Özet:

This study examines short- and long-term performance of stocks with low, medium and high levels of beta coefficients. The present study includes 123 firms operating in Istanbul Industrial Index, while, stock, BIST 100 and BIST INDUSTRIAL index values between 2010 and 2017 are used to calculate Beta coefficients and periodical returns. The data of the work is obtained from the FINNET database and the R program is used in the analysis of the data. The beta coefficients are calculated regarding monthly returns in five different periods and equally-weighted portfolios are obtained from stocks with low, medium and high beta coefficients for each period. A clustering analysis is performed to determine the corresponding portfolios. Results of this study reveal that the long-term returns are observed as higher than the market returns (BIST 100 and BIST INDUSTRIAL) numerically, whheras, this strategy is determined as unsuccessful in the short-term (one year).

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