Size and Book-to-Market Effects: Evidence from the Istanbul Stock Exchange (ISE)
Nuri Yildirim ()
Istanbul Stock Exchange Review, 2006, vol. 8, issue 31, 1-18
In this paper, the existence of size and book-to-market effects in the Istanbul Stock Exchange (ISE) is investigated for the period between 1990-2002. In order to isolate the size and book-to-market effects from each other, similar to the method used by Fama-French (1993), specific portfolios are established on stocks sorted by both median size (market capitalization) and median book-toequity values. It is concluded that if we hold annually re-established sorted portfolios during the whole 12-year period, there exist a small-size and bookto- market effect in the ISE. But if we examine good and bad years of the ISE separately, we see that the size and book-to-market effects are valid mostly in the good times. There is a great asymmetry between up and down market conditions concerning size and book-to-market effects in the ISE. It seems that all sorted portfolios are alike when the market goes down, whereas they behave very differently when the market goes up.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:8:y:2006:i:31:p:1-18
Access Statistics for this article
More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().