Abstract:
This paper examines the effects of size, book-to-market in explaining momentum at the Istanbul Stock Exchange
during the period 1995 to 2010. The results show that momentum strategy appears to have a high performance
for six month holding periods. Moreover, the results are robust and can be explained by size and by book-to
market effect. Besides, January effect is insignificant on the stock returns in the period 1995-2010. The result of
this study also shows that the momentum is existing on stock returns in Istanbul Stock Exchange and the
evidence suggests that the momentum strategies can be used to obtain abnormal returns by the investors in
Turkey.
