A Research on Prediction of Return Success of Stocks Transacted in BIST 100

Akyatan A.

ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS, cilt.45, sa.2, ss.120-130, 2016 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 45 Sayı: 2
  • Basım Tarihi: 2016
  • Dergi Adı: ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS
  • Sayfa Sayıları: ss.120-130
  • Anahtar Kelimeler: Financial Ratios, Market Indicators, Stock Performance, FINANCIAL RATIOS, DISCRIMINANT-ANALYSIS, FAILURE
  • Akdeniz Üniversitesi Adresli: Evet

Özet

This paper investigates which of the financial ratios and market indicators are associated with the performance of 65 production companies' stocks listed in BIST 100 between years 2008 and 2010. In order to conduct the research, discriminant analysis and logistic regression were performed. In order to identify the financial ratios to be included in the analyses, factor analysis was applied. Financial ratios were factored to six dimensions. The financial ratio with the highest factor loading of each dimension was included in both analyses as independent variable. Prediction powers of both methods displayed approximate results. According to the results of logistic regression, return on equity and price to book ratio made significant contribution to the stock performance classification results. Return on equity also made significant contribution to the classification results of the discriminant analysis as did the net profit margin.