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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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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.