Scholarly Publications - Management
Permanent URI for this collectionhttps://hdl.handle.net/11693/115642
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Item Embargo Climate change exposure and cost of equity(Elsevier, 2024-02) Çepni, Oğuzhan; Şensoy, Ahmet; Yilmaz, Muhammed HasanIn this study, we investigate the association between climate change exposure and the cost of equity financing. Using a novel dataset of US firm-level exposure to climate change risks, we find that higher exposure to climate risks co-exists with higher financing costs for the period 2010 through 2021. While the effect of physical and regulatory risks is rather muted, the main mechanism shaping financing costs stems from climate transition risk driven by uncertainty about new business opportunities. Our results are not compromised by endogeneity concerns as shown by alternative methods such as entropy balancing, instrumental variable regression, dynamic panel estimation and a difference-in-differences setting. We also document that the link between climate change exposure and the cost of equity financing is more prominent for firms facing higher attention to climate topics, a stronger realization of climate change and more problematic financing constraints.Item Embargo Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments(Elsevier, 2024-08) Banerjee, Ameet Kumar; Dionisio, Andreia; Şensoy, Ahmet; Goodell, John W.This study is epicentral to analyzing the impact of futures volatility on portfolio and risk management, as extant literature indicates the challenges of using economic variables that fall short of forecasting volatility beyond lagged values. Further, higher moments may be better adaptive to signaling distress during market upheavals. This paper sources data from Bloomberg from March 26, 2018–April 28, 2023, to examine the dynamic spillovers of higher moments among Shanghai International Energy Exchange and US energy futures contracts by constructing realized skewness and kurtosis. Using nonlinear techniques of mutual information and time-varying vector autoregression (TVP-VAR), we show that realized skewness and kurtosis offer significant information on spillover transmission between the two futures markets, primarily through the crises of COVID-19 and the Russia and Ukraine war. Further, we identify that the risks embedded in these future contracts have increased significantly. Our results have important implications for policymakers, investors, and risk managers.Item Open Access Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints(Springer New York LLC, 2024-03-27) Banerjee, A. K.; Pradhan, H. K.; Şensoy, Ahmet; Fabozzi, F.; Mahapatra, B.This paper adopts the multi-criterion decision-making model of fuzzy-TODIM and geneticalgorithm (GA) for optimal portfolio allocation. We applied Markowitz’s portfolio parame-ters as inputs for the fuzzy TODIM model to rank stocks that are constituents of each indexfrom three different markets. Portfolios are then generated dynamically using three weightingtechniques and subject to multi-objective criteria and additional constraints. The results indi-cate a significant variation in performance metrics between the model-generated portfoliosand the market indices. Replication of the procedure produces a similar outcome. Moreover,the out-of-sample tests conducted over 3 years validate the results’ robustness, indicating thatfuzzy TODIM, combined with GA, can achieve superior performance in dynamic portfolioallocation.Item Open Access How did credit guarantee fund supports affect the bank-loan network in Türkiye?(Elsevier, 2024-12-10) Topaloğlu Bozkurt, Ayça; Özyıldırım, SüheylaUsing granular data from the Turkish banking system, we investigate the effect of credit guarantee schemes (CGSs) in 2017 and early 2018 on bank connectedness originating from common borrower firms. Our empirical findings show that the CGSs affect the connectedness of banks differently. While CGSs significantly increases the connectedness of large and small banks, they do not have a significant effect on medium-sized banks. In addition, the connectedness of state-owned banks and private domestic banks are significantly increased with the CGSs. Moreover, the CGSs increase the centrality of the strongly connected banks, while they do not have a significant effect on the centrality of the moderately or weakly connected banks. Finally, we find that the negative relation between the connectedness of the banks and the bank loan portfolio riskiness strengthens with the CGSs.Item Open Access Newsvendor decisions under incomplete information: behavioural experiments on information uncertainty(Oxford University Press, 2024-04-25) Kocabıyıkoğlu, Ayşe; Önkal, D.; Göğüş, Celile Itır; Gönül, M. SinanAccepted by: Aris SyntetosExploring the effects of information uncertainty presents an extensive challenge to decision makers. This study presents a set of behavioural experiments that examine the impact of incomplete information on newsvendor decisions. Findings show that orders deviate from normative benchmarks when decision makers have incomplete information and this tendency is stronger when the demand distribution is not known. Comparison of decisions under incomplete information against behavioural benchmarks with full and no information reveal that the availability of price and cost information brings decisions significantly closer to normative levels when the underlying