The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies

Serpil Canbas, Serkan Yilmaz Kandir and Ahmet Erismis

Istanbul Stock Exchange Review, 2008, vol. 10, issue 39, 1-16

Abstract: In this study, the impact of firm size and book-to-market ratio on the stock returns of the ISE companies is investigated. Four different models are employed to explain stock returns. These models are, capital asset pricing model, two-factor model including market factor and firm size, two-factor model including book-tomarket ratio besides market factor and Fama-French three-factor model which includes all three-factors. Findings show that all of the factors affect stock returns. Moreover, small firms seem to achieve higher returns than big firms. Similarly, high book-to-market firms appear to best explanatory power among the four models examined. achieve higher returns than low book-tomarket firms. Finally, Fama-French three-factor model

Keywords: Stock return; Firm size; Book-to-market ratio; Fama-French three-factor model; ISE. (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2008
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