A note on the cross-section of stock returns on the Istanbul Stock Exchange

Date

2007-01-01

Author

Volkan Kayaçetin, N.
Güner, Zehra Nuray

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This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-to-equity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables ( except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher explanatory powers on the cross-sectional variability of returns on the ISE than firm size and book-to-market ratio, firm-specific variables that are documented to have the greatest explanatory power on the cross-section of U.S. stock returns (Fama and French, 1992).

URI

https://www.researchgate.net/publication/237137782_A_note_on_the_cross-section_of_stock_returns_on_the_Istanbul_Stock_Exchange
https://hdl.handle.net/11511/100358

Journal

BOGAZICI JOURNAL: REVIEW OF SOCIAL, ECONOMIC AND ADMINISTRATIVE STUDIES

DOI

https://doi.org/10.21773/boun.21.1.6

Collections

Department of Business Administration, Article

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Citation Formats

N. Volkan Kayaçetin and Z. N. Güner, “A note on the cross-section of stock returns on the Istanbul Stock Exchange,” BOGAZICI JOURNAL: REVIEW OF SOCIAL, ECONOMIC AND ADMINISTRATIVE STUDIES, vol. 21, no. 1-2, pp. 93–105, 2007, Accessed: 00, 2022. [Online]. Available: https://www.researchgate.net/publication/237137782_A_note_on_the_cross-section_of_stock_returns_on_the_Istanbul_Stock_Exchange.