demand distribution is unknown. On the opposite spectrum, when demand information is available, not knowing price or cost does not lead to worse decisions. Analysing newsvendor profits under various information conditions, we find participants capture at most 84% of earnings they could have generated if they ordered the normative quantity in high-profit margin settings; the corresponding percentage is 51% in low-profit margin settings. Our results suggest decreasing uncertainty on the demand distribution has a consistently positive impact on profits, while uncertainty about cost or price does not have a significant effect. Implications of our findings on the differential impact of incomplete information are discussed via the backdrop of the prevalence of newsvendor framework across a wide range of operational decisions.Item Open Access Market reactions to COVID-19: Does systemic risk vary across industries? A Markov-switching CAPM approach(Routledge, 2023-02-13) Bulut, Emre; Marangoz, Cumali; Daştan, MuhammetDespite a broad consensus on the response of US stock market volatility to the coronavirus outbreak, our micro-level understanding of its variation across industries still needs to be improved. This study contributes to the existing literature by providing an industry-level analysis of the COVID-19 pandemic with two different states. Evidence from the MS-CAPM model indicates the role of portfolio diversification. Specifically, the results reveal that some industries, such as materials, real estate, communication, and utilities, have much higher expected returns. On the other hand, other sectors, including consumer discretionary, industrials, and information technology, become less volatile than the market during the lockdown period.Item Open Access Neocoloniality of marketing communications in the global south(Springer Nature, 2024-04-21) Ger, GülizMarketing communications, like other cultural products and popular culture, shape and are shaped by the society that produces them. They mirror the predominant values, worries, aspirations, and ideals of a society.Item Embargo Unknown unknowns: knightian uncertainty and corporate opportunistic earnings management(Wiley, 2024-01-01) Yao, Shouyu; Xie, Xiaochen; Boubaker, Sabri; Şensoy, Ahmet; Cheng, FeiyangUncertainty is inherent in the real world. Faced with Knightian uncertainty caused by many extreme events, this paper focuses on the analysis of corporate opportunistic earnings management behaviour under the unknown unknowns framework. This paper finds that with an increase in market Knightian uncertainty, corporations will significantly adopt both accrual earnings management and real earnings management. More importantly, when compared with upward earnings management, the results indicate that Knightian uncertainty will lead corporations to implement more downward earnings management. Our results are consistent with the big bath theory, which is also verified through the adjustment of non-recurring profit and loss accounts. To understand the real process of earnings management, we also discuss the strategic choice behaviour of earnings management under different heterogeneous situations.Item Open Access Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs(Elsevier Ltd., 2024-01) Banerjee, Ameet Kumar; Pradhan H.K.; Şensoy, Ahmet; Goodell, John W.We investigate the effects of the collapses of Silicon Valley Bank, Signature Bank, and First Republic Bank on the US financial sector by analysing returns and second moments of traditional financial and fintech ETFs. Using a network model, we examine high-frequency data sampled at one-hour intervals for seventeen ETFs encompassing pre- and crisis periods. We find, using a time-varying parametric vector autoregressive (TVP-VAR) and volatility impulse response analysis, that traditional financial ETFs are net transmitters of returns and volatility spillovers in the network, and that this impact is more pronounced in volatility in the period coinciding with the collapse of the three big banks. We identify effects persisting through the medium term. This study is among the first to comprehensively analyze the recent crisis in the US banking sector, covering a full range of the fall of three big banks.Item Open Access Economic policy uncertainty and options market participation: hedge or speculation?(Elsevier, 2024-04-16) Wang, Chunfeng; Li, Tong; Şensoy, Ahmet; Cheng, Feiyang; Fang, ZhenmingUsing data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.Item Open Access Option-based variables and future stock returns in normal times and recessions(Elsevier, 2024-10) Açıkalın, Özgür Şafak; Önder, ZeynepWe examine the prediction of future returns of optionable stocks trading in the US exchanges by several option-based variables for the period between 1996 and 2015. It is found that option-based variables are significant factors in estimating future stock returns in normal periods and during recessions. The spread between weighted averages of implied volatilities calculated with all call and put options of underlying stocks is found to have the highest effect on future stock returns. Although the mean squared errors of the option models are significantly higher during recessions than the expansion periods, the model with option-based variables outperforms the market model and the Fama-French Three Factor Model in both recessions and the whole sample period. The findings suggest