Return predictability of Turkish stocks : An empirical investigation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

1 Scopus Citations
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Author(s)

  • Nusret Cakici
  • Kudret Topyan

Detail(s)

Original languageEnglish
Pages (from-to)99-119
Journal / PublicationEmerging Markets Finance and Trade
Volume49
Issue number5
Publication statusPublished - 1 Sep 2013
Externally publishedYes

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.

Research Area(s)

  • Book-to-market ratio, Istanbul Stock Exchange, Momentum, Stock cheapness, Stock return predictors

Citation Format(s)

Return predictability of Turkish stocks : An empirical investigation. / Cakici, Nusret; Topyan, Kudret.

In: Emerging Markets Finance and Trade, Vol. 49, No. 5, 01.09.2013, p. 99-119.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review