Browsing by Subject "anomaly"

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    An investigation of anomalies at Istanbul Securities Exchange: size and E/P effects
    (1993) Civelekoğlu, Hakan
    This study investigates the presence of 'sizeeffect' and 'E/P effect' at Istanbul Securities Exchange for the period January 1990-December 1992. 24 months of monthly return data prior to test year are used to estimate the market risk of each stock. Each ear, portfolios are formed according to the previous year's E/P ratio and market value and than the average monthly returns of the current year are compared. In addition, to determine which of the variables significantly explain the average return of stocks, cross-sectional regression approach of Fama-MacBeth (1973) is applied. The results reveal that there exists a weak 'E/P effect' in the years 1991 and 1992. However, a significant 'size effect' is not encountered at ISE as opposed to the case in developed capital markets.