Artık Getirilerde Haftanın Günü Firma Büyüklüğü ve Takas Süresi Etkisi

Bu çalışma, çeşitli zaman dönemlerinde firmaların endeks getirisinden arındırılmış artık getirileri üzerinde haftanın günü, firma büyüklüğü ve takas süresindeki değişikliğin etkisini ortaya koymayı amaçlamaktadır. 1989-2001 döneminde 462.991 gözlem kullanılarak yapılan analizlerden elde edilen sonuçlar, tüm örnek üzerinden en çok ortalama artık getiri sağlayan günün Pazartesi, buna karşın en az ortalama artık getiri sağlayan günün ise Çarşamba olduğunu ortaya koymaktadır. Analizler haftanın günü etkisinin, tüm dönem takas süresi değişikliğine ve yıllar itibariyle alt portföylere ayrıldığında değiştiğini göstermektedir. Firma büyüklüğü etkisinin de hafta günü etkisinden bağımsız olarak günlük artık getirilerde negatif şekilde mevcut olduğu bulguları gözlenirken, benzer şekilde takas süresinde meydana gelen değişikliğin de artık getirileri negatif etkilediği sonucuna ulaşılmıştır.

The Effects of Firm Size, the Days of the Week, and the Changes in the Exchange Period on the Surplus Revenues

The objective of this study is to explore the effects of firm size, the days of the week, and the changes in the exchange period on the surplus revenues that are cleared out of indexed revenues. The highest average surplus return occurred in Mondays whereas the least average surplus return occurred in Wednesdays according the analysis of 462,991 observations in the period of 1989 - 2001. The analysis of observations shows that the effects of the days of week change with the changes in the overall exchange period and sub-portfolios with respect to years. It is also observed that the firm size is negatively correlated with the surplus revenue independent of the days of week. Similarly, changes in the exchange period affect negatively the surplus revenue.

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