Browsing by Author "Umutlu, Mehmet"

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Citation - WoS: 13
Citation - Scopus: 13
Alpha momentum and alpha reversal in country and industry equity indexes
(ELSEVIER, 2019) Adam Zaremba; Mehmet Umutlu; Andreas Karathanasopoulos; Karathanasopoulos, Andreas; Zaremba, Adam; Umutlu, Mehmet
Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (long-term) alphas positively (negatively) predict future returns. These phenomena can be translated into effective international equity allocation strategies producing economically and statistically significant raw and risk-adjusted returns. The profitability is robust to many considerations including alternative alpha models the role of trading costs different holding periods or subsample analyses. Furthermore the alpha momentum subsumes its return-based counterpart.
Citation - WoS: 1
Citation - Scopus: 1
Are return predictors of industrial equity indexes common across regions?
(PALGRAVE MACMILLAN LTD, 2023) Pelin Bengitoz; Mehmet Umutlu; Bengitöz, Pelin; Umutlu, Mehmet
We investigate the potential cross-sectional relationship between several equity index attributes and future returns on country-industry indexes in the regions of North America Europe Asia-Pacific South America MENA and Japan. Index attributes include the recently documented predictors in the cross-section of stock or index returns such as return range maximum and minimum returns in a month idiosyncratic skewness as well as widely documented predictors at the stock level. Maximum and minimum effects are common for all regions. Return range significantly predicts returns in Europe Asia-Pacific and South America after controlling for other index attributes. Standard deviation and idiosyncratic volatility have strong predictive ability in Europe Asia-Pacific South America MENA and Japan. Intermediate term momentum forecasts returns on North American and European portfolios. Earnings-to-price ratio is cross-sectionally linked to returns in Europe. Portfolio sorts show that the predictive power of significant index attributes increases with decreasing index size.
Borsa İstanbul'da çeşitli beta ölçütleri ve hisse senedi getirileri: Portföy düzeyinde bir çalışma
(2015) Bengitöz, Pelin; Özgürel, Banu; Umutlu, Mehmet
Investors consider two fundamental characteristics in their investment decisions, which are risk and returns. Capital Asset Pricing Model (CAPM) analyzes the relationship between these two characteristics. According to this model, there is a linear and positive relationship between systematic risk, , and stock return. Besides many empirical studies testing the relationship between systematic risk and stock return at the firm level, the number of empirical studies testing this relation at the portfolio level is increasing in recent years. In this study, the effects of conditional, rolling and static beta measures on stock returns are examined at Istanbul Stock Exchange (ISE) for the period between July 1995 and August 2006. Unlike previous studies on BİST, the effect of systematic risk measures on stock returns is investigated by conducting portfolio-level analyses. Monthly conditional beta is estimated using daily returns within a month. Past twenty-four months of monthly return data are also used to estimate monthly rolling betas. Furthermore, static beta is estimated by using the full sample of monthly returns with the assumption of no time variation in betas. The tests are performed for the pre-, post and during crisis periods as well. Full sample and sub-sample test results show that conditional, rolling and static beta measures do not explain the stock returns at ISE for the period between July 1995 and August 2006.
Çeşitli yatırımcı gruplarının hisse senedi alım-satım işlemleri ve pazar getirisi arasındaki etkileşim
(2015) Gültekin, Melis; Umutlu, Mehmet
Finans literatüründeki birçok çalışmada portföy yatırımları ile endeks getirisi arasındaki ilişki veya etkileşim incelenmiştir. Fakat bu çalışmaların birçoğu aylık veya yıllık frekansta gerçekleştirilmiş olup, dar bir yatırımcı sınıflandırması altında yapılmıştır. Bu tez çalışmasında üç farklı yatırımcı grubunun hisse senedi alım-satım işlemleri ile Pazar getirisi arasındaki etkileşim günlük frekansta ve Kore Borsası'nda KOSPI200 incelenmiştir. Vektör Ardışık Bağlanım (VAR) yöntemi ile yapılan analiz sonuçlarına göre yabancı ve bireysel yatırımcıların momentum yatırım stratejisi izlediği görülürken, kurumsal yatırımcıların zıtlık stratejisi izlediği bulunmuştur. Kriz döneminde ise, kurumsal ve bireysel yatırımcıların yatırım stratejilerini değiştirmedikleri görülmüştür. Diğer taraftan, kriz döneminde tüm dönemde olduğu gibi yabancı yatırımcıların net alımları ile geçmiş endeks getirileri arasında pozitif yönde bir korelasyon olduğu, fakat tüm dönemden farklı olarak bu korelasyonun istatistiksel olarak anlamlı olmadığı bulunmuştur.
Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
(ROUTLEDGE JOURNALS TAYLOR & FRANCIS LTD, 2021) Mehmet Umutlu; Pelin Bengitoz; Adam Zaremba; Bengitöz, Pelin; Zaremba, Adam; Umutlu, Mehmet
We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the EP components such as lagged EP changes in earnings short-term momentum and long-term reversal in prices increase the accuracy of return forecasts. The EP decomposition matters in developed markets but is pointless in emerging countries. The results are robust to modifications in the methodology sub-period analyses the use of an alternative sample and remain unchanged after controlling for net share issuance size and fixed country and time effects.
Citation - WoS: 18
Citation - Scopus: 20
Does idiosyncratic volatility matter at the global level?
(ELSEVIER SCIENCE INC, 2019) Mehmet Umutlu; Umutlu, Mehmet
I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. I offer four definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions which are free from factor models. Regardless of whether I use model-dependent or model-independent measures I find no evidence of a robust and significant relation between the aggregate GIVOL and the global market return. This result is valid for four different sub-periods and four different subsamples reflecting the different states of the economy and the stock market. It is also robust to the inclusion of several control variables. As global idiosyncratic volatility is not a priced factor in the intertemporal asset pricing framework the results indicate that international diversification is still effective in eliminating idiosyncratic volatility despite the globalization process.
Economic Growth and Financial Development: Evidence from Panel Cointegration Tests in Emerging Countries
(INT JOURNAL CONTEMPORARY ECONOMICS & ADMINISTRATIVE SCIENCES, 2023) Melis Gultek; Mehmet Umutlu; Gultek, Melis; Umutlu, Mehmet
In This study analyzes the long-run relationship between economic growth (EG) and financial development (FD) in 27 emerging countries over the period 1980 to 2018 by employing the Johansen-Fisher panel cointegration method. The study also performs the vector error correction model (VECM) to determine the direction of a causal relationship among the variables. Two components of the index of financial development introduced by Svirydzenka (2016) financial markets and financial institutions indices are employed to reveal through which channels EG has a long-term association with FD. Empirical findings show a significant long run association between EG the overall index of FD and its lower-indices. Furthermore the results from panel VECMs indicate a one-way unidirectional causality between EG and the FD index while there is a two-way causality between EG and financial markets as well as between EG and financial institutions indices in the short run. We obtain similar results with Kao and Pedroni panel cointegration tests. We also show that financial institutions and financial markets indexes significantly affect economic growth in the long run. Thus policy makers in emerging markets should take actions that facilitate the development of financial markets and institutions to increase GDP per capita.
Essays on Financial Development in Emerging Countries
(2022) Gültekin, Melis; Umutlu, Mehmet
Financial development plays a part in the enhancement of growth, and its goal is to decrease poverty. If a country develops its financial system, it will improve its functions by improving public services, productivity, wealth, and increasing savings, and access to credits. In the first chapter of this dissertation, financial development and its determinants are explained in detail. It is discussed why financial development is important for emerging countries, and how it can be accomplished and sustained. In the second chapter, the association between financial development and financial openness is analyzed by using panel data regression for 27 emerging countries from 1996 to 2016. The second Chapter especially emphasizes three different financial openness measures which are trade, capital account and stock market openness. This issue is particularly important for emerging markets trying to improve their financial system to raise much-needed capital for investment projects. The financial development variable is measured by three different ratios: stock market capitalization/GDP, liquid liabilities/GDP, and private credits/GDP. Alternative measures are also employed for trade and capital account openness. Moreover, capital flow-based and valuation-based variables used in this chapter for measuring stock market openness have not been employed to explain financial development in the literature before. Empirical results suggest that openness to trade and openness to the capital account are the key factors for accomplishing financial development. These outcomes are also robust to the use of alternative financial development and financial openness variables and after controlling for institutional quality and its sub-components. The results of this chapter will have implications for policymakers in emerging markets who endeavor to raise the depth of their financial markets for easier and cheaper access to funds. In Chapter Three, the long-run association between financial development and economic growth is investigated by performing the Johansen-Fisher panel cointegration method for 27 emerging countries between the years 1980 to 2018. The Vector Error Correction Method (VECM) is also applied to determine the direction of a causal relationship between economic growth and financial development The two components of the overall financial development index developed by Svirydzenka (2016) (financial institutions index and financial markets index) are used to discover through which channels economic growth has a long-term association with financial development. This multi-dimensional variable explains the nature of financial development more inclusively than other alternative measures. This chapter's empirical outcomes suggest that there is a significant long-run relationship between economic growth, the overall financial development index, and its sub-indices. Likewise, outcomes from panel VECMs display a unidirectional causality between economic growth and the overall financial development index whereas bidirectional causality occurs among economic growth, financial institutions and financial markets indices. These outcomes are also robust to the use of Pedroni and Kao panel cointegration tests. The outcomes reveal that both financial markets and financial institutions have a significant effect on economic growth in the long run. Hence, the results of this chapter have implications for policymakers in emerging markets who try to develop economic growth.
