Borsa ıstanbul hisse getirilerinde yanlış fiyatlandırma

Stock return anomalies literature has been boosted in the last decade and the number of "anomaly factors" detected has increased dramatically which was described by Cochrane (2011) as "factor zoo". We investigated the existence of 9 stock return anomalies in Borsa Istanbul which have been survived extensive investigations in US-based literature. We found out gross profitability, return-on-asset, and composite equity issues anomalies also observed in BIST whereas asset growth and accruals anomalies work in the opposite direction compared to U.S studies. Next, by combining significant anomalies and momentum, we construct a single mispricing factor which works better than each individual anomaly in terms of anomalous behavior. Moreover, we propose a four-factor asset pricing model by utilizing the mispricing factor with market, value, and size factors. The p-value for the Gibbons-Ross-Shanken (1989)'s test that all anomalies' alphas are jointly equal to zero is 0.08 for our model and 0.016 for Fama French 3-factor model. That is, our model captures better the systematic drivers of returns in BIST.