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The Size and book-to-market effects and their role as risk proxies in the Istanbul Stock Exchange

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Aksu, Mine Hatice and Önder, Türkan (2003) The Size and book-to-market effects and their role as risk proxies in the Istanbul Stock Exchange. In: European Financial Mangement 2000 annual meeting,

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Official URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=250919

Abstract

In this paper, we explore the relationship of firm-size and book-to-market equity with stok returns and with firm-specific and macro-economic fundamentals in the Istanbul Stock Exchange (ISE). We apply two different popular asset pricing models, the one factor CAPM and the three-factor Fama and French (1993) model, to individual stock returns and to size/book-to-market sorted portfolios. We find both size and book-to-market effects to be significant, but the size effect has a higher explanatory power. We also evaluate additional firm-specific risk characteristics of our extreme portfolios and their returns in different states of the Turkish economy and relate the size and book-to-market related Fama and French factors to macro-economic indicators. Our results reveal some new empirical regularities in the ISE and support the Fama and French findings to justify models for additional risk factors in returns.

Item Type:Papers in Conference Proceedings
Uncontrolled Keywords:Beta; size; book-to-market ratio; emerging markets; asset-pricing; Istanbul Stock Exchange
Subjects:H Social Sciences > HG Finance
ID Code:1118
Deposited By:Mine Hatice Aksu
Deposited On:21 Feb 2007 02:00
Last Modified:08 Dec 2012 23:36

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