Firma Büyüklüğü Ve Piyasa Değeri / Defter Değeri Anomalilerinin Birlikte İncelenmesi: Borsa İstanbul Örneği
The Joint Investigation of the Size and Market Value / Book Value Anomalies: The Case of Borsa İstanbul

Summary/Abstract: By using firm level data in Borsa Istanbul between January 1, 1995 and December 31, 2014, this study investigates the existence of size and market value/book value (MV/BV) anomalies. It also tests whether the abnormal return from the combination of the portfolios with the highest expected return –the strategy that follows these two anomalies– is higher than abnormal return of individual portfolios. At the end of this period, the average cumulative abnormal returns generated by the trading strategy based on the size anomaly, MV/BV anomaly and the combination of both are 10.7%, 13.5% and 12.1% respectively. These results indicate that the trading strategy based on combining both anomalies do not generate abnormal returns higher than the trading strategy based on these anomalies individually. Moreover, in line with the previous literature, the results confirm the presence of both size and market to book value anomalies in Borsa Istanbul.

• Details
• Contents