A Note on Cross Section of Stock Returns on the Istanbul Stock Exchange

Date

2007-01-01

Author

Kayaçetin, Nuri Volkan
Güner, Zehra Nuray

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This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-toequity 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-tomarket 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)

Subject Keywords

Stock returns, Fama-French factors, Istanbul Stock Exchange

URI

https://hdl.handle.net/11511/85610
http://www.bujournal.boun.edu.tr/docs/13315907026.Volkan%20Kayacetin.pdf

Journal

Boğaziçi Journal of Economics and Administrative Sciences

Collections

Department of Business Administration, Article

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Citation Formats

N. V. Kayaçetin and Z. N. Güner, “A Note on Cross Section of Stock Returns on the Istanbul Stock Exchange,” Boğaziçi Journal of Economics and Administrative Sciences, pp. 93–105, 2007, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/85610.