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SIZE AND MOMENTUM EFFECTS IN TURKISH EQUITY MARKET
(SIZE AND MOMENTUM EFFECTS IN TURKISH EQUITY MARKET )

Yazar : Isıl CANDEMIR    
Türü :
Baskı Yılı : 2020
Sayı : 21
Sayfa : 582-586
38    35


Özet

Türk hisse senetleri, Aralık 2004 ve Aralık 2015 tarihleri arasında büyüklük ve momentum etkileri yönünden analiz edilmiştir. Küçük hisse senetleri, en yüksek ortalama getiri ve standart sapmaya sahipken, orta büyüklükteki hisse senetlerinin en düşük ortalama getiri ve standart sapmaya sahip olduğu gözlemlenmiştir. Hisse senetleri, büyüklük yönünden 5'e bölünmüş olup her büyüklük için alfanın önemsiz olduğu görülmüştür. İlaveten, onbir sene süresince Türk hisse senetlerinde momentum tersi hareket gözlemlenmiştir.



Anahtar Kelimeler
Büyüklük, momentum, varlık fiyatlama modelleri.

Abstract

We analyze Turkish equity market data released between December 2004 and December 2015 for size and momentum effects. We observe that small stocks have the highest average return and standard deviation, while middle-sized stocks have the lowest average return and standard deviation. After dividing stocks into quintiles based on size, we find that alphas are insignificant in each quintile, except the biggest companies of which alpha is negligible. Additionally, we observe a contrarian effect on Turkish stocks over the eleven years.



Keywords
Size, momentum, asset pricing models

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