Dept. of Management - Master's degree

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  • ItemOpen Access
    What do the option-based variables tell us about future returns?
    (Bilkent University, 2023-08) Açıkalın, Özgür Şafak; Önder, Zeynep
    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.
  • ItemOpen Access
    Is online investor attention priced in cryptocurrency markets?
    (Bilkent University, 2023-08) Söylemezgil, Sevgi; Şensoy, Ahmet
    This study examines the relationship between investor attention on online platforms and cryptocurrency returns. Using a dataset from Twitter, Reddit, and Google Trends for the ten largest cryptocurrencies, I constructed an Investor Attention Index by employing Principal Component Analysis. Using linear regression, vector autoregression and a long-short portfolio methods, I explore the link between investor attention and returns. The results suggest that the attention index is not able to explain crypto returns, however, the inverse relationship is found to be highly significant. This finding may be interpreted as cryptocurrencies being already priced by the time they become popular on online platforms, hence the retail investor attention represented by the data is not a factor that affects the prices of crypto assets.
  • ItemOpen Access
    The effect of online sports spectatorship on consumers’ subjective well-being (SWB)
    (Bilkent University, 2023-08) Tayyab, Muhammad; Ekici, Ahmet
    Recently, virtual technologies are either complementing or taking over traditional business models that used to happen in-person. The COVID-19 pandemic is one externality that stimulated this occurrence in sports. Through a quantitative research design involving online surveys, this study investigates the relationship between online sports spectatorship and consumers' subjective well-being (SWB). More specifically, drawing upon theoretical frameworks from psychology, marketing, communication, and sports management, mainly focusing on theories like the social determination theory (SDT), parasocial interaction, and flow theory, this research aims to provide a comprehensive understanding of the underlying mechanisms that seek to explore how the construct of online sports spectatorship influences consumers’ subjective well-being (SWB). The research objectives encompass several key aspects. First, the study seeks to identify the variables influencing consumers' online sports spectatorship behavior. These factors may include aspects such as the level of immersion in the online experience, the sense of connection with the sporting event, and the perceived enjoyment derived from virtual sports engagement. Understanding these factors can provide valuable insights into how online sports experiences contribute to consumers' subjective well-being (SWB). Second, this study seeks to empirically test out four independent variables that make up the construct of online sports spectatorship and how they impact the dependent variable of subject well-being (SWB), contrary to past studies that either focus primarily on motivational factors’ considering subject well-being (SWB) as a mediating variable or only provided qualitative evidence of the existence of such a relation. Third, my research considers the mediating effect of team identification between the independent and dependent variables, after controlling for several factors like age, gender, occupation, and streaming preferences. Overall, online sports platforms often offer opportunities for fans to interact with each other, share their passion for the sport, and build a sense of community. As such, the study examines how these social interactions influence consumers' subjective well-being and contribute to their overall satisfaction with the online sports spectatorship experience. Through direct and indirect testing, the results indicate that perceived autonomy, and vividness, are indirectly associated with subjective well-being (SWB), subject to mediation by team identification. In conclusion, this thesis fills a critical gap in current knowledge regarding the effect of online sports spectatorship on consumers' subjective well-being. By investigating the factors influencing subjective well-being (SWB), examining psychological and emotional outcomes, and considering the role of team identification, the study offers valuable insights into the impact of online sports spectatorship on consumers’ subjective well-being (SWB). An important theoretical implication of this study is the testing of Rejikumar et. al’s (2022) conceptual model empirically to show how perceived autonomy and vividness affect subjective well-being (SWB), subject to mediation by the factor of team identification. Furthermore, a crucial managerial implication that comes out of this study is how marketing professionals can leverage the technological affordances of online sports streaming platforms to focus on providing richer and highly interactive experiences to viewers, which can potentially lead to higher levels of subjective well-being (SWB).
  • ItemOpen Access
    Bridging the ‘traditional’ and the new: changing tastes and the new high-end market of Turkish delight
    (Bilkent University, 2023-08) Keleş, Canan; Ger. Güliz
    This thesis examines changing consumer preferences and market dynamics regarding the 'traditional' Turkish delight in the late 2010s. It demonstrates the emergence of a new generation of Turkish delight that maintains its 'traditional' attributes while incorporating global consumer trends. I analyze the transformation of the Turkish delight market by dividing it into historically significant periods. This study considers the historical and socio-economic factors that have shaped the Turkish delight market since its origins in the Ottoman Palace. Initially produced and consumed only within the Ottoman period, Turkish delight became publicly available with the Hacı Bekir brand after the 18th century. In the late 2010s, the new generation of Turkish delight became a preferred product for consumers aiming to combine tradition with global consumption trends. New generation Turkish delight consumers value natural and distinguished ingredients while respecting a cultural heritage and traditions. This research delves deep into the preferences of the new generation consumers for a relatively expensive new generation Turkish delight and examines the emerging niche market. Through qualitative research methods, the thesis involved interviews with 10 consumers of the new generation of Turkish delight. Three key themes account for Turkish delight's changing preferences and tastes: global health concerns, appreciation of heritage, and evolving global taste regimes. These dimensions shape Turkish consumers' choices and serve as a bridge between tradition and innovation. The concluding section discusses the contributions of the study while also acknowledging its limitations. Lastly, recommendations are provided for future research endeavors.
