GROSS PROFITABILITY AND 52-WEEK HIGH PRICE

Year 2021, Volume: 8 Issue: 2, 704 - 719, 27.07.2021

Nesrin Özkan

https://doi.org/10.30798/makuiibf.790900

Abstract

The purpose of the study is to measure the conjoint effect of investment strategy based on gross profitability and 52-week high in Borsa İstanbul for the period 2007-2016. The strategy suggests the investors can profit when they take a long position on stocks with high gross profitability and 52-week high, and short position on stocks with low gross profitability and 52-week high. The portfolio method is used in the analysis. The portfolios sorted on 52-week high provide premium but statistically insignificant whereas gross profitability premium is found positively significant. Besides that, the seasonality of profitability returns is observed, though it is weak. When the strategies are analyzed together, the findings exhibit no superior performance of combined strategy despite of positive premium. It may stem from 52-week high effect that is employed as an alternative measure of momentum. This study exhibits a new evidence in the context of the joint effect of strategies. It’s considered that forthcoming researches might focus on the combined performances of the other strategies also by employing alternative measures.

Keywords

52-Week High Price, Gross profitability, Novy-Marx, Turkey

BRÜT KARLILIK VE 52- HAFTANIN YÜKSEK FİYATI

Abstract

Bu çalışmanın amacı, 52-haftanın yüksek fiyatı ile brüt karlılık ölçütünün birlikte etkisine dayalı oluşturulan yatırım stratejisinin etkinliğini 2007-2016 döneminde Borsa İstanbul’da ölçmektir. Bu stratejiye göre yatırımcılar, 52-haftanın yüksek fiyatı ile brüt karlılığı yüksek olan hisse senetlerinde uzun pozisyon, düşük olan hisse senetlerinde ise, kısa pozisyon alarak piyasalarda daha yüksek kar elde edebileceklerdir. Analizlerde portföy yaklaşımı kullanılmıştır. 52-haftanın yüksek fiyatına dayalı oluşturulan portföyler pozitif getiri sağlamasına rağmen istatistiki olarak anlamlı değildir. Öte yandan karlılık primi hem pozitif hem de istatistiki olarak anlamlı bulunmuştur. Karlılık priminde zayıf da olsa Ocak ayı etkisi gözlenmiştir. İki yatırım stratejisi birlikte analiz edildiğinde ise, pozitif getiri elde edilmesine karşın anlamlı bulunmamıştır. Bunun sebebinin, 52-haftanın yüksek fiyatının momentum ölçütünün alternatifi olarak kullanılmasından kaynaklı olabileceği düşünülmektedir. Bu çalışma, yatırım stratejilerinin birlikte performansını ölçmeye yönelik yeni bir bulgu ortaya koymaktadır. İleriki çalışmaların alternatif ölçütler kullanılarak ve farklı yatırım stratejilerinin birlikte değerlendirilmesine ilişkin yapılabileceği düşünülmektedir.

Keywords

52-Haftanın Yüksek Fiyatı, Brüt Karlılık, Novy-Marx, Türkiye

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