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The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies

Author

Listed:
  • Serpil Canbas
  • Serkan Yilmaz Kandir
  • Ahmet Erismis

Abstract

In this study, the impact of firm size and book-to-market ratio on the stock returns of the ISE companies is investigated. Four different models are employed to explain stock returns. These models are, capital asset pricing model, two-factor model including market factor and firm size, two-factor model including book-tomarket ratio besides market factor and Fama-French three-factor model which includes all three-factors. Findings show that all of the factors affect stock returns. Moreover, small firms seem to achieve higher returns than big firms. Similarly, high book-to-market firms appear to best explanatory power among the four models examined. achieve higher returns than low book-tomarket firms. Finally, Fama-French three-factor model

Suggested Citation

  • Serpil Canbas & Serkan Yilmaz Kandir & Ahmet Erismis, 2008. "The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(39), pages 1-16.
    • Handle: RePEc:bor:iserev:v:10:y:2008:i:39:p:1-16
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_39.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stock return; Firm size; Book-to-market ratio; Fama-French three-factor model; ISE.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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