Citation - WoS: 4
Financial Openness and Financial Development: Evidence from Emerging Countries
(ISTANBUL UNIV SCH BUSINESS, 2020) Mehmet Umutlu; Melis Gultekin; Hakan Ozkaya; Ozkaya, Hakan; Umutlu, Mehmet; Gultekin, Melis
We investigate the potential relation between financial openness and financial development for 27 emerging countries for the period between 1996 and 2016. We focus on three dimensions of financial openness: capital account openness trade openness and stock-market openness. In this study we propose alternative measures for capital account and trade openness. Moreover we offer capital flow and valuation-based measures for stock-market openness as a potential determinant of financial development. Our findings indicate that capital account openness and trade openness are the key drivers of financial development. These results are not sensitive to the use of alternative financial openness and financial development measures and are robust after being controlled for institutional quality and its components. Our results have implications for policymakers in emerging countries who try to increase the depth of their financial markets for an easier and cheaper access to funds.
Fon giderleri etkisi altında BIST'deki fonların performans analizi
(2015) Gören, Seher; Umutlu, Mehmet
Investing in mutual and pension funds provides many advantages. Funds have become the most preferred investment instrumets by virtue of reducing the risk through diversification, providing market foresight with professional management and allowing fund investors to be exempt from tax. Increases in both the size and the number of funds due to their popularity brings the need for performance measurement. In this thesis, performance of fund groups which contain 9 kinds of A Type, 9 kinds of B Type mutual funds along with A Type (total), B Type (total) mutual funds and pension (total) funds are measured at daily and monthly frequencies for the period between July 2001 and December 2011. The research period is shorter for the funds whose trading dates do not exactly match with the full research period. Different from many studies aiming to measure fund performance, this study takes into account the expense ratios in calculating the net returns of fund groups. Whether the fund groups provide return commensurate with their risk is tested by using Capital Asset Pricing Model (CAPM) and the Fama – French three factor model. Jensen Alpha which is a risk-adjusted performance measure is obtained from the aforementioned asset pricing models and is used to test whether fund groups provide abnormal return. Consequently, in contrast to the expectations a great majority of funds evaluated under the control of expenses do not display high performance.
Citation - WoS: 25
Citation - Scopus: 28
Idiosyncratic volatility and expected returns at the global level
(CFA Institute info@cfainstitute.org, 2015) Mehmet Umutlu; Umutlu, Mehmet
The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found that portfolios with the highest and lowest global idiosyncratic volatility do not earn significantly different average returns indicating no link between global idiosyncratic volatility and expected returns. His results show that global diversification is effective in stabilizing the returns of global test assets and that benefits from global diversification can be gained by diversifying across either countries or industries. © 2017 Elsevier B.V. All rights reserved.
INTERACTION BETWEEN EQUITY TRADING OF VARIOUS INVESTOR TYPES AND MARKET RETURN
(EGE UNIV FAC ECONOMICS & ADMIN SCIENCES, 2016) Melis Gultekin; Mehmet Umutlu; Gultekin, Melis; Umutlu, Mehmet
In finance literature interaction or relationship between portfolio investments and index return were examined in many studies. However most of these studies were conducted at monthly or annual frequency with a restricted investor classification. In this study we analyze the interaction between the net purchases of three different investor groups and market return by using daily data from the Korean Stock Exchange. Vector Auto Regression (VAR) model results show that individual and foreign investors follow a momentum strategy whereas institutional investors follow a contrarian strategy. During the crisis period institutional and individual investors did not change their trading strategies. On the other hand there is a positive correlation between foreign investors' net purchase and lagged market returns during the crisis period as in the case of the full period but different from full sample period this correlation is not statistically significant.
