Theses supervised by Doç. Dr. Zeynep Önder
10 theses · İhsan Doğramacı Bilkent University
Gayrimenkul fiyatları ve şirket borçlanması: Türkiye örneği
This thesis examines the relationship between the capital structures of firms in Turkey and their collateral values, particularly through real estate assets. Using a rich dataset, including private SMEs, it investigates whether fluctuations in local real estate prices, which are used for measuring the changes in the value of firms' real estate holdings, affect firms' leverage. When firms' exposure to real estate prices is defined based on initial real estate ownership status, assumed to be identical across owner firms and fixed over time, the findings show that price increases are associated with higher long-term debt among owners compared to non-owners. Also, when ownership status is allowed to vary over time, by still assuming all owners have the same degree of exposure, the findings continue to show positive effects on leverage. These effects also extend to short-term borrowing. However, when firms differ in their exposure based on the amount of real estate assets they own, the relationship between real estate values and leverage reverses. In this case, firms with more real estate assets are more likely to reduce both short and long-term debt when prices rise. These findings suggest that the relationship is highly shaped by the degree of firms' exposure to the real estate market.
Finansal kesim dışı Türk firmalarının döviz kuru üzerine yazılmış türev araç kullanımı
Having significant exchange rate exposure, Turkish non-financial firms face both operational and financial risk caused by exchange rate movements. Despite not being as deep as in the developed countries, Turkish financial markets offer currency hedge instruments. Additionally, firms can engage derivative instruments offered by non-domestic financial agents. Although Turkish firms have option for hedging against currency risk, it can be observed that use of those instruments is not common for Turkish firms. This thesis aims to examine firm specific factors that affect decision the use of hedging instruments as well as degree of hedging. For that purpose of study, a sample of 178 Turkish non-financial firms listed in Borsa Istanbul is utilized and relevant data collected for the period between 2007 and 2017. Use of currency derivatives is considered appropriate representation of hedging tendency for Turkish firms, as FX positions of firms arise from derivative contracts are reported accurately in disclosures of financial reports. According to results, firm size and leverage are found to be increasing factors for tendency to use currency derivatives. Conversely, fixed asset ratio is negatively significant for tendency to hedge. Moreover, liquidity buffer as a substitute for derivative usage is found to be reducing factor for degree of hedging.
Finansal bağlantılılık ve istikrar üzerine makaleler
This thesis investigates the structure of cross-border lending market by using network analysis and examines the relationship between financial connectivity and probability of systemic crises, controlling for macroeconomic variables. A country-level panel data set of BIS locational banking statistics for bank-to-bank and bank-to-non-bank cross-border lending markets including 177 countries is used in the analysis for the 1978-2016 period. Systemic crisis periods are retrieved from European Systemic Risk Board (Lo Duca et al., 2017) and Laeven and Valencia (2013, 2018). In the literature, there are two conflicting arguments on the relationship between financial connectivity and stability. On the one hand, it is argued that an increase in the level of financial connectivity enhances financial stability by allowing financial institutions to absorb the negative impacts of a shock among many counterparties through risk sharing. On the other hand, depending on the structure of the financial markets, it can also deteriorate financial stability by facilitating the spread of a shock from one institution to another, leading to an increase in systemic risk. We, first, examine cross-border bank-to-bank and bank-to-non-bank lending markets of 13 advanced economies. We find that an increase in financial connectivity reduces the probability of systemic crises. However, this effect is found to be mitigated or completely eliminated in credit boom and capital inflow upsurge periods in both lending markets. Second, we examine European bank-to-bank and bank-to-non-bank cross-border lending markets comprised of 25 countries, during 1978-2016 period, as it allows us to test the effect of the level of financial integration measured by the level of financial connectivity on the probability of crisis. We find that while using the single currency, Euro, helps to improve the resiliency of EU in response to crisis in both networks, legislative-regulatory integration across member states without eliminating currency risk undermines the resiliency of the EU bank-to-bank lending network. During the excessive cross-border lending period, an increase in connectivity is found to raise the probability of crisis for both lending networks, regardless of the membership status. Finally, we extend our data set to 177 countries and examine the relationship between financial connectivity and stability in the global lending network. We find that in bank-to-bank lending network, an increase in global financial connectivity decreases the probability of crises, but this effect is found to be eliminated only in credit boom periods. On the other hand, an increase in local connectivity is found to be associated with an increase in the probability of crisis. This effect seems to be mainly driven by emerging countries, rather than advanced countries. In both lending markets we find that capital inflow periods do not affect the relationship between connectivity and probability of crisis. The findings suggest that policy-makers should design a financial market mechanism that can reduce risks associated with an increase in financial connectivity, while maintaining its benefits.
