Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from Istanbul Stock Exchange

23 Pages Posted: 12 May 2001

See all articles by Mehmet Baha Karan

Mehmet Baha Karan

Hacettepe University - Department of Business Administration

Halit Gonenc

University of Groningen - Faculty of Economics and Business

Date Written: undated

Abstract

We have studied the comparison of returns between value and growth, and between small and big portfolios for an emerging market, Istanbul Stock Exchange (ISE). We show that growth portfolios have superior performance over value portfolios. Thus, our results do not confirm the evidence from most developed and emerging markets. Moreover, inconsistent with the evidence from the developed market, monthly and annually small-big portfolio spreads are in favour of big stocks. These results reflect that the structure of the market and the fundamental of stocks traded in the ISE differ from markets around the world. Time series regression results show that the average returns on value and growth portfolios are not sensitive to market movements. Size and B/M risk factors along with market risk premium produce better descriptions of the returns on value and growth portfolios.

Keywords: Emerging markets, value and growth stocks, value premium, small and big stocks

JEL Classification: G12

Suggested Citation

Karan, Mehmet Baha and Gonenc, Halit, Do Value Stocks Earn Higher Returns than Growth Stocks in an Emerging Market? Evidence from Istanbul Stock Exchange (undated). Available at SSRN: https://ssrn.com/abstract=266048 or http://dx.doi.org/10.2139/ssrn.266048

Mehmet Baha Karan

Hacettepe University - Department of Business Administration ( email )

Beytepe Campus
Ankara, 16800
Turkey
+903122978700 (Phone)

Halit Gonenc (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

P.O. Box 100
Groningen, 9700 AV
Netherlands
+31 0 50 363 4237 (Phone)
+31 0 50 363 3850 (Fax)

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