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Türk gayrimenkul yatırım ortaklıklarının portföy çeşitliliği ve operasyonel performansları arasında bir ilişki var mıdır?
Diversification has been a major topic in the academic literature for a very long time. Controversial results have been found by different researchers in different contexts. To investigate the issue for the Turkish real estate market, I focus on the Turkish REITs. I collect and set up a data set of annual property portfolios of REITs and create portfolio diversification measures. To be able to assess the impact of diversification of REITs in Turkey on their operational performance, I evaluate the relationship in two dimensions. Property type diversification and regional diversification will be my trivets to build this study on. In terms of geographic diversification, I specifically concentrate on an Istanbul vs non-Istanbul focus. I find that there is a positive contribution of İstanbul-focused portfolio investments and property type focus. In the end, I suggest policy implications.
An empirical study for the systemic risk in the Turkish banking system
In this thesis, the relationship between the interbank connections and the systemic risk have been analyzed in the Turkish Banking System. The data is gathered from the financial statements of banks on a yearly basis between the years 2007 and 2018. In an attempt to find the triggering levels of systemic risk, a study is implemented by only using the number of banks, independent of data of banks. With different values of default probability P of a single bank, the likelihood to giving a start to a contagion effect is measured. It is found that, in Turkish banking system, it is enough for a single bank to have a default likelihood of 1 percent to trigger the contagion effect. The default probabilities have been evaluated based on the strength of banks' Capital Adequacy Ratio(CAR) level. It is concluded that high level of average CAR of a bank reduces the possibility of default. Large Banks are identified as the pioneers among the lenders, while State Banks are the main borrowers of the system. In a primary scenario analysis where one bank in the lender bank group gives the entire loan that would be given to a bank in the borrower bank group, in the insolvency situation of borrower bank, reaction of the lender bank based on its Return on Assets(ROA) level have been analyzed. If the entire loan that would be given to borrower bank distributed evenly among a lender group, contagion effect is deduced to be tolerated.
Do Turkish asset management companies hold overweight positions in their parent companies' securities for the mutual funds under their management?
Conflict of interest in affiliated mutual funds is widely investigated in the literature. Due to its significant growth in recent years, Turkish mutual fund industry attracts more attention from regulators and investors. I studied whether Turkish asset management companies have a bias to overweight their affiliated stocks and corporate bonds compared to their peers in the funds under their management. A systematic bias has been found for both affiliated stocks and corporate bonds: 0.46% and 3.80% respectively. For affiliated stocks, share funds are the leading category with 4.12% overweight bias and for affiliated corporate bonds money market funds have the highest bias: 9.23%. The study goes further to investigate this bias in fund type categorization level and asset management company type and ends with the analysis whether affiliated mutual funds give price support in times of excessive selling of affiliated stocks in the secondary markets. Empirical results show general market conditions or affiliated securities' specific severe secondary market conditions don't affect the overweight bias. On the other hand, asset management companies' characteristics affect it: local ownership contributes 0.41%, bank affiliation contributes 1.28% and state ownership contributes -1.41% in affiliated stocks. For affiliated corporate bonds, local ownership loses its significance, state ownership contributes -8.73% and bank affiliation contributes 7.74%.
Steepening versus flattening yield curves: Implications for WACC calculation and company valuation
Recent survey conducted by Pinto et al. (2019) shows that Income Approach is one of the most preferred approaches by valuation practitioners. Weighted Average Cost of Capital (WACC) is used as the discount factor of future cash flows of the company in this approach and constant risk-free rate is one of the major assumptions in WACC calculation. However; it is not valid in inverted yield curve conditions. Inverted yield curves can be observed in both developed and emerging economies. This paper compares the valuation results computed with Changing WACC and Stable WACC and the results show that Changing WACC provides estimates closer to market price in inverted yield curve conditions.
An analysis of the low volatility anomaly on the Borsa Istanbul
In financial markets, obtaining high returns against high systematic risk is basically the expected situation. It is regarded as a financial anomaly that high-risk stocks yield lower returns than low-risk stocks. This situation is called as low volatility anomaly or beta anomaly in financial literature. In this study, it was investigated whether there was a low volatility anomaly in BIST 100 between 2010-2019. 80 companies listed on the stock exchange between 2010 and 2019 were included in the study. Within the scope of the study, the presence of beta anomaly was investigated for periods of semiannual, 1, 2, 5 and 10 years. In addition, it was examined whether there was a beta anomaly for the years 2010-2013 and 2014-2019. The results obtained show that there is a beta anomaly within a certain beta value range in each period examined. Especially periodically, the presence of a general beta anomaly was detected in the period 2014-2019. In addition, it has been determined that beta anomalies generally do not occur in cases where the beta value is 1 and above in the short term, and very low and very high beta values reduce the return rate in the long term.
