Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis
This paper investigates the correspondence between stock prices and firm fundamentals in Turkey. In pursuing our objective, we explore the relationship between firm-specific variation in stock returns and fundamentals in the context of a simple present value framework. We overcome the typical insuff...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Canadian Center of Science and Education
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/37386 |
| _version_ | 1848755032772575232 |
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| author | Rahman, A. Sadique, Shibley Chowdhury, H. |
| author_facet | Rahman, A. Sadique, Shibley Chowdhury, H. |
| author_sort | Rahman, A. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper investigates the correspondence between stock prices and firm fundamentals in Turkey. In pursuing our objective, we explore the relationship between firm-specific variation in stock returns and fundamentals in the context of a simple present value framework. We overcome the typical insufficiency of the spans of time-series accounting data in emerging market research, and the consequent loss of statistical testing power, by adopting a firm-level micro panel data approach. After properly accounting for unobserved heterogeneity, potential endogeneity bias and volatility persistence, we find that firm-specific variation of stock returns in Turkey is only weakly correlated with alternative proxies of firm-specific variation in firm fundamentals and that the relationship is not robust to the influence of control variables such as the firm size. Our findings are, therefore, consistent with the usual perception that stock prices in emerging markets contain little firm-specific information. |
| first_indexed | 2025-11-14T08:49:52Z |
| format | Journal Article |
| id | curtin-20.500.11937-37386 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:49:52Z |
| publishDate | 2012 |
| publisher | Canadian Center of Science and Education |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-373862017-09-13T13:38:14Z Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis Rahman, A. Sadique, Shibley Chowdhury, H. This paper investigates the correspondence between stock prices and firm fundamentals in Turkey. In pursuing our objective, we explore the relationship between firm-specific variation in stock returns and fundamentals in the context of a simple present value framework. We overcome the typical insufficiency of the spans of time-series accounting data in emerging market research, and the consequent loss of statistical testing power, by adopting a firm-level micro panel data approach. After properly accounting for unobserved heterogeneity, potential endogeneity bias and volatility persistence, we find that firm-specific variation of stock returns in Turkey is only weakly correlated with alternative proxies of firm-specific variation in firm fundamentals and that the relationship is not robust to the influence of control variables such as the firm size. Our findings are, therefore, consistent with the usual perception that stock prices in emerging markets contain little firm-specific information. 2012 Journal Article http://hdl.handle.net/20.500.11937/37386 10.5539/ijef.v4n12p137 Canadian Center of Science and Education restricted |
| spellingShingle | Rahman, A. Sadique, Shibley Chowdhury, H. Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title | Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title_full | Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title_fullStr | Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title_full_unstemmed | Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title_short | Do Stock Prices in Turkey Reflect Fundamental Information? A Firm-level Analysis |
| title_sort | do stock prices in turkey reflect fundamental information? a firm-level analysis |
| url | http://hdl.handle.net/20.500.11937/37386 |