Özet:

The future period of stock returns fall after stock exports in the asset pricing literature is called "net stock export effect" in this study, the existence of net stock export effect between July 2012 and June 2018 periods in the stock exchange in Istanbul has been investigated. For the purpose of determining the net profitability of future returns on the part of stock exports, portfolios and regression analysis methods have been used. In portfolio analysis, the average monthly revenue for the market in general varied from 1.66% to 0.84% .Valuable portfoliosThough negative hedge revenue was obtained, it was not statistically meaningful. There are no statistically meaningful values for hedge returns obtained from equal portfolios. In addition, returns for large, small and micro groups have shown similar characteristics. Due to the explanation of the Fama-French three-factor model on incomprehensible returns by CAPM, the average returns related to net stock exports have been tried to be explained by factor models. For this purpose, the alpha ratings obtained from time series regressions have been assessed. The alpha ratio and t-statistics have not shown consistency between the portfolios within the groups. The alpha ratio derived from the CAPM and Fama-French three factor models has not been statistically meaningful. All of these findings showed that there was no meaningful relationship between the net stock exports in the stock exchange in Istanbul and the coming period’s stock returns in the six-year analysis period.