  • ItemOpen Access
    Balance sheet conservativity and cross-section of stock returns
    (Bilkent University, 2023-08) Erkenci, Dündar Alp; Şensoy, Ahmet
    The present study delves into the examination of various balance sheet measures and their significance in the cross-sectional pricing of stocks, to provide unique insights into the understanding of financial risk and its relation to balance sheet metrics. Based on these metrics, our study also sheds light on the importance and stability of a composite factor and its influence on stock prices. The findings of univariate portfolio sorts reveal that BLC (along with its parameters CDA, WCA, and LTDA) is a strong indicator of stock returns, corresponding to statistically significant seven-factor alphas for the high-low portfolios. Consistent results among bivariate portfolio sorts also support the BLC factor strength. The outcomes of Fama-Macbeth regressions for separate BLC parameters indicate positive risk premiums for each parameter when tested against ten different return predictors. Among other balance sheet measures, LTDA is the only BLC parameter associated with the capability to isolate significant risk premiums not proxied by extant anomalies in the literature. Comprehensive findings that are also supported by the summary statistics collectively indicate mixed effects of risk and underreaction-driven mispricing to explain the abnormal stock returns associated with the high-BLC characteristics of their issuers. The findings reveal high-performing investment strategies based on these metrics, and collectively favor more conservative financial policies for the stock-issuing firms.
  • ItemOpen Access
    The role of nationalism in shaping consumers’ data privacy concerns and reactions to these concerns
    (Bilkent University, 2022-12) Güven, Furkan Adem; Ger, Güliz
    This thesis examines the role of nationalism in shaping consumers’ data privacy concerns and reactions to these concerns. Data privacy concern is a growing issue; yet we do not know much about the role of nationalism in consumers’ data privacy concerns. In this thesis, I focus on the case of WhatsApp’s new data privacy policy crisis in 2021 in Turkey. In this crisis, consumers discussed data privacy concerns about the local and global brands through their nationalist ideology. I used netnography to collect data from various data sources. In the discourse of nationalism, the findings show that consumers associate various respective local and foreign actors to build trust in local and distrust in global brands by emphasizing the relationship between brands and other actors such as governments, institutions, and politicians. Also, consumers construct data privacy concerns at the collective national level and legitimize the government’s involvement in data collection and processing. Moreover, consumers have concerns about global brands’ discriminatory data privacy policies and then show consumer resistance to these brands. Consumers also have data privacy concerns due to the domination of global brands in the market and encourage others to use the local app to battle against the dominant global brands. Overall, this study shows that consumers’ data privacy concerns and reactions to these concerns are not only shaped by the relationship between consumers and brands at the individual level but also shaped by social, cultural, and political factors within a particular context at the macro level.
  • ItemOpen Access
    On a multiple item replenishment problem in the presence of carbon emissions
    (Bilkent University, 2022-09) Şenyuva, Ilgın Efe; Berk, Emre
    Motivated by the increasing popularity of sustainability issues, and the opportunities to create positive value through collaboration, the purpose of the study is to investigate a joint replenishment model in the presence of carbon emissions. The joint replenishment problem here is one where there is a deterministic demand rate over an infinite time horizon where there are major fixed, minor fixed, holding, and per unit costs and emissions. Since extensive research has been done on carbon caps and carbon tax, in order to differentiate the thesis from the existing work, a novel objective function is implemented. Through this, the optimality of the objective function has been investigated and the obtained results prove the concavity of the objective function for the common order interval and joint concavity for the item-specific order intervals. Relationships between the parameters of the variables are obtained to decrease the computational complexity. Lastly, basic numerical analysis is conducted to compare the performance of the objective function to traditional objective functions.
