Cross-section of stock returns on the İstanbul Stock Exchange

Download
2003
Kayaçetin, Nuri Volkan
The aim of this master thesis is to examine the explanatory power of some popular company-specific factors for the cross-section of average stock returns in the Istanbul Stock Exchange (ISE) for a period from 1992 to 2001. Factors tested in this thesis are firm size (MVE), book-to-market value of equity (BMR), debt-to-equity ratio (DER), sales-to-price ratio (SPR), gross profit-price ratio (GPPR) and dividend yield (DY).

Suggestions

Cross sectional determinants of Turkish stock market returns
Çeliker, Umut; Rhoades, Seza; Department of Business Administration (2004)
This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
Stock market liquidity analysis: evidence from the İstanbul Stock Exchange
Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011)
The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
The role of foreign investors in the İstanbul Stock Exchange
Usta, Murat; Güner, Zehra Nuray; Department of Business Administration (2003)
This master thesis examines the role of foreign investors in the Istanbul Stock Exchange in three dimensions: differences among sectors and subsectors in terms of foreign trading activity, the effect of November 2000 ا February 2001 crisis on returns and foreign trading activity, and the relationship between return and foreign trading activity. Data used in this thesis covers 72 months between January 1997 and December 2002. Significant differences among sectors and subsectors in terms of foreign trading ac...
An analysis of stock splitz in the İstanbul Stock Exchange
Yılmaz, Işıl Sevilay; Rhoades, Seza Danışoğlu; Department of Business Administration (2003)
The primary purpose of this study is to test the validity of the trading range hypothesis as a basis for stock split decisions of Turkish companies. In the first part, the liquidity effects of stock splits on Turkish stocks are examined. Second, the optimal trading ranges for different-sized firms and firms with different investor bases are determined. Finally, the main empirical question of the study is analyzed by testing whether or not Turkish firms whose share prices rise above their optimal trading ran...
The Validity of Fama-French Four Factor Model in Istanbul Stock Exchange /
Bereket, Taylan; Gaygısız Lajunen, Esma; Department of Economics (2014)
The aim of this thesis is to investigate the size, book-to-market ratio (B/M), and profitability patterns in average returns and testing the viability of Fama-French four factor model in Istanbul Stock Exchange (ISE) over the period between July 2004-June 2013. The comparative performances of capital asset pricing model (CAPM), Fama-French three factor model, and Fama-French four factor model will be examined. Each of these three models is regressed on two different sets of portfolios. That is, monthly exce...
Citation Formats
N. V. Kayaçetin, “Cross-section of stock returns on the İstanbul Stock Exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2003.