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Borsa İstanbul’da faktörlerin momentumu
2022
Journal:  
Gazi İktisat ve İşletme Dergisi
Author :  
DOI:  
10.30855/gjeb.2022.8.3.004
Abstract :

Bu çalışmada Borsa İstanbul’da faktörlerin momentumunun geçerliliği araştırılmıştır. Araştırma 2008 ve 2020 yılları arasında Borsa İstanbul’da işlem gören bütün şirketleri kapsamaktadır. Çalışma kapsamında Piyasa Değeri, Piyasa Değeri / Defter Değeri, Fiyat / Kazanç Oranı ve Aktif Karlılık faktörleri kullanılmıştır. Çalışmanın ilk aşamasında her bir faktörün kendi içinde momentuma sahip olup olmadığı regresyon analizi ile test edilmiştir. İkinci aşamada aylık frekansta en yüksek getiriye sahip olmuş olan faktörün dahil edildiği bir momentum portföyü oluşturulmuş ve bu portföyün faktörlere kıyasla ilave getiri sağlayıp sağlamadığı analiz edilmiştir. Araştırma sonuçlarına göre sadece Piyasa Değeri faktörü kendi içinde momentuma sahiptir. Faktörlerin momentumu stratejisi ile geliştirilen portföyün tekil faktörlere kıyasla ilave getiri elde edemediği görülmüştür.

Keywords :

The momentum of factors in Borsa İstanbul
2022
Journal :  
Gazi İktisat ve İşletme Dergisi
Author :  
DOI:  
10.30855/gjeb.2022.8.3.004
Abstract :

In this study, the validity of the momentum of the factors in Borsa Istanbul was investigated. The research covers all companies enlisted in Borsa Istanbul between the years 2008 and 2020. Within the scope of the study, Market Value, Market Value/Book Value, Price/Earnings Ratio, and Return on Assets factors were used. In the first stage of the study, whether each factor has momentum in itself was tested by regression analysis. In the second stage, a momentum portfolio was created in which the factor that had the highest return at monthly frequency was included, and it was tested whether this portfolio provided additional returns compared to the individual factors. According to the research results, only the Market Value factor has momentum. It was determined that the portfolio created with the momentum of the factors strategy could not obtain additional returns compared to the individual factors.