Döviz piyasalarında ortak hareket dinamikleri ve küresel faktörler: Gelişen piyasalardan bulgular
Emerging markets are particularly different from developed markets as they possess vulnerability, easily disturbed by financial crises, and not completely liberalized. Some global shocks such as Covid-19 and 2018 global financial crisis easily affect the emerging markets in especially currency-based systems. Therefore, it is important to investigate the impacts of global factors on their currencies in the last few decades. The main purpose of this thesis is to investigate the effects of global factors on emerging markets between the years of 2009-2021. The cluster was narrowed by PCA analysis and regression analysis was performed on the factors obtained as a result of the analysis. Then, the analysis was made to minimize the average loss that will occur due to restructuring with the factors included in the PCA analysis results and to compare the movements of the currencies of developing countries within themselves with the regression results. Empirical tests are implemented into three different time periods to understand the effects of global factors: • High Liquidity Market Regime (January 2009 – June 2013) • Monetary Tightening Market Regime (July 2013 – December 2019) • The Emerging Markets in Pandemic (January 2020 – August 2021) The findings show that the currencies of the developing countries are highly correlated with the Dollar Index, MSCI World Index and EURUSD parity, but also it is observed that they are correlated with the commodity markets in times of crisis. On the other hand, even the emerging markets countries do not diverge from each other much during the global financial crisis, it is analyzed that the currencies of the countries that have difficulties in their domestic monetary and fiscal policies such as Turkey and Argentina are decomposed from the emerging markets currencies in all periods regardless of the type of crises. Keywords: Emerging market, global factors, principal components analysis, exploratory factor analysis, reconstruction error.
Makine öğrenmesi ile Türk hisse senetleri piyasasında getiri tahmini
In this study I compare machine learning methods for predicting the stock returns of individual Turkish stocks listed in the Istanbul Stock Exchange (Borsa Istanbul). As the main machine learning model I use the Instrumented Principal Component Analysis (IPCA) and as a benchmark model I use Fama-French Factor Model. The IPCA model generates the stock-level expected returns based on observable stock-level and firm-level characteristics and latent common factors estimated within the model. Within the model stock-level characteristics determine the factor betas, namely the covariances of stock returns with the latent common factors. I estimate versions of the benchmark Fama-French models between 3 to 5 factors. The versions of the IPCA models use between 3 and 6 factors and use 10 characteristics. The sample covers all stocks in the XUTUM Index and the sample period includes forecasts between 2010 and 2022. Using a panel data of 252 firms listed in the Borsa Istanbul XUTUM Index and I analyze the comparative performance of the IPCA and Fama-French models. More specifically, I look at the in sample and out of sample performances of the models by comparing the realized and predicted series of returns for each individual stock. I find that the IPCA model significantly outperforms the Fama-French model by obtaining significantly higher out of sample R-squared levels and correlation of return forecasts and realized returns. The performance difference between Fama-French and IPCA models is more pronounced in the Turkish stock market compared to results of (Kelly, Pruitt and Su 2018) for the US stock market. Therefore, my results imply that the use of asset pricing models based on machine learning techniques may provide better results in emerging stock markets.
BDDK kararlarının kur beklentilerine etkisi
Risk-neutral distributions (RND) of currency options are useful for predicting the price movements of future exchange rates, valuing financial derivatives, and applying appropriate monetary policy. This study examines the swap restriction regulations applied by the BRSA to prevent USD/TRY exchange rate shocks after the diplomatic crisis with the USA. These regulations restricted offshore swap transactions in which Turkish banks give foreign currency and receive Turkish Lira to foreign banks at maturity. Risk-neutral distributions (RND) are obtained for all maturities using the non-parametric Malz approach. The RND findings obtained indicate a deterioration in the expectations regarding the USD/TRY exchange rate for all maturities following the swap restrictions. In addition to the visual representation, sharp movements in exchange rate expectations are displayed with moments of RNDs up to the 4th degree. Moreover, the impact capacity of regulatory decisions taken by the BRSA, the moments of RNDs up to the 4th degree, and the relationship between global factors is examined with the established model. The findings indicate that the effect of the regulations is temporary.
Hisse senedi vadeli işlemlerinde risk primlerinin ampirik analizi: borsa İstanbul örneği
This study investigates the futures risk premia in Türkiye's equity futures market, focusing on spot and term premiums. By applying concepts traditionally used in commodity futures to equity futures, the study captures spot premiums through nearest maturity contracts and captures term premiums through a long-short strategy. Utilizing factor pricing models and portfolio sorting methodology, it examines the explanatory power of basis, momentum and the recently introduced basis-momentum characteristics. After determining the significant risk premiums, the study examines the interaction between the risk premia and main macro financial variables that have a profound effect on the macro economy via Newey West OLS and Vector Autoregressive modelling methods. The study aims to provide new insights into the term structure of equity futures and contribute significantly to the literature on futures risk premia and their application to financial markets.