Browsing by Subject "Stock returns"

Now showing 1 - 7 of 7

Open Access
Effects of macroeconomic dynamics on stock returns : case of Turkish stock exchange market
(2003) Erdoğan, Esen
It has been widely accepted that the empirical validity of the efficient markets hypothesis significantly differ between developed and emerging markets. Macroeconomic factors are thought to play an important role in this context. Since the financial markets in developing countries can be characterized as not being deep and stable, changes in macroeconomic conditions can have important impacts on the performances of the stock exchange markets. The developments in ISE and other institutions combined with several structural breaks and financial crises surely change the dynamics of the relationship between these macroeconomic variables and ISE. Therefore, we take this discussion as our starting point and analyze the effects of several macroeconomic variables on ISE within a time-varying parameter models with GARCH specification. It is found that several financial crisis and unsuccessful stabilization attempts led to a structural break on the impact of macroeconomic developments on stock exchange performance. In the second part, we attempt to measure the stock exchange market volatility within the time varying parameter framework. The conditional variances exhibit information about the structural uncertainty in ISE. We report the series for this type of uncertainty in this section.
Open Access
Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)
(Multinational Finance Society, 1999) Muradoglu, G.; Berument, Hakan; Metin, K.
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.
Open Access
How sensitive are bank managers to shareholder value?
(Springer New York, 2012) Caner, S.; Özyıldırım, S.; Ungan, A. E.
We test for the existence of market discipline by shareholders of banks with a wide range of ownership structures. Discipline by shareholders manifests itself through monitoring banks' level of risk as well as through influencing banks' management actions. We find that shareholders utilize the relation between stock returns and different types of risk measures to monitor risky banks. Shareholders partially influence bank management by responding to decreasing stock returns with a demand to improve loan quality. Moreover, the influence on management in small banks is more pronounced compared to large banks.
Open Access
Institutional investment horizon, herding, and stock returns
(2020-12) Iqbal, Muhammad Sabeeh
This thesis investigates the interaction between the herding behavior of institutions classified by their investment horizons and the role of investment horizon of institutions in driving the book-to-market effect. First, we examine the price impact of the herding behavior of short- and long-horizon institutional investors. We categorize the institutional herding as same-side herding when both types of institutions herd on the buy-side or sell-side together and as opposite-side herding when short-horizon institutions buy while the long-horizon institutions sell or vice versa. We find that the previously documented destabilizing impact of long-horizon institutional herding is only observed on opposite-side herding. Moreover, short-horizon institutional herding improves the stock price discovery process confirming the belief that they are more informed. Second, we investigate the differential contribution of institutions with different investment horizons in book-to-market effect. We find that long-horizon institutions tend to buy (sell) stocks with positive (negative) past intangible information. This behavior exacerbates market overreaction and magnifies intangible return reversals and thus contributes to book-to-market effect. On the other hand, short-horizon institutions trade independent of intangible information, and their trading in the direction of intangible information does not contribute to book to market effect. Moreover, our findings also support that short-horizon institutions are better informed than long-horizon institutions.
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.
Open Access
The impact of ESG scores on stock performance: the case of borsa İstanbul
(2024-03) Bayram, Ekin
This thesis investigates the impact of Environmental, Social, and Governance (ESG) scores on the returns of stocks listed on Borsa Istanbul (BIST). The analysis incorporates yearly di↵erences and percentage changes in ESG scores, along with ESG ratings. The sample consists of 62 Turkish companies from 2007 to 2022. Despite ongoing debates in the literature regarding the relevance of sustainability metrics on stock performance, this study provides robust evidence supporting a negative relationship between changes in ESG scores and stock returns. This relationship is more pronounced in yearly diferences in ESG scores compared to percentage changes. The ﬁndings remain consistent after accounting for ﬁrm and industry characteristics, and conducting various robustness checks. The negative impact of changes in ESG scores on stock returns suggests that these changes in scores indicate stock riskiness. Speciﬁcally, a decline in yearly diference in ESG scores corresponds to an increase in stock risk, leading to an increased premium demanded by investors and impacting stock returns.
Open Access
What do the option-based variables tell us about future returns?
(2023-08) Açıkalın, Özgür Şafak
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.