Browsing by Author "Ozturk, Mustafa"

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Citation - WoS: 9
Citation - Scopus: 13
Empirical examination of REITs in Turkey: An emerging market perspective
(Emerald Group Publishing Ltd, 2009) Bora Aktan; Mustafa Ozturk; Aktan, Bora; Ozturk, Mustafa
Purpose: The aim of this paper is to investigate the risk-return relationship of REITs listed on the Istanbul Stock Exchange (ISE) in order to assess the risk and to find some empirical results for investors within the framework of modern portfolio theory (MPT) using the standard version of the capital asset-pricing model (CAPM) and the single index model (SIM) over the period January 2002-June 2008. Design/methodology/approach: Time series cross-sectional regression and structural literature review are employed. Findings: Results indicate that linearity assumption for both the CAPM and the SIM are rejected. It should be emphasized that the econometrical specification exposed the weaknesses of t-test methodology for testing coefficients of regression due to the non-normality of residuals. Originality/value: Understanding of risk and its resultant impact on the returns and evaluation of risk-return relationship is extremely important for investors. In this regard real estate investment trusts (REITs) as indirect investment instruments are increasingly becoming an important part of investors' diversified portfolios to lessen the risk. The study is the first attempt to explore the structure of REITs in Turkey as an emerging market. © Emerald Group Publishing Limited. © 2009 Elsevier B.V. All rights reserved.
Citation - Scopus: 13
Wavelet-based systematic risk estimation an application on istanbul stock exchange
(2009) Bora Aktan; Anouar Ben Mabrouk; Mustafa Ozturk; Najet Rhaiem; Mabrouk, Anouar Ben; Ozturk, Mustafa; Rhaiem, Najet; Aktan, Bora
Systematic risk estimations are broadly used in investment analysis and portfolio management. The popular measure of systematic risk is the CAPM beta. The CAPM states that the expected return on an asset depends upon its level of systematic risk. The asset's systematic risk is measured relative to that of the market portfolio. The Model has been questioned by several empirical studies focused on the impact of return interval of betas. This paper attempts to estimate the CAPM at different time scales for an emerging market. In this study we adopt wavelets analysis a relatively new and innovative approach in finance proposed by Gencay et al. (2002) as the key empirical method for examining the relationship between the return of the stock and its systematic risk at different time scales. The proposed procedure is acted on a sample composed of 98 randomly selected stocks listed on Istanbul Stock Exchange (ISE) actively traded over 2003-2007. It has proved that the relationship between the return of a stock and its beta is more robust at medium scale. This evidence shows that the Turkish stock market is more efficient in the 3rd scale (8-16 days). This finding therefore shows that the predictions of the CAPM are more relevant at the medium-horizon in a multi-scale framework as compared to the other horizons.©EuroJournals Publishing Inc. 2009. © 2009 Elsevier B.V. All rights reserved.