We study the comparison of returns between value and growth, and between small and large capitalization portfolios for an emerging market, the Istanbul Stock Exchange (ISE). We show that growth portfolios have superior performance over value portfolios. Thus, our results do not confirm the evidence from most developed and emerging markets. Moreover, inconsistent with the evidence from developed markets, monthly and annually small–large portfolio spreads favour large stocks. These results reflect that the structure of the market and the fundamental of stocks traded in the ISE differ from markets around the world. Time series regression results show that the average returns on value and growth portfolios are not sensitive to market movements. Size and B/M risk factors along with market risk premium produce better descriptions of the returns on value and growth portfolios.