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Size and Book-to-Market Effects: Evidence from the Istanbul Stock Exchange (ISE)

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  • Nuri Yildirim

Abstract

In this paper, the existence of size and book-to-market effects in the Istanbul Stock Exchange (ISE) is investigated for the period between 1990-2002. In order to isolate the size and book-to-market effects from each other, similar to the method used by Fama-French (1993), specific portfolios are established on stocks sorted by both median size (market capitalization) and median book-toequity values. It is concluded that if we hold annually re-established sorted portfolios during the whole 12-year period, there exist a small-size and bookto- market effect in the ISE. But if we examine good and bad years of the ISE separately, we see that the size and book-to-market effects are valid mostly in the good times. There is a great asymmetry between up and down market conditions concerning size and book-to-market effects in the ISE. It seems that all sorted portfolios are alike when the market goes down, whereas they behave very differently when the market goes up.

Suggested Citation

  • Nuri Yildirim, 2006. "Size and Book-to-Market Effects: Evidence from the Istanbul Stock Exchange (ISE)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(31), pages 1-18.
    • Handle: RePEc:bor:iserev:v:8:y:2006:i:31:p:1-18
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_31.pdf
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