  • ItemOpen Access
    Covid-19 pandemic merger wave
    (Bilkent University, 2022-08) Ançel İlaslan, Zeynep; Günsür, Başak Tanyeri
    This thesis investigates whether the Covid-19 pandemic initiated merger waves at the aggregate and industry level. Recovery from the Covid-19 pandemic coincides with economic expansion, industry shocks and stock market boom, all potential triggers of restructuring activity. My sample covers 104,464 merger and acquisition deals of public and private US target firms from April 1, 2012, to March 31, 2022. In order to identify industry-level merger waves, I simulate the distribution of monthly deals. I then calculate the probability that the realized peak deal concentrations in any 24-month period are within the 95th percentile of the simulated distributions. I identify an industry as experiencing a merger wave if the realized deal concentration in any 24-month period is in the upper five percent of the simulated distribution of monthly deals. The method yields 37 industry-level merger waves between April 1, 2012, to March 31, 2022. 23 of these waves start during the Covid-19 pandemic period from January 1, 2020, to March 31, 2022. Deals in industry-level merger waves comprised around 80 percent of all deals in the Covid-19 pandemic period and formed an aggregate merger wave that started on April 1, 2020.
  • ItemOpen Access
    European closed-end fund discounts: effect of Covid-19
    (Bilkent University, 2022-09) Çetin, Ferda; Önder, Zeynep
    This thesis analyzes behavior of Closed-end fund discounts (CEF) under the novel circumstances of the global pandemic that crushed the financial markets starting from early 2020. As literature argues CEF discounts to be affected and explained by the investor sentiment, I expect discounts display the sentiment shifts in the market. Using the CEFs trading in European Exchange Markets, for the period of 2017-2021, I apply linear regression, and found that discounts significantly increase with risk factor (beta) and transaction costs proxy and decrease with dividend yield, turnover, size of the fund, and market returns including House Price Index, controlling for country and fund portfolio asset class focus fixed effects. Results of regression models indicate that CEF discounts widen after the first cases confirmed in the country, as Covid-19 pandemic create a negative shock on investor sentiment. The optimism in the market after the administration of vaccination started is also reflected through CEF discounts as they shrink with vaccination effect. Moreover, I find that new cases and new deaths of Covid-19 are significant predictors for CEF discounts, implying that investors are affected by the main Covid-19 related publicly available data.
  • ItemOpen Access
    Ownership and risk in deposit and development banks
    (Bilkent University, 2021-09) Üren, Egem Dilşad; Önder, Zeynep
    This thesis studies the risk-taking behavior of banks, classified according to their ownership status and deposit collectability, operating in Turkey for the sample period 2004-2020. The aim of this thesis is to investigate whether the risk-taking behavior of development and investment banks in comparison to deposit banks, state-owned and foreign banks in comparison to privately-owned banks are different from each other while also taking the global financial crisis of 2008 and the expansion of the Credit Guarantee Fund (CGF) since 2017 into account. The risk-taking behavior of banks with respect to their counterparts is measured by four variables by the fixed-effects: the natural logarithm of the Z-score, loan loss provisions ratio, non-performing loans ratio and the volatility of return on assets. Bank-level control variables employed are bank size, total loans-to-total assets ratio, return on assets, the liquidity ratio, non-interest income ratio, growth in real total assets, the listing status of banks in the equities and debt securities market of Borsa Istanbul. The macroeconomic control variable employed is the growth in real Gross Domestic Product (GDP). The results of my thesis show that depending on the risk measure used, we get different empirical results.
  • ItemOpen Access
    Popularity of a movie and financial success
    (Bilkent University, 2021-08) Öztekin, Halenur; Özyıldırım, Süheyla
    This thesis focuses on how the popularity of a movie and related factors such as di-rector and casting worth affect the financial success of a movie and the market value of the distribution company when there is an unexpected loss or gain. Also, the thesis attempts to examine the determinants of the stock price of a movie on the virtual stock market, the Hollywood Stock Exchange. Cross sectional analysis is exercised using data from 450 films released in 2019. The findings show that popularity is a positive and significant factor in predicting box office revenue. Director's previous success makes a significant positive impact on the financial success. Casting worth, determined by the previous financial success of the actor/actress, derives movie suc-cess financially. Unexpected revenue gained/lost is found to make no effect on cu-mulative abnormal returns. The stock price of a movie on the Hollywood Stock Ex-change highly depends on revenue and public awareness (number of news, theaters, popularity of a movie and number of weeks).
