Karşıtlık yatırım stratejileri ve üç faktör modeli: İstanbul Menkul Kıymetler Borsası`nda bir uygulama

Efficient Market Hypothesis (EMH) was developed on the insight thatmarkets react to new information rapidly and accurately by the actions ofrational investors. Milestones of asset pricing theories are based on EMHassumptions.On the other side, there is also considerable amount of literature againstEMH since the seventies. In order to make continuous profits over the market,researchers are looking for investment strategies which are based on theanomalies contradicting with EMH. One of them is the Contrarian Strategy,which simply proposes buying the loser and selling the winner stocks with theexpectation of return reversals due to investor overreaction. Resolving thebattle between EMH supporters and opponents is critical to investmentsliterature.In the light of the above discussion, the aim of this study is to reveal aprofitable contrarian strategy if it exists in Istanbul Stock Exchange (ISE) andto investigate whether the Fama-French Three Factor Model (FF-TFM) thatstands on EMH can explain it. Thus, this study has focused on the two sides ofthe discussion. In the first part, the profitability of contrarian strategies is testedand subsequently the explanatory power of the FF-TFM of this profitability isinvestigated.The results showed that the contrarian strategy is profitable in theintermediate term, and the profitability of contrarian strategy is more obviousafter 1999. On the other hand, the FF-TFM has successfully captured thevariation in the returns of the loser and winner stocks while the high minus low(HML) factor is found to be insignificant.