SavedAdd your journal

Journals / Kahramanmaraş Sütçü İmam Üniversitesi Sosyal Bilimler Dergisi / 2016 / Cilt: 13 - Sayı: 1

The Existence of Value Premium in The Borsa Istanbul

Borsa İstanbul'da Değer Priminin Varlığı

Metin BORAK
Hatice DOĞUKANLI
Pages
305–320
Publication Date
2022-10-18
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Results show that there is no value premium in the ISE.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates if value premium which is defined by the difference in returns of value and growth stocks, exists in the Istanbul Stock Exchange (ISE) for the period July 2006-June 2015.
📊
Key Findings & Data:To determine value and growth stocks in the market, book to market, earnings to price, cash flow to price and dividend yields are used as proxy measures.
💡
Conclusion & Impact:Results show that there is no value premium in the ISE.
🔬Design:Research Article
📍Scope:2006 Verileri
⚙️Variables:Domain Parameters

Abstract

This study investigates if value premium which is defined by the difference in returns of value and growth stocks, exists in the Istanbul Stock Exchange (ISE) for the period July 2006-June 2015. To determine value and growth stocks in the market, book to market, earnings to price, cash flow to price and dividend yields are used as proxy measures. Results show that there is no value premium in the ISE.

Özet

Bu çalışmada değer ve büyüme hisse senetlerinin getirileri arasındaki pozitif farkı ifade eden değer priminin, Borsa İstanbul (BİST)'da Temmuz 2006 - Haziran 2015 döneminde varlığı incelenmiştir. Değer ve büyüme hisse senetlerini belirlemek amacıyla Defter Değeri/Piyasa Değeri, Kazanç/Fiyat, Nakit Akımı/Fiyat ve Temettü Verimi oranları ölçüt olarak kullanılmıştır. Analizler sonucunda, ölçüt olarak alınan dört orana göre değer priminin Borsa İstanbul'da süreklilik arz etmediği tespit edilmiştir.

🔖

Cite This Article

BORAK, M., DOĞUKANLI, H. (2022). The Existence of Value Premium in The Borsa Istanbul. Kahramanmaraş Sütçü İmam Üniversitesi Sosyal Bilimler Dergisi, Cilt: 13 - Sayı: 1, 305–320. https://ajindex.com/articles/570154

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (14)

  1. Arshanapalli, B., Coggin, T. D. ve Doukas, J. (1998), "Multifactor Asset Pricing Analysis of International Value Investment Strategies", The Journal of Management, Vol. 24, No: 4, ss.10-23.
  2. Bajwa, R. ve Dalal, R. C. (2012), "Performans Analysis of Value Stocks & Evidence of Value Premium: A Study on Indian Equity Market", International Journal of Research in Computer Application & Management, Vol. 2, No. 6, ss. 113-118.
  3. Barber, Brad M. ve Lyon, John D. (1997),
  4. Firm Size, Book-to-Market, and Security Returns: A Holdout Sample of Financial Firms", The Journal of Finance, Vol. 52, No: 2, June, ss. 875-883.
  5. Basu, S. (1977), "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis", The Journal of Finance, Vol. 32, No: 3, June, ss. 663-682.
  6. Bauman, W. S. ve Miller, R. S. (1997), Investor Expectations and the Performance of Value Stocks Versus Growth Stocks", The Journal of Portfolio Management, Vol. 23, No: 3, Spring, ss. 57-68.
  7. Bauman, W. S., Conover, C. M. ve Miller, R. E. (1998), "Growth Versus Value and Large Cap Versus Small-Cap Stocks in International Markets", Financial Analysts Journal, Vol. 54, No: 2, March/April, ss. 75-89.
  8. Blume, M. E. (1980). "Stock Returns and Dividend Yields: Some More Evidence", The Review of Economics and Statistics, Vol. 62, No: 4, November, ss. 567-577.
  9. Chen, N., Zhang, F. (1998), "Risk And Return of Value Stocks", The Journal of Businnes, Vol. 71, No: 4, October, ss. 501- 535. Cook, Thomas J. Ve Rozeff Michael S. (1984), "Size and Earnings/Price Ratio Anomalies: One Effect or Two?", Journal of Financial Qantitative Analysis, Vol. 19, No: 4, December, ss. 449-466.
  10. Ding, David K., Chua J. L. ve Fetherston, T.A. (2005), "The Performance Of Value And Growth Portfolios İn East Asia Before the Asian Financial Crisis", Pacific-Basin Finance Journal, Vol. 13, ss. 185-199.
  11. Drew, Michael E. ve Veeraraghavan, M. (2002), "A Closer Look at the Size and Value Premium in Emerging Markets: Evidence From the Kuala Lumpur Stock Exchange", Asian Economic Journal, Vol. 16, No: 4, ss. 337-351.
  12. Fama, E. F. ve French, K. R. (1998), "Value Versus Growth: The İnternational Evidence", The Journal of Finance, Vol. 53, No: 6, December, ss. 1975-1999.
  13. Fama, E. F. ve French, K. R. (1992), "The Cross-Section of Expected Stock Returns", The Journal of Finance, Vol. 47, No: 2, June, ss. 427-465.
  14. Fama, E. F. ve French, K. R. (1995), "Size And Book-to-Market in Earnings and Returns", The Jou