  • ItemOpen Access
    The impact of short sale disclosure frequency on pricing efficiency
    (Bilkent University, 2021-06) Turgay, Muhammed Altuğ; Şensoy, Ahmet
    Short sales are beneficial to markets since they tend to provide liquidity and improve pricing efficiency by revealing new information, given that short sellers are generally accepted as informed investors in the finance literature. After the global financial crisis of 2007-2009, media and policymakers blamed short sellers for distressing share prices and many countries introduced new mandatory short sale disclosure procedures. While the global trend is to enhance market transparency on short sales, Borsa Istanbul reduced their short sale disclosure frequency from twice a day to once a day on 30th of October 2015. This study aims to investigate the effect of frequency of short sale disclosure on pricing efficiency in short and long period lengths, using the disclosure frequency change in Borsa Istanbul on 30th of October 2015 and its effects on shorting demands, returns, volumes, bid ask spreads, turnover ratios and volatilities. The most prominent result of this thesis is that the reduced short sale disclosure frequency decreases the short demand significantly in long period length, while the short sales shift to more informed trading and trend chasing behavior of uninformed traders decreases. The volatilities are affected significantly and positively, volumes and turnover ratios are affected significantly and negatively in the short period lengths consistently to existing literature. At the same time, the negative effect on returns is controversial and results of the long period length are mixed and difficult to interpret.
  • ItemOpen Access
    “The (not so) queer art of flopping”: makeover shows and the formation of neoliberal subjectivity
    (Bilkent University, 2020-12) Turan, Orçun; Göğüş, Celile Itır
    This thesis examines the integral part makeover shows play in the formation of neoliberal subjectivity. The hegemonic neoliberal ideology demands citizens to claim responsibility for the social welfare services and offerings that the states cease to provide. The idealized citizenship in this system is a self-enterprising, responsible, and autonomous one who has or strives to have self-esteem in order to become and remain the best version of oneself. The subjectivity neoliberalism (re)constructs and promotes can be seen in cultural products, too. Television, particularly makeover reality television, has an informative part in the formation of this subjectivity. The experts makeover shows employ portray and eventually teach the audience how to conduct themselves without the help -social welfare- the states are supposed to offer. Borrowing Michel Foucault’s conceptualization of “governmentality”, the conduct of conduct for the citizen, this research aims to reveal the neoliberal governmentality displayed in makeover shows through experts’ tutorials of the idealized neoliberal lifestyle and consumership. While doing so, this thesis uses the American makeover reality show, Queer Eye as its context. In addition to drawing from the critical governmentality literature, the thesis uses Halberstam’s low theory in order to provide an alternative understanding of success/failure that is beyond the binary neoliberal definition of these terms, and questions the possibility for a (queer) alternative way of being.
  • ItemOpen Access
    Does bitcoin improve optimal portfolios? A stochastic spanning approach
    (Bilkent University, 2020-09) Rahiminejat, Monireh; Şensoy, Ahmet
    The thesis evaluates the impact of Bitcoin as a means of portfolio diversification on different stochastically efficient portfolios. Here, the stochastic efficient portfolios are the results obtained by applying the stochastic spanning model on 11 different asset classes of various sectors of the financial market. Bitcoin exclusive and inclusive portfolios are compared with Sharpe ratio. Results reveal that in most of the cases, Bitcoin improves the optimal portfolio and should be considered as an asset to be included in investments.
  • ItemOpen Access
    When does brand foreignness matter for ethnocentric consumers in developing countries? the role of emotions and national icon products
    (Bilkent University, 2020-07) Yılmaz, Alım; Kurdoğlu, Rasim Serdar
    It is widely known that an increase in the perceived quality of a brand significantly increases one’s intention to purchase that brand. According to the signaling theory, the foreignness of a brand may act as a sign of quality. In developing countries, foreign brands originating from developed countries are identified with wealth, prestige, allure, and superiority; these features lead consumers to consider them higher quality. However, for ethnocentric consumers, as the social identity theory suggests, a higher perceived foreignness of a brand may become an out-group sign that decreases one’s perception of brand quality, and which eventually decreases purchase intentions. Despite these expectations, there is no obvious pattern demonstrating a relationship between perception of brand foreignness, brand quality, and the purchase intentions of ethnocentric consumers. To explore a relevant pattern, I focus on the purchase intentions of ethnocentric consumers for products that are categorized as national icons. As ethnocentric consumption hints at an emotional attachment to one’s own culture, I investigate the effect of emotions on ethnocentric consumption through observing changes in the purchase intentions for national icons. Drawing on the appraisal tendency framework, I hypothesize that incidental emotions (i.e., mood) moderate the relationships among perceived brand foreignness, perceived brand quality, and purchase intentions in such a manner that each emotion has a distinct effect on judgments and decisions surrounding quality and purchase. ANOVA and OLS regression analyses illustrate that the national icon status of a product on its own does not have a statistically significant effect on the purchase decisions of ethnocentric consumers. By contrast, when the incidental emotion of anger is present, the purchase intention for national icon products with foreign brand names decreases significantly; incidental anger triggers a shallow heuristic decision which amplifies stereotypical reasoning.
