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

Prof. Dr. Serpil Canbaş Res. Ass. Emrah Arıoğlu

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

Anahtar Kelimeler

Firm Size Anomaly, Capital Assets Pricing Model, Price Anomaly, Beta, Book-to Market Value Ratio of Equity Anomaly

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

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.

Anahtar Kelimeler

Firma Büyüklüğü Anomalisi, Sermaye Varlıkları Fiyatlama Modeli, Fiyat Anomalisi, Beta, Özkaynak Defter Değeri-Piyasa Değeri Oranı Anomalisi

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