Citation - WoS: 8
Citation - Scopus: 10
Less pain more gain: Volatility-adjusted residual momentum in international equity markets
(Taylor and Francis Ltd. michael.wagreich@univie.ac.at, 2018) Adam Zaremba; Mehmet Umutlu; Alina Maydybura; Maydybura, Alina; Zaremba, Adam; Umutlu, Mehmet
We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888 industry portfolios from developed and emerging markets. The VARMOM trading strategy notably outperforms and subsumes a standard momentum strategy delivering Sharpe ratios that are two to three times higher. The VARMOM is particularly strong across portfolios characterised by high limits to arbitrage and following bull markets supporting the behavioural explanation of momentum. The results are robust to alternative portfolio construction methods as well as the inclusion of trading costs and control variables. They are also valid for several subperiods and subsamples. © 2018 Elsevier B.V. All rights reserved.
Citation - WoS: 4
Citation - Scopus: 4
Market segmentation and international diversification across country and industry portfolios
(ELSEVIER, 2023) Mehmet Umutlu; Seher Goren Yargi; Adam Zaremba; Yargi, Seher Goren; Zaremba, Adam; Umutlu, Mehmet
We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market are mainly priced by local factors and should produce abnormal returns relative to a global asset-pricing model. This implies a negative relation between correlation and future index returns in the presence of segmented indexes. Empirical evidence confirms such a relationship for the sample of industry indexes suggesting a heterogeneous segmentation. However we do not observe a similar pattern for country indexes. In addition the international diversification potential of industries does not vanish during volatile periods. The hypothesis that the negative relationship should be stronger for the more segmented subsamples that are char-acterized by small market size and emerging country origin is verified for the industry sample. Thus cross-industry diversification is superior to mere cross-country diversification.
Measuring Model Independent Global Idiosyncratic Volatility
(2017) Demir, Efe; Umutlu, Mehmet
Borsada işlem gören hisse senetlerinin getirileri sürekli olarak dalgalanmaktadır. Yatırımcılar ve portföy yöneticileri ise sahip oldukları finansal enstrümanlardan bekledikleri getirileri varlıkların volatilitelerine göre belirlemektedir. Finansal varlıkların volatilite seviyesi ve volatilitenin zaman içindeki seyri yatırımcıların yatırım kararlarını tümüyle etkilemektedir. Bu nedenle volatilitenin doğru bir şekilde ölçülmesi büyük önem taşımaktadır. Bu tez çalışmasının amaçlarından biri herhangi bir varlık fiyatlama modeline dayanmadan global düzeyde sistematik olmayan volatiliteyi ölçebilmektir. Literatürde geliştirilmiş farklı varlık fiyatlama modelleri olduğundan, her bir varlık fiyatlama modelinden elde edilecek sistematik olmayan volatilite farklı olacaktır. Bu da, modele bağlı olarak elde edilen farklı volatilite ölçütlerinden hangisinin geçerli olduğu konusunda bir belirsizliğe yol açacaktır. Çalışmanın bir diğer amacı ise global düzeyde sistematik olmayan volatilite seviyesinin zaman içinde değişip değişmediğinin test edilmesidir. Çalışma sonucunda, global düzeyde sistematik olmayan volatilitenin kriz zamanlarında sıçramalar yapmış olduğu görülse de, zaman içinde uzun dönem ortalamasına geri döndüğü ve durağan olduğu tespit edilmiştir.
Modelden bağımsız alternatif bir dağıtılabilir oynaklık ölçütü
(2019) Sarı, Latife; Umutlu, Mehmet
Borsada hisse senetlerine veya hisse senedi portföylerine yatırım yapan yatırımcılar stabil bir getiri seviyesi yakalamayabilmektedirler. Yatırımcıların finansal varlıklarından bekledikleri getirileri ellerinde tuttukları varlıkların oynaklığına bağlı olarak değişim göstermektedir. Bu nedenle menkul kıymetlerin oynaklığının ölçülebilmesi ve bu ölçümlerin hassasiyeti yatırım kararlarını etkileyen önemli faktörlerdir. Literatürde oynaklık ölçümü için bir çok farklı model bulunmaktadır. Bu nedenle bir menkul kıymet için farklı oynaklık ölçüm yaklaşımlarından farklı oynaklık değerleri elde edilebilmektedir. Bu çalışmanın amacı herhangi bir varlık fiyatlama modeline ve varyans ayrıştırma sürecinde önceden kullanılmış kısıtlayıcı olabilecek varsayımlara dayanmayan, modelden bağımsız bir şekilde sistematik olmayan oynaklığı hesaplayabilmektir. Ayrıca bu tez çalışmasında global seviyede sistematik olmayan oynaklığın hem global hem de ülke düzeyinde durağan olup olmadığı test edilmiştir. Test sonuçları, uzun dönemde sistematik olmayan oynaklığın global endeks ve ayrıca örneklemdeki birçok ülke endeksi için durağan olduğunu göstermiştir.
Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets
(PAGEANT MEDIA LTD, 2020) Adam Zaremba; Mehmet Umutlu; Andreas Karathanasopoulos; Karathanasopoulos, Andreas; Zaremba, Adam; Umutlu, Mehmet
The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms a stronger country and industry selection method. An equal-weighted strategy that simultaneously goes long the indexes with the highest short-term and the lowest long-term alphas and shorts the ones with the lowest short-term and highest long-term alphas yields monthly three factor model alphas of 1.16% and 1.44% for countries and industries respectively. The results are robust to alternative weighting schemes the effect of trading costs alternative alpha models and controlling for popular return predictive variables.
Citation - WoS: 11
Citation - Scopus: 8
Option-implied volatility measures and stock return predictability
(Institutional Investor Inc info@iijournals.com, 2016) Xi Fu; Yakup Eser Arisoy; Mark B. Shackleton; Mehmet Umutlu; Arisoy, Y. Eser; Fu, Xi; Shackleton, Mark B.; Umutlu, Mehmet
Using firm-level option and stock data we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call-put implied volatility spread implied volatility skew and realized-implied volatility spread. Firm-level cross-sectional regressions show that the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisis. © 2018 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.
The Role of Maximum Return Rate within a Month in the Returns of International Portfolio Investments
(2017) Bengitöz, Pelin; Umutlu, Mehmet
Bu tez çalışmasında, hisse senedi seviyesinde tespit edilen ay içerisindeki maksimum günlük getiri oranının, MAX, bir sonraki dönem hisse senedi getirileri üzerindeki açıklayıcı etkisinin varlığı endeks seviyesinde de incelenmiştir. Başka bir anlatımla, bu çalışma, uluslararası yatırımcı bakış açısı ile MAX değişkeninin uluslararası portföy getirilerinde kesitsel olarak fiyatlanıp fiyatlanmadığı araştırmaktadır. Uluslararası portföyler olarak global endüstri endeksleri, yerel endüstri endeksleri ve yerel hisse senedi piyasası endeksleri kullanılmıştır. Öncelikle, uluslararası portföyler MAX değerlerine göre sıralanmış ve farklı seviyelerde MAX değerlerine sahip beşte birlik portföyler oluşturulmuştur. Daha sonra, en yüksek MAX değerli portföyde uzun ve en düşük MAX değerli portföyde kısa pozisyon alınarak oluşturulan sıfır maliyetli arbitraj portföyünün ham veya riske göre düzeltilmiş anormal getiri kazanıp kazanmadığı incelenmiştir. Buna ek olarak, uygulanan endeks bazlı kesitsel regresyon analizleri ile MAX ile uluslararası portföy getirileri arasındaki ilişkinin varlığı ve anlamlılığı sınanmıştır. Endeks bazlı kesitsel regresyon analizi, MAX etkisinin birçok değişkenin kontrolü altında eş zamanlı olarak incelenmesine olanak sağlamaktadır. Kullanılan kontrol değişkenleri ise şu şekildedir: piyasa betası (BETA), idiyosinkratik volatilite (IVOL), piyasa değeri (MV), fiyat-kazanç değeri oranı (PE), orta-dönem momentum etkisi (MOM), kısa-dönem zıtlık etkisi (REV), çarpıklık ölçütleri; toplam çarpıklık (TSKEW), sistematik çarpıklık (SSKEW) ve sistematik olmayan çarpıklık (ISKEW). Hem portföy bazlı analizler hem de kesitsel regresyonlar, MAX ile uluslararası portföy getirileri arasında istatistiksel olarak anlamlı pozitif bir ilişkinin olduğunu göstermektedir.