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Abstract: Conditions of beating the market is always top of the interests of investors throughout the history. In this study we aim to find who beats the market using a special trade and portfolio data from a stock exchange namely Borsa İstanbul. Instead of market data, investor based data used in this paper provides us to make stronger analyses. We initially find that 87% of individual and 92% of institutional investors get returns in a random way. Then the rest of investors are investigated to determine who consistently beats the market and gets abnormal returns. And we mainly find that the market beating gets longer with increasing portfolio size and diversification, while it gets shorter with increasing turnover. Additionally, longer beating length means higher shares of women, old adults, funds and foreigner. Furthermore, we analyze the return performance of investors in our study and show that the picture becomes reversed compared to beating length criteria. Finally, the insiders are compared with other investors to understand whether the market is efficient in the strong form or not. And the findings indicate that the insiders cannot be specifically differentiated from other investors. Therefore, we end up with the evidence that there is strong form efficiency in Borsa İstanbul.
Keywords: Market Beating, Abnormal Returns, Individual Investors, Institutional Investors, Insider Trading, Market Efficiency
JEL Classification: G10, G11, G12, G14
(ProQuest: ... denotes formulae omitted.)
1.Introduction
Over-performance of investors is always one of the most interesting topics in Finance. There are academic and non-academic books, papers and newspaper columns which explain the secrets of the market, but we can see only some investors such as Warren Buffet, and George Soros who consistently beat the market. The question of whether markets are efficient is central to investment valuation. Those who do valuation well will be able to make 'higher' returns than other investors, because of their capacity to spot under and over-valued firms (Damodaran, 2012). That's why, having an idea about whether the market is efficient, or to what extent it is efficient is crucial in making investment decisions.
The recent financial crisis has also revealed the need of understanding the structure of financial markets. Analyses in both the academia and the industry have re-focused on the basics of definitions,...