BORSA İSTANBUL’DA CİRO SÜRPRİZİ VE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİ

Bu çalışma, Borsa İstanbul’da işlem gören pay senetleri getirileri ile ciro sürprizleri arasındaki ilişkiyi incelemektedir. Portföy düzeyindeki analizler ve çok değişkenli kesitsel regresyon analizi, ciro sürprizi ile pay senedi getirileri arasında pozitif ve anlamlı bir ilişki olduğunu belgelemektedir. Portföy analizi, yüksek ciro sürprizi portföyündeki pay senetlerinin, düşük ciro sürprizi portföyündeki pay senetlerine oranla aylık %1’den daha fazla getiri sağladığını göstermektedir. Sonuçlar; kar sürprizi dahil hisse senetlerine ait diğer değişkenlere göre kontrol edildiğinde de güçlü kalmaktadır

Anahtar Kelimeler:

Ciro Sürprizi, Pay Senedi Getirileri, Gelişen Piyasalar, Borsa İstanbul

REVENUE SURPRISE AND EQUITY RETURNS IN BORSA ISTANBUL

This paper examines the importance of revenue surprise in the cross-section of stock returns in Borsa Istanbul. Portfolio-level analyses and multivariate cross-sectional regressions document a statistically and economically significant positive relation between revenue surprise and expected returns. Average excess and abnormal return spreads between equities in the highest and lowest revenue surprise deciles are more than 1% per month. The findings of the paper are robust when well-known firm-specific attributes including earnings surprise are controlled for.

Keywords:

Revenue Surprise, Equity Returns, Emerging Markets, Borsa Istanbul,

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