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

2007-01-01
Kayaçetin, Nuri Volkan
Güner, Zehra Nuray
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)
Boğaziçi Journal of Economics and Administrative Sciences

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.
Volatility indexes and an implementation of the Turkish BIST 30 index
Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
An Investigation of Returns to Insider Transactions Evidence from the Istanbul Stock Exchange
Çağdaş, Tahaoğlu; Güner, Zehra Nuray (2011-01-01)
In this paper, the return performance of insiders of companies listed on the Istanbul Stock Exchange (ISE) from their open market transactions and that of uninformed investors (outsiders) following insider transactions announced to the public are examined by using a portfolio approach. It is found that, depending on the affiliation of the insider with the company, abnormal returns from their sale transactions last over longer periods than their purchase transactions. Furthermore, outsiders can also earn abn...
How does the stock market volatility change after inception of futures trading?
Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007)
As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
The effect of financial news on BIST stock prices: a machine learning approach
Kanmaz, Medet; Küçükşenel, Serkan; Department of Economics (2018)
This thesis examines the relationship between the price data of companies in different sectors in the Borsa Istanbul (BIST) stock exchange and the verbal data revealed in the financial news related to these companies. In this work, sentiment analysis, natural language processing and the effect of financial news on individual stock performances are studied with a simple and novel method. Sentiment analysis is created by automatically labelling the news for companies publicly traded in BIST as positive or neg...
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.