisi”, Celal Bayar Üniversitesi İ.İ.B.F Yönetim ve Ekonomi Dergisi, C. 10, S. 1, p. 83-97.
  • Pınar, T., (2002), “Hisse Senedi Getirilerinde Firma Büyüklüğü Etkisi: İMKB’de Uygulamalı Bir Analiz”, Yüksek Lisans Tezi, Gebze Yüksek Teknoloji Enstitüsü , Gebze.
  • Reinganum, M., (1981), “Misspesifications of Capital Asset Pricing: Emprical Anomalies Based on Earnings’ Yields and Market Values”, Journal of Financial Economics, C. 9, S. 1, p. 19-46.
  • Roll, R., (1981), ”A Possible Explanation of the Small Firm Effect”, The Journal of Finance, C. 36, S. 4, p. 879-888.
  • Taner, A. T.; Kayalıdere, K., (2002), “1995-2000 Döneminde İMKB’de Anomali Araştırması”, Celal Bayar Üniversitesi İ.İ.B.F Yönetim Ve Ekonomi Dergisi, C. 9, S. 1-2.
  • Topsever, V., (1998), “İMKB’de Gözlemlenen Anomalilere Kısa Bir Bakış ve Firma Büyüklüğü Etkisi Üzerine Bir Deneme”, Yüksek Lisans Tezi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü.
  • Tseng, K. C., (1988), “Low Price , Price-Earnings Ratio, Market Value and Abnormal Stock Returns”, The Financial Review, C. 23, S. 3, p. 333-343.
  • Schwert, G. C., (2000), “Anomalies and Market Efficiency”, University of Rochester National Bureau of Economic Research (NBER) Working Paper.
  • Strong, N.; Xu, X. G., (1997), “Explaining the Cross-Section of UK Expected Stock Returns”, British Accounting Review, C. 23, p. 1-23.
  • Waelkens, K. G.; Ward, M., (1997), “The low price effect on the Johannesburg Stock Exchange”, Investment Analysts Journal, C. 45, p. 35-48.
  • Wong, K. A., (1989), “The Firm Size Effect on Stock Returns in a Developing Stock Market”, Economics Letters, C. 30, S. 1, p. 61-65.
  • www.hazine.gov.tr www.ise.org
Toplam 48 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Prof. Dr. Serpil Canbaş Bu kişi benim

Res. Ass. Emrah Arıoğlu Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2009
Gönderilme Tarihi 29 Aralık 2013
Yayımlandığı Sayı Yıl 2009 Cilt: 18 Sayı: 1

Kaynak Göster

APA Canbaş, P. D. S., & Arıoğlu, R. A. E. (2009). Factors Affecting The Cross section Of Common Stock Returns: An Applied Analysis At Ise. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 18(1), 79-94.