Entelektüel Sermayenin Ölçülmesi ve Raporlanması Sempozyumu, Turkey, 1 - 04 September 2012, pp.60-67
In this study, we examine the relationship between stock returns and intellectual capital levels of Turkish publicly held companies for the period 2006 – 2011. Following a portfolio formation methodology, we construct two equity portfolios depending on the Value Added Intellectual Capital (VAIC) metrics of each company listed in ISE 30 Index to analyze whether high VAIC portfolio outperforms the market index and/or low VAIC portfolio. Our results indicate that a strategy investing in Turkish blue chip firms with high intellectual capital does not make any abnormal return. We also found that high VAIC portfolio obviously outperforms low VAIC portfolio. Our findings are consistent with efficient markets hypothesis and value relevance of intellectual capital.