Konut piyasası ve banka kredileri üzerine makaleler
This dissertation comprises three essays about the housing market and banks' loan portfolios at the province level in Turkey. The first essay focuses on the supply side of the housing market. The price elasticity of housing supply is estimated using quarterly data over the period 2008-2017, and the factors that drive the differences across provinces are investigated. We find that Turkey has a low housing supply elasticity on average, but elasticity estimates exhibit variation across provinces. Our results suggest that population, geographical constraints and local regulatory conditions are significant factors in explaining the differences in housing supply elasticity estimates. In the second essay, we answer the question of whether banks change their loan allocation with the appreciation of house prices and whether state-owned banks behave like other banks with different ownership structures by using province-level data over the 2007Q4–2015Q2 period. The undevelopable land share and mortgage rate are employed as instruments for house price growth. We find that commercial loans are crowded out by mortgage, consumer, and construction loans with the increase in house prices; in addition, state-owned banks are found to reduce their commercial, and in particular agricultural loans, more than private banks as house prices appreciate. In the third essay, we examine the effect of house price appreciation on non-performing loans (NPLs) of domestic banks between 2009Q1–2016Q4, when real house prices were increasing. We document that non-performing total, commercial, and consumer loans decline as house prices increase. No difference among banks by ownership type is observed.
Opsiyon bazlı değişkenler hisse getirileri hakkında ne anlatıyor
Option-based variables reflect investors' assessment of future risk and therefore contain information about expected stock returns. Early studies show that information flows from the options market to the equity market. Empirical evidence suggest that portfolios created using option-based variables have returns that cannot be fully explained by traditional asset pricing variables. Following Bali, Chabi-Yo and Murray (2022), this thesis examines the predictive power of option-based variables, such as the difference between call and put implied volatilities, the difference between realized volatility of the underlying stock and option implied volatility, and the change of the open interest in options. The options on stocks traded in the US stock exchanges in the period between 1996 and 2015 are analyzed. The study also investigates whether the predictive power of the option-based variables changes during periods of economic recession. The findings show that option-based variables increase the predictive power of the models when used with the traditional asset pricing variables. Option-based variables are found to be useful predictors of stock returns during recessions as well. The estimation model which includes option-based variables and stock characteristics outperforms CAPM and Fama-French three-factor model during both recession and expansion periods but the accuracy of the model is significantly lower during recessions. The model fails to estimate the future returns of high beta stocks as accurately as low beta stocks. Portfolios formed based on quintile values of the option-based variables create economically large but statistically insignificant abnormal returns.
Basel sermaye düzenlemeleri ve banka davranışları: Türk bankacılık sistemi örneği
In this study I examine the effects of Basel capital requirements on the behavior of Turkish banks for the period between December 2002 and December 2013. Turkish banks are found to increase their lending rates by 17.33 basis points in case of a one-percent rise in equity to asset ratio. When the same analysis is applied to state, private and foreign banks, it is found that state banks behave differently and decrease their lending rates when they increase their equity to asset ratio. As a second analysis, I examine how banks react when they are exposed to regulatory pressure to increase their equity to asset ratio. I use simultaneous equations methodology to measure the effects of regulatory pressure. The findings indicate that private banks do not change their behavior, state banks increase their equity to asset ratio and foreign banks decrease their risk level when they are exposed to regulatory pressure.
