TESTING OF THE NEGLECTED FIRM EFFECT ANOMALY IN BORSA ISTANBUL

被引：0
|
作者：
Sak, Ahmet Furkan [1 ]
Dalgar, Huseyin [1 ]
机构：
[1] Burdur Mehmet Akif Ersoy Univ, Iktisadi & Idari Bilimler Fak, Burdur, Turkey
来源：
JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY | 2020年 / 7卷
关键词：
Neglected Firm Effect Anomaly; Istanbul Stock Exchange; Panel Regression Analysis;
D O I：
10.30798/makuiibf.790105
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study aims to research the validity of neglected firm effect anomaly in BIST (Istanbul Stock Exhange) by using panel regression analysis. In this study, the quarterly data of 330 firms included in BIST between 2015 and 2019 is analysed by using panal data regression method. As a result of the analysis, statistically significant and positive effects of return on asset ratio and leverage ratio on quarterly stock returns are found. Besides, as the main reseach topic, statistically significant and positive effect of neglected firm effect on quarterly stock returns is found. In the light of this result, neglected firm effect anomaly has been found to be valid for BIST within the period and the data set given.
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页码：926 / 936
页数：11
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