The portfolios with strong brand value: More returns? Lower risk?

This study focuses on the brand value-shareholder return relationship using the approach of Madden et al. (2006) based on Aaker (1991) and compares “Strong Brands Portfolio”, created through brand values in “Turkey's Most Valuable Brands” annual report of Brand Finance published between 2007-, 2015, within alternative benchmark portfolio in terms of risk and return. In this context, although the analysis made by different weighting methods over asset pricing models has found that a portfolio of strong brands may provide significant abnormal returns with significantly lower market risk for shareholders, it is understood that the brand values published by Brand Finance are not fully priced in the Turkish stock market by considering the magnitude of that value.