Return predictability of Turkish stocks: An empirical investigation

Nusret Cakici; Kudret Topyan

doi:10.2753/REE1540-496X490506

Return predictability of Turkish stocks : An empirical investigation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Overview

2 Scopus Citations

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Author(s)

Nusret Cakici
Kudret Topyan

Detail(s)

Original language	English
Pages (from-to)	99-119
Journal / Publication	Emerging Markets Finance and Trade
Volume	49
Issue number	5
Publication status	Published - 1 Sep 2013
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.2753/REE1540-496X490506 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-84892608979&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(cf9a88c9-5ad5-4793-acbb-c9bca89c080d).html

Abstract

Employing the portfolio method and cross-sectional regressions, this paper provides a comprehensive analysis of stock return predictability in Turkey from January 1997 to July 2011. In the risk-related predictors, we found predictive power for beta, total volatility, and idiosyncratic volatility. The "cheapness" variable, book-to-market ratio, is the most important return predictor for the stocks traded on the Istanbul Stock Exchange (now part of the Borsa Istanbul). Grouping the stocks as small and large according to the median value of the market capitalization of the stocks adds important insights to the analysis. Our results show the set of large stocks on the Istanbul Stock Exchange to be the least predictable set of stocks. © 2014 M.E. Sharpe, Inc. All rights reserved.