Türkiye'de katılım bankaları ve geleneksel bankacılık: Kredi temerrüt karşılaştırması
In this study, I compare the default rates of firm loans issued by participation and conventional banks operating in Turkey by using survival analysis techniques for the period January 2011 - December 2012. Banks provided more than 4 million loans to firms during this period. I find that participation loans are more likely to default, controlling for borrower, loan and bank characteristics. However, loans of firms working with only participation banks are less prone to default compared to loans of firms working with both participation and conventional banks. The default rate of participation loans are found to be higher than that of conventional loans for the firm that borrows from both type of banks. Loans are less likely to default during Ramadan. It is found that large firm loans survive longer in cities where the population is high, where there are proportionately more mosques and more Al-Quran course participants per population. Keywords: Duration Analysis, Turkish Participation Banks, Loan Default
KOBİ'lerde sermaye yapısını etkileyen faktörlerin imalat sanayiinde sınanması
This thesis investigates the determinants of capital structure of small and medium sized enterprises (SMEs) from manufacturing sector in Turkey. Hypotheses about leverage decisions and debt maturity choices of firms are formulated based on the capital structure theories, mainly trade-off theory and pecking order theory. These hypotheses are tested using fixed effects model with unbalanced panel data set of 44,029 firm-year observations over the period between 1998 and 2008. I find that capital structure decisions of Turkish SMEs are in line with pecking order predictions. The results indicate that larger firms have higher leverage ratios; SMEs use their tangible assets to obtain long term debt; profits are used to decrease debt levels, particularly short term debt; firms with high growth opportunities prefer to finance their future growth with long term debt; rapidly growing firms use more short term debt to finance their growth. In general, SMEs are found to decrease their leverage ratio during the periods of economic growth. Lastly, although small and medium sized firms have significantly different debt ratios over the sample period, results are homogenous across both individual samples of small firms and medium firms.
Banka ilişkileri ve firma performansı
This thesis examines the relationship between firm performance and the number of banking relationships for the publicly traded Turkish firms listed in the Borsa Istanbul (BIST) for the period 2003-2011, by using 2SLS model. In the analysis, banks are categorized according to their nationalities, ownership structures and orientations; firms are classified based on their size as small and large, the sample period is divided into two as crisis and non- crisis years, considering the effect of the 2008 global crisis on the Turkish economic and financial system. I find that firm performance decreases as the number of banking relationships increases, regardless of bank types. However, this negative relationship between firm performance and the number of banks is observed only in non-crisis times and for only small-sized firms. I also find that firm age, size, obtaining funding from external sources other than bank loans, belonging to a group, related lending, being a multinational company, incentives obtained from government and state-ownership are significant factors affecting the number of banking relationships. However, the significances of these variables differ for different bank and firm types, and for sub-periods.
Avrupa'daki yatırım ortaklıklarının iskontosu: Covıd-19 etkisi
This thesis analyzes behavior of Closed-end fund discounts (CEF) under the novel circumstances of the global pandemic that crushed the financial markets starting from early 2020. As literature argues CEF discounts to be affected and explained by the investor sentiment, I expect discounts display the sentiment shifts in the market. Using the CEFs trading in European Exchange Markets, for the period of 2017-2021, I apply linear regression, and found that discounts significantly increase with risk factor (beta) and transaction costs proxy and decrease with dividend yield, turnover, size of the fund, and market returns including House Price Index, controlling for country and fund portfolio asset class focus fixed effects. Results of regression models indicate that CEF discounts widen after the first cases confirmed in the country, as Covid-19 pandemic create a negative shock on investor sentiment. The optimism in the market after the administration of vaccination started is also reflected through CEF discounts as they shrink with vaccination effect. Moreover, I find that new cases and new deaths of Covid- 19 are significant predictors for CEF discounts, implying that investors are affected by the main Covid-19 related publicly available data.