that option-based models incorporate information about extreme events more than the traditional models.Item Embargo Volatility spillovers and hedging strategies between impact investing and agricultural commodities(Elsevier Ltd., 2024-07) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Şensoy, Ahmet; Goodell, John W.We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.Item Embargo Financial fusion: bridging islamic and green investments in the European stock market(Elsevier Ltd., 2024-07) Husain, Afzol; Karim, Sitara; Şensoy, AhmetGiven the historic decoupling nature of Islamic and green financial instruments with conventional financial markets this study investigated the interconnectedness of the European financial market with green and Islamic financial instruments amidst the unprecedented global dynamics and mounting uncertainties. Considering data from January 02, 2015, to October 03, 2023 and using TVP-VAR and Wavelet Coherence, our empirical findings challenge conventional assumptions about the behaviour of Islamic and green financial instruments in times of economic distress. While traditional financial instruments may falter, both Islamic and green financial instruments emerge as resilient options during market crises as indicated using quantile TVP-VAR as robustness measure. Both Islamic and Green bonds display remarkable potential for stability and resilience for European investors. For investors navigating the complexities of financial markets, especially during economic distress, our findings offer valuable guidance. Incorporating Islamic and green financial instruments, alongside diversified bond portfolios, emerges as a robust strategy. We strongly advocate the inclusion of both sukuk and green bonds in investment portfolios. Our result research also holds significant implications for policymakers.Item Open Access Participatory food provisioning via emerging technologies: revisiting prosumption and value creation beyond the anthropocene(Sage Publications, Inc., 2024-09) Ulusoy, E.; Vicdan, H.; Ekici, Ahmet; Tillotson, J. S.; Hong, S.; Mimoun, L.This commentary offers a timely exploration of participatory food provisioning via emerging food technologies. Through an in-depth analysis of case studies of these technologies, we elucidate the changing nature of prosumption in orchestrating food market provisioning. Our investigation highlights a shift toward a non-anthropocentric vision of market provisioning, where value creation transcends human-centered paradigms to include alliances between humans, technology, and nature. By articulating the nuanced dynamics and outcomes of these alliances in the food market, we propose a reimagined perspective on value creation, urging macromarketing scholars to consider the broader implications of technology-driven, participatory food systems. Ultimately, we emphasize the necessity of integrating human and non-human stakeholders in the discourse on value creation, and challenge conventional notions of control, democratization, and sociality within prevailing food-provisioning systems.Item Embargo How does the time-varying dynamics of spillover between clean and brown energy ETFs change with the intervention of climate risk and climate policy uncertainty?(Elsevier Ltd., 2024-06) Banerjee, Ameet Kumar; Özer, Zeynep Sueda; Rahman, Ramizur; Şensoy, AhmetThis paper studies how climate change risks and uncertainty in climate policies impact asset pricing. We analyze this issue through the interaction mechanism between clean and brown energy ETFs. We choose energy ETFs for their broader role in the transition phase as investment flows into clean energy ETFs with rising climate change risks. The paper analyzes the changing dynamics of interconnectedness between clean and carbon-energy assets as they differ in transmitting and receiving shocks between normal versus crisis periods in the backdrop of climate risk. Using daily data of clean and brown energy instruments with the TVP-VAR framework, we show that the asymmetric connectedness between the two instruments increases during crises. Specific clean and brown instruments are either net givers or receivers, and the climate risk and policy uncertainty variables are net receivers throughout the study periods. The results bring newer insights into interconnectivity, which have significant implications for market participants, especially for policymakers strategizing risk mitigation policies and the fund management industry for broader diversification and eco-savvy investors investing in eco-efficient portfolios offering better risk-return tradeoffs.Item Open Access Local-global cobrand positioning and consumer evaluations in emerging markets(Sage Publications, Inc., 2024-07-31) Osmanoğlu, Onur; Özsomer, Ayşegül; Biliciler, GunesCobranding initiatives between a local and a global brand have become a prominent practice. This research contributes to the cobranding and global branding literatures by investigating the effects of positioning strategy of the cobranded product (global consumer culture positioning vs. local consumer culture positioning) on consumer evaluations in emerging markets. In five experiments, the authors show that using global consumer culture positioning for the cobranded product leads to heightened word-of-mouth intentions and more favorable product valuations. This effect holds for both local and global product categories. Building on signaling theory, the