Studies executed at many developed capital markets has represented considerable evidence concerning the existence of firm size anomaly at stock exchanges However the evidence regarding Istanbul Stock Exchange were conflicting This might partly be attributed to the differences in the periods examined and the methods applied in the previous studies This study by applying different methods examined whether firm size captures the variation in average common stock returns And also it is examined whether abnormal returns can be gained by using the relationship between firm size and common stock returns at ISE over July 1993 to June 2004 period Along the firm size; the explanatory power of beta book to market value ratio of equity and price of the common stock over common stock returns has been investigated Key Words: Firm Size Anomaly Capital Assets Pricing Model Price Anomaly Beta Book to Market Value Ratio of Equity Anomaly
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