Citation Number
4
Views
171
Downloands
36
Audio Listening
1
Bu çalışmanın amacı BİST100 endeksinde Firma Büyüklüğü (FB) Fiyat/Kazanç (F/K) ve Piyasa Değeri/Defter Değeri (PD/DD) anomalisinin varlığını incelemek ve en iyi yatırım performansını sağlayan anomaliyi ortaya koymaktır. Bu amaçla BİST100 endeksinde işlem gören firmaların pay senetlerine ait Temmuz 2013-Haziran 2018 dönemini kapsayan aylık veriler kullanılarak Piyasa Değeri, Fiyat/Kazanç ve Piyasa Değeri/Defter Değeri oranlarına göre portföyler oluşturulmuş, zaman serisi ve portföy performansı analizi uygulanmıştır. Zaman serisi analizinde Jansen (Alfa) yöntemine göre regresyon modeli, portföy performansı analizinde ise Sharpe, Treynor ve Jansen ölçütleri kullanılmıştır. Çalışma sonucunda BİST100’de FB anomalisi tespit edilmiş, F/K ve PD/DD anomalisi ise tespit edilememiştir. En iyi performans sağlayan portföyün ise PD/DD anomalisi kapsamında oluşturulan yüksek PD/DD oranlarına sahip portföy olduğu sonucuna ulaşılmıştır. Bu çalışma literatürü destekleyen sonuçlar ortaya çıkararak güncel verilerle literatüre katkı sağlamıştır.
The aim of this study is to examine the existence of the anomaly of the Company Size (FB) Price/Winning (F/K) and Market Value/Defter Value (PD/DD) in the BIST100 Index and to reveal the anomaly that provides the best investment performance. For this purpose, using monthly data covering the period of July 2013-June 2018 of the shares of companies traded in the BIST100 index, portfolios have been created according to market value, price/winning and market value/deference value rates, time series and portfolios performance analysis have been implemented. In time series analysis, the regression model according to the Jansen (Alfa) method was used, while in portfolio performance analysis, the Sharpe, Treynor and Jansen standards were used. The result of the study was that the FB anomaly was detected in BIST100 and the F/K and PD/DD anomaly was not detected. The best-performance portfolio is a portfolio with high PD/DD rates created under PD/DD anomaly. This study has contributed to literature with current data by revealing results that support literature.
The purpose of this study is to determine the existence of Firm Size (FS), Price/Earning (P/E) and Market Value/Book Value (MV/BV) anomaly in Istanbul Stock Exchange 100 (XU100) index and to reveal the anomaly providing the best investment performance. For this purpose, portfolios were created according to market value, price/earning and market value/book value ratios using monthly returns in July 2013-June 2018 of the companies traded in the XU100 index. The time series analysis using regression model based on Jansen (Alpha) method and portfolio performance analysis using Sharpe, Treynor and Jansen criteria were applied. As a result of the study, FS anomaly was detected in XU100 index, P/E and MV/BV anomalies were not detected. In addition, it is concluded that the best performing portfolio is the high-rated MV/BV portfolio. This study contributed to the literature with current data by revealing the results supporting the literature.
Field : Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri
Journal Type : Uluslararası
Article Detail 
Citation Owners
Similar Articles
Download PDF
Journal Information
Listen Paper
Print This Page
Share
Mendeley
