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Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi

Author

Listed:
  • Murat UÐURLU
  • Yusuf DEMÝR

    (Süleyman Demirel Üniversitesi, ÝÝBF Ýþletme Bölümü, Isparta.)

Abstract

Bu çalýþmanýn amacý firma büyüklüðü anomalisinin BÝST’te var olup olmadýðýnýn araþtýrýlmasýdýr. Çalýþmanýn örneklemi Temmuz 1993 ve Haziran 2013 yýllarýnda BÝST Ulusal Pazarda iþlem gören hisse senetlerini kapsamaktadýr. Çalýþmada 20 yýllýk, 10 yýllýk ve 5 yýllýk dönemlerde firma büyüklüðü anomalisinin varlýðý araþtýrýlmýþtýr. Firma büyüklüðü anomalisinin varlýðýný tespit etmek için t testi ve Jensen (Alfa) Yöntemi uygulanmýþtýr. Çalýþmada uygulanan t testi ve Jensen (Alfa) yöntemi sonuçlarý, 20 yýllýk test döneminde, Temmuz 1993-Haziran 2003 yýllarýný kapsayan 10 yýllýk test döneminde ve Temmuz 1993-Haziran 1998 yýllarýný kapsayan birinci 5 yýllýk test döneminde firma büyüklüðüne göre oluþturulan portföylerin ortalama aylýk getirileri arasýnda anlamlý farklar olduðunu ortaya koymaktadýr. Ayrýca Mart ayýnda büyüklük primi diðer aylarýn ortalamalarýna göre anlamlý biçimde fazladýr

Suggested Citation

  • Murat UÐURLU & Yusuf DEMÝR, 2016. "Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 4(3), pages 106-116.
    • Handle: RePEc:eco:journ4:2016-03-4
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    More about this item

    Keywords

    Firma büyüklüðü anomalisi; Jensen (Alfa) Yöntemi; Etkin Piyasalar Hipotezi.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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