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http://ssrn.com/abstract=250919
 
 

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The Size and Book-To-Market Effects and Their Role as Risk
Proxies in the Istanbul Stock Exchange


Mine H. Aksu


Sabanci University

Turkan Onder


Marmara University - Faculty of Economics and Administrative Sciences

January 2003

EFMA 2000 Athens; Koc University, Graduate School of Business, Working Paper No. 2000-04

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.

Note: Previously titled: The Role of Size and Book-to-Market Ratio as Proxies for Fundamentals and as Determinants of Returns in the Istanbul Stock Exchange

Number of Pages in PDF File: 42

Keywords: beta, size, book-to-market ratio, emerging markets, asset-pricing, Istanbul Stock Exchange

JEL Classification: G12, G14, G15

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Date posted: December 16, 2000  

Suggested Citation

Aksu, Mine H. and Onder, Turkan, The Size and Book-To-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange (January 2003). EFMA 2000 Athens; Koc University, Graduate School of Business, Working Paper No. 2000-04. Available at SSRN: http://ssrn.com/abstract=250919 or http://dx.doi.org/10.2139/ssrn.250919

Contact Information

Mine H. Aksu (Contact Author)
Sabanci University ( email )
School of Management
Istanbul, Orhanli, Tuzla 34956
Turkey
+90 216 483 9678 (Phone)
+90 216 483 9699 (Fax)
HOME PAGE: http://people.sabanciuniv.edu/~maksu
Turkan Onder
Marmara University - Faculty of Economics and Administrative Sciences ( email )
Goztepe Campus
Istanbul
Turkey
+90 (216)332-2291 (Phone)
Feedback to SSRN


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