Size, Book to Market Ratio and Momentum Strategies: Evidence from Istanbul Stock Exchange
Faculty of Economics and Administrative Sciences, Department of Business Administration, Nevsehir University, Nevsehir / Turkey. E-Mail: firstname.lastname@example.org.
Department of Accounting and Finance, Nevsehir University, Nevsehir / Turkey. E-Mail: email@example.com.
This paper examines the effects of size, book-to-market in explaining momentum at the Istanbul Stock Exchange during the period 1995 to 2010. The results show that momentum strategy appears to have a high performance for six month holding periods. Moreover, the results are robust and can be explained by size and by book-to market effect. Besides, January effect is insignificant on the stock returns in the period 1995-2010. The result of this study also shows that the momentum is existing on stock returns in Istanbul Stock Exchange and the evidence suggests that the momentum strategies can be used to obtain abnormal returns by the investors in Turkey.
JEL Classification: G11; G14.
Key Words: Momentum Strategies; Behavioral Finance; Size, Book to Market Ratio.
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