A note on the cross-section of stock returns on the Istanbul Stock Exchange

Volkan Kayaçetin N., Güner Z. N.

BOGAZICI JOURNAL: REVIEW OF SOCIAL, ECONOMIC AND ADMINISTRATIVE STUDIES, vol.21, no.1-2, pp.93-105, 2007 (Scopus) identifier


This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-to-equity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables ( except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher explanatory powers on the cross-sectional variability of returns on the ISE than firm size and book-to-market ratio, firm-specific variables that are documented to have the greatest explanatory power on the cross-section of U.S. stock returns (Fama and French, 1992).