The neglected stock effect in Borsa Istanbul

dc.contributor	Graduate Program in Management.
dc.contributor.advisor	Yılmaz, Neslihan.
dc.contributor.author	Cevheroğlu, Merve Gizem.
dc.date.accessioned	2023-03-16T12:13:21Z
dc.date.available	2023-03-16T12:13:21Z
dc.date.issued	2016.
dc.identifier.other	AD 2016 C38
dc.identifier.uri	http://digitalarchive.boun.edu.tr/handle/123456789/16696
dc.description.abstract	In this study, we tested the presence of the neglected stock effect in Borsa Istanbul from July 2005 through June 2013. While other studies on Borsa Istanbul use trade volume as the neglect measure, we employed analyst coverage as proxy. Controlling for firm size, we investigated the presence of the neglected stock effect in two steps. First, we used a t-test to see whether the means of neglected and popular stocks’ returns were significantly different from each other. Next, we used the capital asset pricing model, Fama-French three factor, and Fama-French-Carhart four factor models to explain portfolio returns. Then we added a fifth factor for the neglected stock effect premium. The results show that neglected stock premium exists in Borsa Istanbul independent of size effect.
dc.format.extent	30 cm.
dc.publisher	Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2016.
dc.subject.lcsh	Stock exchanges -- Turkey.
dc.title	The neglected stock effect in Borsa Istanbul
dc.format.pages	xi, 139 leaves ;