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Etkin Piyasalar Hipotezi menkul kıymet fiyatlarının rastgele bir seyir izlediğini öngörmektedir. Hipoteze göre halka açık bilgilere dayanarak gelecekteki getirileri tahmin etmek imkansız olmalıdır. Benzer şekilde, hisse senedi fiyatlarındaki değişimlerini geçmiş fiyat davranışına göre tahmin etmek de olanaksız olmalıdır. Etkin Piyasa Hipotezine göre normal üstü getiri sağlanamayacaktır. Ancak literatürde Etkin Piyasalar Hipotezi’nin bu varsayımı ile çelişen araştırma bulgularına rastlanmıştır. Hipotez ile bağdaşmayan bu bulguları açıklamak için normalden sapma anlamına gelen anomali kavramı kullanılmaktadır. Bu çalışmada da, BİST’de işlem gören hisse senetleri, piyasa anomalilerinden küçük firma etkisi ve ihmal edilmiş firma etkisi çerçevesinde incelenmiştir. Çalışma sonuçlarına göre küçük ve ihmal edilmiş hisse senetleri pozitif normal üstü getiri üretebilmektedir.
Effective Markets Hypothesis predicts that currency prices are following a random shift. According to the hypothesis, it should be impossible to predict future returns on the basis of public information. Similarly, it should be impossible to predict changes in stock prices based on past price behavior. According to the effective market hypothesis, a normal over return will not be achieved. However, research findings in literature have been found contrary to this assumption of the Active Markets Hypothesis. The concept of anomaly is used to explain these findings that are not compatible with the hypothesis, meaning deviation from normal. In this study, the shares that are traded in BIST were also studied in the framework of the small company impact from market anomalies and the neglected company impact. According to the results of the study, small and neglected shares can produce positive over-normal return.
Efficient Markets Hypothesis predicts that securities prices follow a random course. According to the hypothesis, it should be impossible to predict future returns based on public information. Similarly, it should be impossible to estimate changes in stock prices based on past price behavior. According to the Efficient Market Hypothesis, no abnormal return will be achieved. However, in the literature, research findings contradicting this assumption of the Efficient Markets Hypothesis have been found. The concept of anomaly, which means deviation from normal, is used to explain these findings that are incompatible with the hypothesis. In this study, the stocks traded in BIST were examined within the framework of small firm effect and neglected firm effect from market anomalies. According to the results of the study, small and neglected stocks can produce positive abnormal returns.
Field : Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri
Journal Type : Uluslararası
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