Değer ve Büyüme Portföyleri: Risk, Likidite ve Karlılığın Etkisi
Performance of Value and Growth Portfolios: The effect of Risk, Liquidity and Profitability

Summary/Abstract: This study aims to examine the returns of value and growth portfolios based on risk, liquidity, and profitability. The period of the study covers July 2010-June 2021. Market-to-book, price-to-earnings, and price-to-cash flow ratios are used to determine value and growth stocks. Then, the value and growth portfolios are divided into subgroups according to risk, liquidity, and profitability proxies. In this study, total debt/total assets, monthly trading volume, and return on assets were used as proxies for risk, liquidity, and profitability, respectively. A total of 27 portfolios are created. The returns of the portfolios created are compared with the returns of the market portfolio with the help of T-tests. The returns of value and growth portfolios are also compared. The results show that the returns of the value portfolios created according to risk, liquidity, and profitability are significantly different from the returns of the market portfolio. Accordingly, value portfolios outperform the market. The returns of the market portfolio and the returns of the growth portfolios, on the other hand, do not significantly differ from one another. In other words, there is no significant difference between growth portfolios and market portfolio returns. The results regarding the existence of the value premium generally indicate the existence of the value premium. In other words, value stocks generally outperform growth stocks.

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