Browsing by Author "Bengitoz, Pelin"

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Citation - Scopus: 2
Linkage between company scores and stock returns
(Centre of Sociological Research, 2017) Şaban Çelik; Bora Aktan; Manuela Tvaronavičienė; Pelin Bengitöz; Celik, Saban; Aktan, Bora; Bengitoz, Pelin; Tvaronaviciene, Manuela
Previous studies on company scores conducted at firm-level generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies this study examines the relationship between company scores (Corporate Governance Score Economic Score Environmental Score and Social Score) and stock returns both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1) is tested. In addition firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns, firm-level analysis indicates that economic environmental and social scores have effect on stock returns however significance and direction of these effects change depending on the included control variables in the cross-sectional regression. © 2021 Elsevier B.V. All rights reserved.
Citation - WoS: 12
Return range and the cross-section of expected index returns in international stock markets
(AMER INST MATHEMATICAL SCIENCES-AIMS, 2021) Mehmet Umutlu; Pelin Bengitoz; Bengitoz, Pelin; Umutlu, Mehmet
This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of standard deviation due to the range's high correlation with standard deviation and strong predictive ability. Range standard deviation and idiosyncratic volatility are cross-sectionally linked to future returns on indexes of small size while earnings-to-price ratio and net share issuance predict returns of mid-cap and large-cap indexes respectively. Maximum and minimum return effects along with the momentum effect are prevalent in returns of indexes of any size but stronger for small-cap indexes.