An investigation of anomalies at Istanbul Securities Exchange : winner-loser effect
Author
Sayın, Gürkan
Advisor
Aydoğan, Kürşat
Date
1993Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
In this study , the presence of winner -1 oser effect
in Istanbul Stock Exchange is investigated. Tests are
done for the period of January .1988 - December 1992.
Past performance is used to form the " Winner " and
"Loser" portfolios pri or to the lest period. Duration for past performance measure ments change from 1 month to 48 months.Test periods change from 3 months to 36 months.
The results show that, in the first month of the
test period, loser portfolio outperforms the winner
p o r t f o l i o . This ef f ect is e m p h a s i z e d if the first mont h
of the lest period is January.
The above results carry similarities with the
empirical results obtained from slock markets of USA
and Japan.