Browsing by Subject "Investment analysis."

Now showing 1 - 7 of 7

Open Access
Application of Markowitz mean variance model in the Istanbul Stock Exchange
(1998) Çetin, Batu
This main objective of this research work is to determine the efficient portfolio and construct the efficient frontier regarding the whole set of 129 stocks that have been traded in the ISE during the 1992 - June 1995 period. The analysis is based on the Markowitz’s Mean Variance Portfolio Selection Model that has been devised by Harry Markowitz in 1952. The Markowitz’s model is a quadratic optimization model that proves hard to implement as the number of data incorporated into the model increases. Hence, for the implemetation of the Markowitz’s model for the 129 stocks, a program code has been written on GAMS, a special software package for the solution of quadratic optimization problems. The study is concluded by measuring the perforaiance of the efficient portfolio constructed by utilizing the Sharpe’s index performance measurement tool for the June 1995 - December 1995 period monthly data.
Open Access
Application of Markowitz Portfolio Selection Model to Istanbul Stock Exchange, 1990-1992
(1995) Alkazan, Hande
In this study, Markowitz Efficient Frontier is constructed by using stock prices in Istanbul stock exchange for the period of 1990-92. This set of efficient portfolios is compared with mutual funds which are randomly chosen for the same period. Comparison is done on the basis of mean-variance criteria. According to the empirical results, chosen mutual funds for the period of 1990-92 are found to be inefficient.
Open Access
Continuous time counterpart of vector auto regression of term structure dynamics with jump diffusion processes
(2010) Aksu, Gülşah
The understanding of bond yields is important for several reasons such as forecasting, monetary and debt policies, derivative pricing and investment decisions. The existence of a huge literature on this subject is a clue on how lots of researchers are trying to improve modeling of bond yields. In this paper two of such improvements are presented and discussed. The first improvement to be discussed is by Ang and Piazzesi (2003) who have found out that inclusion of macro variables to the affine term structure models provides a better fit empirically. The second improvement by Das (1998) also provides a better fitting term structure model by modeling the underlying state variable following a jump process.
Open Access
The impact of uncertainty on investment : overview
(2009) Yılmaz, Erdal
Common consensus in the real option literature is that there is a negative relationship between uncertainty and investment. One of the explanations can be stated that the increased in uncertainty leads to move up the value of waiting and consequently has an adverse effect on investment. Contrary to the existing theory, Sarkar (2000) and Gryglewicz et all (2006) find that this negative relationship is not always correct. The former paper demonstrates that an increase in uncertainty can actually hasten the probability of making an investment under certain condition (when project life is short and level of uncertainty is low) and hence uncertainty has a positive effect on investment. Result of the latter paper is exceptional in the sense that uncertainty may accelerate irreversible investment without building on the convexity of the marginal product of capital. In this thesis, we compare these two papers and investigate whether they support each other or not in the framework of real option theory. Moreover, we made some numerical simulations in order to understand clearly impact of other variables on investment along with uncertainty.
Open Access
Portfolio selection methods: an application to Istanbul Securities Exchange Market
(1996) Çetin, Mert
In this study, Modern Portfolio Theory tools are used for constructing efficient portfolios. The Markowitz mean-variance model is presented and calculated for the construction of efficient portfolios from the Istanbul Securities Exchange Market stocks for the 1993-1994 period. The portfolios constructed are compared on the risk and return scales.
Open Access
The relationship between market determined risk measures and financial variables
(1990) Uysal, Erkan
Open Access
The signalling of management about their companies' performance through bonus issues
(1998) Güyük, Tarkan
The present thesis aims at investigating the validity of information signaling hypothesis through bonus issues in Turkey. The study looks at all the bonus issues by industrial companies realized during 1995-1997 period. It uses event study methodology to search for the positive average abnormal returns and the correlation of those with the real changes in yearly Net Sales ("NS"), Earnings Per Share ("EPS") and Earnings Per Price ("EPP") figures of the selected companies within 30 days before and after the bonus issue. The results support the positive abnormal return and abnormal volume increase before the split execution date, however no significant correlation between average abnormal returns and the selected indicators could be detected. This finding is contrary to the information-signaling hypothesis through bonus issues.