authors show that brand credibility mediates the effect of positioning strategy on word-of-mouth intentions. Further, when the local (vs. global) brand is the announcement source, using a global rather than a local consumer culture positioning leads to enhanced word-of-mouth intentions. Yet, for consumers with stronger ethnocentrism, when the global brand makes the announcement of a cobranded product positioned on local consumer culture, word-of-mouth intentions are higher. Altogether, the findings have nuanced implications for local branding, global branding, and young consumers in emerging markets.Item Embargo Volatility connectedness between geopolitical risk and financial markets: insights from pandemic and military crisis periods(Elsevier Ltd., 2024-11) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.Geopolitical risk notably affects cross-market linkages and risk spillovers. However, the void remains in the extant literature, providing little empirical evidence on the risk spillover influences of geopolitical crises on different segments of financial markets. Employing a time-varying VAR framework to model a risk spillover network, this paper examines the risk spillover across geopolitical risk, stocks, bonds, forex, gold, and energy markets from crisis and long-term perspectives. Results show that the bond market plays a significant role in the spillover network. Results also identify more risk spillover during military conflicts than during the COVID-19 pandemic. Geopolitical risk intensifies under geopolitical threats and conflicts, amplifying cross-market spillovers, with geopolitical risk acting as a risk transmitter. Gold is a risk receiver in both the long-term and crisis periods, with risk spillovers from geopolitical risk to market segments being asymmetric. These findings have significant implications for policymakers and market participants.Item Embargo Firm commonality, bank connectedness and portfolio riskiness(Elsevier Ltd., 2025-01) Bozkurt, Ayça Topaloğlu; Özyıldırım, SüheylaWe propose a new connectedness measure that addresses heterogeneous multiple borrowing loan structure among banks. Using confidential data from over 44 million commercial loans from Turkish banks during 2007-2016, we construct a bank network that emerges from the banks lending to common firms. While the related literature mostly focuses on systemic risk, our framework allows us to empirically study banks' loan portfolio riskiness. First, we document that banks' portfolio riskiness decreases with connectedness, even when controlling for the impacts of loan size and multiple borrowing. Second, we find that the probability of loan default is higher for highly connected banks compared to weakly connected ones. These findings suggest that highly centralized banks seem to manage their overall portfolio risk better.Item Embargo Higher-order moment connectedness between stock and commodity markets and portfolio management(Elsevier Ltd, 2024-01-17) Mensi, Walid; Ko, Hee-Un; Şensoy, Ahmet; Kang, Sang HoonThis study examines the spillover in high -order moments for major stock markets in Europe, Japan, the UK, and the US (STOXX50, FTSE100, SP500, and NIKKEI225), and two representative commodities (Brent crude oil and gold futures) using 5 -min data from January 1, 2020, to May 31, 2022. The results show that spillovers vary across order moments, which are larger for realized volatility and jumps than for realized skewness and kurtosis. Moreover, gold is a net receiver of spillovers for all order moments, whereas oil switches from a net receiver of spillovers under both realized volatility and jumps to a net transmitter of spillovers in realized skewness and kurtosis spillovers. The US stock market is a net transmitter of spillovers in all realized moments, whereas other stock markets shift from net receivers to net contributors based on the moments. Furthermore, spillovers in high-order moments vary over time, and their trends behave differently over time. The spillovers in high -order moments increase during different phases of the COVID-19 and Ukraine -Russia wars. These findings have significant implications for fund allocations and financial risk management.Item Embargo Excessive financialization and “Original Sin Theory”: redemption from corporate reputation(Elsevier Inc., 2024-03-02) Wang, Hanying; Qi, Ju; Li, Zhuohua; Şensoy, Ahmet; Xing, HongweiEmpirical studies suggest that excessive financialization that firms invest in a high proportion of financial assets will have a negative impact on firm value. This goes against the capital asset pricing theory, which suggests that high risk can produce high expected return. However, there is no explanation for the negative effect. We have empirically found that financial investments can yield higher expected returns compared with physical investments at any level, which aligns with the capital asset pricing theory. However, excessive financialization can harm a company’s reputation, which can be measured through product and service competitiveness, research and development output, and corporate social responsibility. As corporate reputation is an important intangible asset, excessive financialization has a negative impact on the overall firm value. Furthermore, excessive financialization has a greater negative impact on corporate reputation for firms with high financial leverage and sensitivity to economic policy uncertainty.