PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND  MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK   EXCHANGE

Ramazan AKTAŞ; Mehmet Baha KARAN

Makale detayları

PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE

Yazarlar:

Ramazan AKTAŞ | Mehmet Baha KARAN

Yayıncı:

Hacettepe University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Hacettepe University Journal of Economics and Administrative Sciences 2000 Vol.18 Issue 2, pp.433-450

Belge Tipi:

Makale

Yayın Tarihi:

12/2000

Belge Dili:

Türkçe

Document ID (Org No.):

2000456347

Sıklık:

Üç Aylık

eISSN:

1309-6338

pISSN:

1301-8752

Özet:

 


This
paper performs a financial analysis that combines a set of fundamental
information into a summarv measure which predicts the return of
stocks bv usin2 logit analysis, The findings suggest that the predictive
power of financial ratios is verv high and more important than the fundamental
information. but the variables (ratios) of logit models are not stable
from one period to another. Also it is found that there is a statistically significant correlation benveen the observed and predicted
ranking. We conclude that developing a more general model for prediction might
solve the problem about unstable variables, but the general
model has verv limited ability of ranking the stocks according to their
perfonnance.

.

Makale detayları

PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE

Yazarlar: Ramazan AKTAŞ | Mehmet Baha KARAN

Yayıncı: Hacettepe University

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Hacettepe University Journal of Economics and Administrative Sciences 2000 Vol.18 Issue 2, pp.433-450

Belge Tipi: Makale

Yayın Tarihi: 12/2000

Belge Dili: Türkçe

Document ID (Org No.): 2000456347

Sıklık: Üç Aylık

eISSN: 1309-6338

pISSN: 1301-8752

Sayı

Yazarlar:

Ramazan AKTAŞ | Mehmet Baha KARAN

Yayıncı:

Hacettepe University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Hacettepe University Journal of Economics and Administrative Sciences 2000 Vol.18 Issue 2, pp.433-450

Belge Tipi:

Makale

Yayın Tarihi:

12/2000

Belge Dili:

Türkçe

Document ID (Org No.):

2000456347

Sıklık:

Üç Aylık

eISSN:

1309-6338

pISSN:

1301-8752