Stock markets anomalies: An empirical investigation of cross-sectional anomalies on Borsa Istanbul

Efficient Market Hypothesis has been one of the most vigorously researched areas in finance over last five decades. According to the hypothesis, in an efficient market, the price of a stock, fully reflects all available information about that stock and therefore, stock prices reflect the intrinsic value. For that reason, no additional profits may be acquired by developing some investment strategies according to the hypothesis. On the other side, there are also considerable amount of empirical studies against the hypothesis. Researchers are looking for investment strategies based on the anomalies contradicting with the hypothesis in order to make continuous profits over the market. The purpose of this thesis is to test price to earnings ratio, price to cash flow ratio, price to sales ratio and price to book value ratio anomalies on BIST 100, between 31/12/1999 and 31/12/2018. According to the results of the empirical study carried out, the investment strategies based on buying stocks with low price to earnings ratio, low price to cash flow ratio and low price to book value ratio could gained statistically significant abnormal returns. However, low price to sales ratio could not gained statistically significant abnormal returns. Keywords: Market Efficiency, Efficient Market Hypothesis, Market Anomalies.