{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T14:38:20Z","timestamp":1792852700626,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Do standard stock characteristics add value in an emerging market, or does the answer depend on what one compares them to? We test five characteristics in Borsa Istanbul \u2014 low volatility, value, the 52-week-high anchor, short-term reversal, and a quality score built from 17 years of hand-collected point-in-time financial statements \u2014 blended into a 10-stock long-only portfolio with a volatility target and a trend gate. Under a strict walk-forward protocol with realistic costs the strategy earns a raw Sharpe ratio of 1.19 against 0.89 for the cap-weighted XU100, with a CAPM alpha of 4.4% per year (t = 2.08). Against an equal-weighted holding of the same eligible universe, scaled with cash to the strategy's own volatility, the advantage disappears: that benchmark earns a higher Sharpe (1.34) and the strategy's alpha against it is \u22120.4% per year, 95% CI [\u22126.3%, +5.5%]. We report bounds rather than nulls: the sample excludes an annual alpha above 5.5%, and the +4.3% alpha earned against the index lies entirely inside that interval. Leave-one-out tests, seven candidate additions \u2014 including real book-to-market from reconstructed point-in-time market capitalisation \u2014 and a dollar replication all agree. The characteristics are not inert. Stripped of the risk layer they cut maximum drawdown from \u221234% to \u221222% (shallower in 93% of bootstrap resamples) and reach in ten names the risk profile equal weighting needs a hundred to reach. But what they deliver is downside containment and implementation, not return. All lira figures are an inflation illusion: a 25.1% nominal CAGR is 4.0% real and 2.6% in US dollars.<\/jats:p>","DOI":"10.2139\/ssrn.7662821","type":"posted-content","created":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T14:28:46Z","timestamp":1792852126000},"source":"Crossref","is-referenced-by-count":0,"title":["Multi-Factor Investing in Borsa Istanbul"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-6384-6384","authenticated-orcid":true,"given":"Kemal Onat","family":"Dursun","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T14:28:46Z","timestamp":1792852126000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7662821"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7662821","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}