BORSA İSTANBUL’DA ALT KISMİ MOMENT VE HİSSE SENEDİ GETİRİLERİ

Bu makale, Borsa İstanbul’da işlem gören pay senetleri getirileri ile alt k ısmi moment arasındaki ilişkiyi incelemektedir. Hem eşit a ğırlıklı hem de piyasa değerine göre ağırlıklandırılmış tek de ğişkenli portföy analizi, alt k ısmi moment ile kesitsel pay senedi getirileri aras ında negatif ve anlamlı bir ilişki olduğunu göstermiştir. Bulunan sonuçlar, hisse senetlerine ait diğer de ğişkenlere göre kontrol edilerek desteklenmiştir. Portföy analizi, düşük alt kısmi moment portföyündeki hisse senetlerinin, yüksek alt kısmi moment portföyündekilere oranla yıllık %13.8 daha fazla kazanç getirdiğini göstermektedir

LOWER PARTIAL MOMENT AND EQUITY RETURNS IN BORSA ISTANBUL

This paper investigates the relation between lower partial moment and future equity returns in Borsa Istanbul. Univariate analysis based on equal- a nd value-weighted portfolio returns reveal a significantly negative relation between lower partial moment and the cross-section of equity returns. Findings of the paper are robust after controlling for well-known firm-specific attributes. The portfolio analysis reveals that stocks that are in the lowest lower partial moment decile earn 13.8% higher annual future returns than those in the highest lower partial moment decile.

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