Browsing by Author "Muradoğlu, G."
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Item Open Access Do markets learn from experience? price reaction to stock dividends in the Turkish market(Routledge, 1998) Aydoğan, K.; Muradoğlu, G.In this paper we provide an empirical analysis of the announcement and implementation of rights issues and stock dividends in the thinly traded Istanbul Stock Exchange. The efficiency of the Turkish market with respect to this information set is tested at different time horizons characterized by different development levels of the market. Evidence is detected of different price reactions for the different development phases of the market as well as for the board meeting and actual implementation information. As the market matures, neither the board meeting nor the actual implementation of stock dividends-rights offerings cause significant price reactions. Besides the traditional event study methodology, non-parametric tests such as sign and rank tests are also employed but are found to be unsuitable for this particular case.Item Open Access Effects of feedback on probabilistic forecasts of stock prices(1995) Önkal D.; Muradoğlu, G.This paper reports the results of an experiment in stock-price forecasting that investigated the effects of feedback on various dimensions of probability forecasting accuracy. Three types of feedback were used: (1) simple outcome feedback, (2) outcome feedback presented in the task format, and (3) performance feedback in the form of an overall accuracy score in addition to detailed calibration information. While calibration improved for all the feedback groups, forecasters' skill was found to improve only for the task-formated outcome feedback and performance feedback groups (but not for the simple outcome feedback group). Finally, the forecasters in the performance feedback group also improved their mean slope and mean probability scores, an effect not observed in the other feedback groups. It is suggested that, in a dynamic environment like the stock market, probability forecasting offers distinct advantages by providing an important channel of communication between the forecasters and the users of financial information.Item Open Access Effects of task format on probabilistic forecasting of stock prices(Elsevier, 1996) Önkal D.; Muradoğlu, G.This study aims to explore the differences in various dimensions of forecasting accuracy that may result from the task format used to elicit the probabilistic forecasts. In particular, we examine the effects of using multiple-interval and dichotomous formats on the performance of portfolio managers' probabilistic forecasts of stock prices. Probabilistic forecasts of these experts are compared with those provided by semi-experts comprised of other banking professionals trained in portfolio management, as well as with forecasts provided by a novice group. The results suggest that the task format used to elicit the probabilistic forecasts has a differential impact on the performance of experts, semi-experts, and novices. The implications of these findings for financial forecasting are discussed and directions for future research are given.Item Open Access Evaluating probabilistic forecasts of stock prices in a developing stock market(Elsevier, 1994) Önkal D.; Muradoğlu, G.Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers. Since the use of point and interval predictions by themselves do not aid in explaining the various aspects of forecaster performance, probabilistic forecasting provides a better alternative that can be used to gain insight into forecasting accuracy in such settings. This study aims to test the effects of forecaster expertise and forecasting environment on forecasting accuracy. Accordingly, various aspects of forecasting performance are studied in a developing stock-market framework.Item Open Access An exploratory analysis of portfolio managers' probabilistic forecasts of stock prices(John Wiley & Sons, 1994) Önkal D.; Muradoğlu, G.This study reports the results of an experiment that examines (1) the effects of forecast horizon on the performance of probability forecasters, and (2) the alleged existence of an inverse expertise effect, i.e., an inverse relationship between expertise and probabilistic forecasting performance. Portfolio managers are used as forecasters with substantive expertise. Performance of this ‘expert’ group is compared to the performance of a ‘semi‐expert’ group composed of other banking professionals trained in portfolio management. It is found that while both groups attain their best discrimination performances in the four‐week forecast horizon, they show their worst calibration and skill performances in the 12‐week forecast horizon. Also, while experts perform better in all performance measures for the one‐week horizon, semi‐experts achieve better calibration for the four‐week horizon. It is concluded that these results may signal the existence of an inverse expertise effect that is contingent on the selected forecast horizon.Item Open Access Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market(Routledge, 2001) Muradoğlu, G.; Metin, K.; Argaç, R.Literature that provides empirical evidence about the long-term relationship between stock returns and monetary variables in emerging markets is limited. In those markets, unlike in mature ones, market participants and the availability of information as well as its quality, change rapidly through time. The purpose of this study is to examine the long-term relationship between stock returns and monetary variables in an emerging market through time by using the cointegration technique. The database is set up at daily frequency of variables that are customarily used by the financial media as determinants of stock investments and the cointegration technique enables us to consider changes in long-run steady-state properties of the equilibrium relationship between the non-stationary stock prices and monetary variables. The findings of this study indicate that, overall results should not be used in formulating investment strategies because they can be misleading in the sense that the variables that explain stock prices might change through time. In the case of ISE, as the market became more mature, the influence of monetary expansion and interest rates disappeared and foreign currency prices regained their expected significance.Item Open Access Trends in market reactions: stock dividends and rights offerings at Istanbul stock exchange(Routledge, 2003) Muradoğlu, G.; Aydoğan, K.This paper examines the existence of different price reactions to the Implementation of stock dlvldends and rights offerings as the stock market matures over time and the Investor mix changes. For that purpose market reactions at the Istanbul Stock Exchange (lSE) are Investigated during three sub-periods displaying different developmental phases of the market defined In terms of Institutional framework, transactions volumes and related Investor profiles. Differences In price reactions and the accompanying trading volumes are tested as the Investor mix changes and small Investors enter ISE due to the cultivating of awareness about the stock market. Other possible causes of excess returns such as prior knowledge about the stocks being traded or a preferred trading range are also tested. Considering the characteristics of thinly traded emerging markets, non-parametric tests are employed besides traditional event study methodology and results are Immune to the choice of relevant test statistics. The results Indicate that the changing mix of Investors shift the timing of market reaction from announcement to Implementation of stock diVidends and rights offerings. Since Individual Investors, who are attracted by lower relative prices. are not expected to be prompt In timing. excess returns persist over longer event windows and are accompanied by Increasing trading volumes.