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HİSSE SENEDİ PİYASALARINDA GÖRÜLEN ANOMALİLER: BORSA İSTANBUL ÖRNEĞİ

Year 2015, Volume: 1 Issue: 1, 17 - 36, 01.06.2015

Abstract

Etkin Piyasa Hipotezi ve varlık fiyatlandırma modellerine aykırılık göstererek ortaya çıkan anomaliler son yıllarda finans literatüründe tartışılan önemli konulardan biri haline gelmiştir. Yatırımcılara normal-üstü getiriler sağlaması bakımından oldukça dikkat çeken anomaliler, farklı piyasalarda farklı değişkenler dikkate alınarak birçok araştırmaya konu edilmiştir. Ancak yapılan çalışmaların genellikle gelişmiş piyasalara yönelik olması ve ortaya çıkan sonuçların farklılık arz etmesi anomalilerin gelişmekte olan bir piyasa olarak Borsa İstanbul’da araştırılmasını gündeme getirmiştir. Bu çalışma, gelişmiş piyasalarda varlığı en iyi şekilde kanıtlanan altı anomalinin Temmuz 2001-Haziran 2012 döneminde Borsa İstanbul’da görülüp görülmediğini araştırmaktadır. Firma büyüklüğü, DD/PD oranı, momentum, tahakkuk, aktif büyümesi ve karlılık anomalilerinin dikkate alındığı çalışmada sınıflandırmalar kullanılarak getiriler ile anomaliler arasındaki ilişkiler incelenmiştir. Sınıflandırmalar, Borsa İstanbul’da altı anomaliden en yüksek etkiye sahip olanın momentum anomalisi olduğunu ve DD/PD oranı ve firma büyüklüğü anomalilerinin de piyasada görüldüğünü ortaya koymuştur. Ancak piyasa geneli için yapılan değerlendirmede tahakkuk, aktif büyümesi ve karlılık anomalilerine ilişkin anlamlı bulgulara ulaşılamamıştır. Hisse senetlerinin büyüklüklerine göre üç gruba mikro, küçük ve büyük ayrılmasından sonra momentum ve DD/PD oranı anomalilerinin tüm büyüklük gruplarında; firma büyüklüğü ve karlılık anomalilerinin ise, mikro ve küçük grupta etkili oldukları tespit edilmiştir

References

  • Ansari, V.A. & Khan, S. (2012), “Momentum Anomaly: Evidence From India”, Managerial Finance, 38(2), 206-223.
  • Banz, R.W.,(1981), “The Relationship Between Return and Market Value of Common Stocks”, Journal of Financial Economics 9, 3-18.
  • Barberis, N., Shleifer, A. & Vishny, R. (1998), “A Model of Investor Sentiment”, The Journal of Financial Economics, 49, 307- 343.
  • Bildik, R. (2000), Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerinde Ampirik Bir Çalışma, İstanbul: İMKB Yayınları.
  • Cohen, R.B., Gompers, P.A. & Vuolteenaho, T. (2002), “Who Underreacts to Cash Flow News? Evidence from Trading between Individuals and Institutions”, Journal of Financial Economics 66, 409-462.
  • Cooper, M.J., Gulen H. & Schill M.J. (2008), “Asset Growth and the Cross-section of StockReturns”, Journal of Finance, 63, 1609- 1651.
  • Fairfield, P.M., Whisenant S. & Yohn, T.L. (2003), “Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing”, The Accounting Review 78, 353-371.
  • Fama, E.F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25(2), 383-417.
  • Fama, E.F. & French, K.R. (1996), “Multifactor Explanations of Asset Pricing Anomalies”, TheJournal of Finance, 51 (1), 55-84.
  • Fama, E.F. & French, K.R. (2006), “Profitability, Investment and Average Returns”, Journal of Financial Economics, 82, 491-518.
  • Fama, E.F. & French, K.R.(2008), “Dissecting Anomalies”, Journal of Finance, 63, 1653-1678.
  • Gray, P. & Johnson, J. (2011), “The Relationship Between Asset Growth and the Cross-Section of StockReturns”, Journal of Banking & Finance, 35, 670-680.
  • Haugen, R.A. & Baker, N.L. (1996), “Commonality in the Determinants of Expected Stock Returns”, Journal of Financial Economics, 41, 401-439.
  • Hirshleifer, D., Hou K. & Teoh S. H. (2012), “The Accrual Anomaly: Risk or Mispricing?”, Management Science, 58(2), 320- 335.
  • Hoffman, Aj (2012), “Stock Return Anomalies: Evidence From The Johannesburg Stock Exchange”, Investment Analysts Journal, 75, 21-41.
  • Jegadeesh, N. & Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance 48, 65-91.
  • Lakonishok, J., Shleifer A. & Vishny R. W. (1994), “Contrarian Investment, Extrapolation, and Risk”, Journal of Finance, 49, 1541-1578.
  • Lam, F.Y. Eric & Wei, K.C. John, (2011), “Limits-to- Arbitrage, Investment Frictions, and the Asset Growth Anomaly”, Journal of Financial Economics, 102, 127-149.
  • Roll, Richard (1981), “A Possible Explanation of the Small Firm Effect”, The Journal of Finance, 36(4), 879-888.
  • Rosenberg, B., Reid K. & Lanstein R., (1985), “Persuasive Evidence of Market Inefficiency”, Journal of Portfolio Management 11, 9-17.
  • Sehgal, S., Subramaniam S. & Deisting F, (2012), “Accruals and Cash Flows Anomalies: Evidence From the Indian Stock Market”, Investment Management and Financial Innovations, 9(4), 49-59.
  • Sloan, R.G. (1996), “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?”The Accounting Review71, 289-315.
  • Slotte, P. (2011), Asset Growth Anomaly in the UK Stock Market, Yayınlanmamış Yüksek Lisans Tezi, The Aalto University School of Economics.
  • Stattman, D., (1980), “Book Values and Stock Returns”, The Chicago MBA: A Journal Of Selected Papers, 4, 25-45.

