PREDICTING STOCK RETURNS WITH FINANCIAL RATIOS: A DISCRIMINANT ANALYSIS APPLICATION ON THE ISE 30 INDEX STOCKS

Bulent Oz, Yucel Ayricay and Gokturk Kalkan ()
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Gokturk Kalkan: Osmaniye Korkut Ata University

Anadolu University Journal of Social Sciences, 2011, vol. 11, issue 3, 51-64

Abstract: This study aims to identify the factors that help the prediction of the stock returns for ISE 30 listed companies and also help to decide on which stock would be more suitable by using the most suitable model. With this aim, the stock returns are estimated 1 and 2 years earlier by using the financial ratios of years 2006 and 2005. According to the results obtained from a discriminant analysis, which is a multi-variate statistical analysis, i) the operating turnover and leverage variables of the 1 year model, ii) operations turnover, leverage and liquidity variables of the 2 year model are found to be statistically significant. When the percentages of correct classification are compared 2 year model(% 91.7) turns out to be superior to the 1 year model (%75).

Keywords: Financial Ratios; Stock Return Prediction; Discriminant Analysis; ISE (search for similar items in EconPapers)
JEL-codes: C13 G12 G30 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:and:journl:v:11:y:2011:i:3:p:51-64

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