Constituting potfolio and an applied example considering P/E ratio and firm size anomaly together

Contrary to the effective market hypothesis, when making portfolio by dealing with Price / Earning (P/E) and firm size anomalies one by one it has been observed in many researches that high rate incomes can be obtained. If the price / earning effect and size effect are independent from each other, the portfolio formed by using the low P/E and lorn market value firms can be considered to raise the high incomes. A survey was applied by considering the P/E rates, firm size and in addition systematic risk values on equities at Istanbul Stock Exchange (ISE) for this purpose during 01/01/1995 - 12/31/2000 period. Firstly after checking the P/E rates it has been studied whether the size effect existed or not by comparing they average incomes and performances of portfolios which had different size firm. When the results were studied, low P/E rate, high systematic risk value and low firm size (LHL) were noticed and it was observed that firm size still had an effect. A similar research on different P/E rate portfolios after checking the firm size value was carried out but we were not able to get the results which supported low P/E rates. In addition, when regressing models which were formed for each portfolio; the systematic risk and standart deviation which belongs to the portfolio and the incomes of ISE 100 Index have been found that they have an important role in explaining the portfolio incomes. Finally, Multicollinearity problem which proves that independent changeable in the examples had been observed and Farrar-Glauber Test result were used for changes in the example.