ANOMALIES in STOCK MARKETS: EVIDENCE from BORSA İSTANBUL

Year 2015, Volume: 1 Issue: 1, 17 - 36, 01.06.2015

Abstract

In recent years, one of the main issues discussed in financial literature is stock return anomalies that emerged as contrary to the Efficient Market Hypothesis and Capital Asset Pricing Model. Stock return anomalies being mostly remarkable as providing abnormal returns to the investors, has been the subject of many studies in different stock markets by being take n into account of different variables. But searching stock return anomalies have became a current issue in emerging markets like Borsa İstanbul because prior studies have generally related to developed markets and obtained results have showed a great variety. This paper investigates the presence of six well-documented anomalies in global equity markets for the Borsa İstanbul, covering the period from July 2001 to June 2012. Anomalies used in this study are firm size, book-to-market ratio, momentum, accruals, asset growth and profitability and sorts approach was used as a method. The results of sorts show that the highest significant anomaly is momentum and firm size and book-to-market ratio are also significant anomalies for the Borsa İstanbul. But accruals, asset growth and profitability anomalies are found insignifiant. After partitioning stocks into three size categories micro, small and big , we find that momentum and book to market ratio anomalies are effective in all size categories, firm size and profitability anomaly is effective in micro and small size categories

References

  • Ansari, V.A. & Khan, S. (2012), “Momentum Anomaly: Evidence From India”, Managerial Finance, 38(2), 206-223.
  • Banz, R.W.,(1981), “The Relationship Between Return and Market Value of Common Stocks”, Journal of Financial Economics 9, 3-18.
  • Barberis, N., Shleifer, A. & Vishny, R. (1998), “A Model of Investor Sentiment”, The Journal of Financial Economics, 49, 307- 343.
  • Bildik, R. (2000), Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerinde Ampirik Bir Çalışma, İstanbul: İMKB Yayınları.
  • Cohen, R.B., Gompers, P.A. & Vuolteenaho, T. (2002), “Who Underreacts to Cash Flow News? Evidence from Trading between Individuals and Institutions”, Journal of Financial Economics 66, 409-462.
  • Cooper, M.J., Gulen H. & Schill M.J. (2008), “Asset Growth and the Cross-section of StockReturns”, Journal of Finance, 63, 1609- 1651.
  • Fairfield, P.M., Whisenant S. & Yohn, T.L. (2003), “Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing”, The Accounting Review 78, 353-371.
  • Fama, E.F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25(2), 383-417.
  • Fama, E.F. & French, K.R. (1996), “Multifactor Explanations of Asset Pricing Anomalies”, TheJournal of Finance, 51 (1), 55-84.
  • Fama, E.F. & French, K.R. (2006), “Profitability, Investment and Average Returns”, Journal of Financial Economics, 82, 491-518.
  • Fama, E.F. & French, K.R.(2008), “Dissecting Anomalies”, Journal of Finance, 63, 1653-1678.
  • Gray, P. & Johnson, J. (2011), “The Relationship Between Asset Growth and the Cross-Section of StockReturns”, Journal of Banking & Finance, 35, 670-680.
  • Haugen, R.A. & Baker, N.L. (1996), “Commonality in the Determinants of Expected Stock Returns”, Journal of Financial Economics, 41, 401-439.
  • Hirshleifer, D., Hou K. & Teoh S. H. (2012), “The Accrual Anomaly: Risk or Mispricing?”, Management Science, 58(2), 320- 335.
  • Hoffman, Aj (2012), “Stock Return Anomalies: Evidence From The Johannesburg Stock Exchange”, Investment Analysts Journal, 75, 21-41.
  • Jegadeesh, N. & Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance 48, 65-91.
  • Lakonishok, J., Shleifer A. & Vishny R. W. (1994), “Contrarian Investment, Extrapolation, and Risk”, Journal of Finance, 49, 1541-1578.
  • Lam, F.Y. Eric & Wei, K.C. John, (2011), “Limits-to- Arbitrage, Investment Frictions, and the Asset Growth Anomaly”, Journal of Financial Economics, 102, 127-149.
  • Roll, Richard (1981), “A Possible Explanation of the Small Firm Effect”, The Journal of Finance, 36(4), 879-888.
  • Rosenberg, B., Reid K. & Lanstein R., (1985), “Persuasive Evidence of Market Inefficiency”, Journal of Portfolio Management 11, 9-17.
  • Sehgal, S., Subramaniam S. & Deisting F, (2012), “Accruals and Cash Flows Anomalies: Evidence From the Indian Stock Market”, Investment Management and Financial Innovations, 9(4), 49-59.
  • Sloan, R.G. (1996), “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?”The Accounting Review71, 289-315.
  • Slotte, P. (2011), Asset Growth Anomaly in the UK Stock Market, Yayınlanmamış Yüksek Lisans Tezi, The Aalto University School of Economics.
  • Stattman, D., (1980), “Book Values and Stock Returns”, The Chicago MBA: A Journal Of Selected Papers, 4, 25-45.
There are 24 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Hüseyin Dağlı

Duygu Arslantürk Çöllü This is me

Publication Date June 1, 2015
Published in Issue Year 2015 Volume: 1 Issue: 1

Cite

APA Dağlı, H., & Çöllü, D. A. (2015). HİSSE SENEDİ PİYASALARINDA GÖRÜLEN ANOMALİLER: BORSA İSTANBUL ÖRNEĞİ. Giresun Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 1(1), 17-36.
  • Journal of Economics & Administrative Sciences