  • ItemOpen Access
    Investors’ reaction to litigation announcements by Capital Markets Board of Turkey
    (Bilkent University, 2019-09) Özçiçek, Mahmut Mustafa; Tanyeri, Ayşe Başak
    I empirically investigate investors’ reaction to the litigations announcements published by Turkish Capital Markets Board (CMB). I use event study to analyze daily abnormal returns for significant market reactions. I compile a litigation announcements sample that spans 202 events of 145 unique stocks between January 20, 2012 and January 3, 2019. My findings show that investors perceive litigations announcements as bad news. Statistically significant negative responses happen both on event day and two days after, hinting difference in investor behavior. I find that the negative reaction to the news are significantly higher for corporations announcements than they are for individual announcements. The negative reaction is significantly higher for indictments announcements than they are for administrative fees.
  • ItemOpen Access
    Accountant or advisor? Role of CPAs on family SME performance
    (Bilkent University, 2019-05) Sırdar, Kağan; Kiessling, Timothy Scott
    Building on Knowledge Based View (KBV) this thesis investigates the formation and the effect of external Chartered Public Accountants’ (CPA) advising services on the performance of family Small and Medium-Sized Enterprises (SME). The results of the study show that family SMEs that utilize internal accounting professionals for basic tasks are more likely to use their external accountant (CPA) for advising tasks, which in turn results in higher performance. The theoretical contributions of this study are first, addressing a research gap in family SME research by signifying the effect of CPA’s advising role on family SME performance (Barbera & Hasso, 2013; Dyer & Ross, 2007); second, challenging the view that conceptualizes basic accounting tasks as an enabler for CPAs to provide advising services to family SMEs; and third, offering a way of combining internal and external knowledge resources to enhance the performance, which contributes a managerial implication as well. Future research can build on the results of this study that combines the perspectives of firms and CPAs simultaneously.
  • ItemOpen Access
    Use of currency hedging instruments by non-financial Turkish firms
    (Bilkent University, 2018-09) Akay, Mustafa; Önder, Zeynep
    Having significant exchange rate exposure, Turkish non-financial firms face both operational and financial risk caused by exchange rate movements. Despite not being as deep as in the developed countries, Turkish financial markets offer currency hedge instruments. Although Turkish firms have option for hedging against currency risk, it is observed that use of those instruments is not common for Turkish firms. This thesis aims to examine firm specific factors that affect the use of hedging instruments as well as the degree of hedging. A sample of 178 Turkish non-financial firms listed in Borsa Istanbul is examined for the period between 2007 and 2017. The use of currency derivatives is considered appropriate representation of hedging tendency for Turkish firms, as FX positions of firms arise from derivative contracts are reported accurately in disclosures of financial reports. It is found that firm size and leverage have a positive effect on the probability of using currency derivatives whereas fixed asset ratio has negative effect. Moreover, liquidity buffer as a substitute for derivative usage is found to reduce the degree of hedging.
  • ItemOpen Access
    Determinants of large stock price movements: a perspective from the options market
    (Bilkent University, 2017-12) Çelik, Duygu; Savaşer, Tanseli
    I empirically investigate the information role of trading volume of call and put options on large stock price movements. I define two variables -crash and jump- to indicate large stock price movements with respect to average return of previous 60- months for each company. Moreover, I use price-based measures and O/S ratio to indicate informed traders in the options market. The sample consists of comprehensive monthly U.S. options and stock market dataset, for 2778 individual firms, which spans the period between 1996 to 2015. I find that volume of put and call options has information about large negative movement in contrast to previous literature both before a jump and a crash. Specifically, before a crash, investors prefer to buy out-of-money put options. Moreover, put volume has a higher predictive power than call volume on crash variable. Before a jump, investors become reluctant to trade in options market. These results document that investors behave asymmetrically before good and bad news.
  • ItemOpen Access
    Market reaction to private equity deal announcements
    (Bilkent University, 2017-10) Bilgel, Süheyl; Tanyeri, Ayşe Başak
    This thesis investigates whether and how target shareholders benefit in leveraged buyout deals in which the target is a public company and the acquirer is a private equity firm. We conduct an event study and run cross sectional regressions of cumulative abnormal returns (CARs) on various firm characteristics. Target CARs average 21.17% in the 3-day event window surrounding the announcement of leveraged buyout transactions. Regression results indicate that CARs decrease with target firm size.