Bengitöz, Pelin
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Dr.Öğrt.Gör.
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01.01.06.04. Uluslararası Ticaret ve Finansman Bölümü
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Article Alternatif Sistematik Risk Ölçütleri ile Sermaye Varlıkları Fiyatlama Modelinin Borsa İstanbul'da Test Edilmesi(2014) PELİN BENGİTÖZ; Mehmet UMUTKUP; Umutkup, Mehmet; Bengitöz, PelinBu çalışmada betanın zaman içinde değişmesine izin veren koşullu SermayeVarlıklarını Fiyatlama Modelinin (SVFM) ve betanın sabit olarak kabul edildiğistatik SVFMnin geçerliliği Borsa İstanbulda (BİST) test edilmiştir. BİST üzerineyapılan diğer çalışmalardan farklı olarak koşullu SVFM testlerinde beta ay için- deki günlük getiri verileri kullanılarak hesaplanmıştır. Sonuçların tutarlılığını testetmek için değişken betalar önceki yirmi dört aylık getiri verisi kullanılarak ha- reketli beta olarak da hesaplanmıştır. Sonuç olarak statik ve koşullu SVFMninBİSTde geçerli olmadığı saptanmıştır. Ayrıca örneklem kriz öncesi kriz ve krizsonrası dönemlerine ayrılarak testler bu alt dönemler için de yapılmıştır. Alt dö- nemler için elde edilen sonuçlar da tüm örneklem sonuçlarını desteklemektedir.Diğer taraftan fiyat-defter değeri oranının ise ortalama hisse senedi getirisi üze- rinde anlamlı bir etkiye sahip olduğu bulunmuştur.Master Thesis The Role of Maximum Return Rate within a Month in the Returns of International Portfolio Investments(2017) Bengitöz, Pelin; Umutlu, MehmetBu 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.Master Thesis Borsa İstanbul'da çeşitli beta ölçütleri ve hisse senedi getirileri: Portföy düzeyinde bir çalışma(2015) Bengitöz, Pelin; Özgürel, Banu; Umutlu, MehmetInvestors 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.Doctoral Thesis Uluslararası portföy yatırımları üzerine makaleler(2021) Bengitöz, Pelin; Umutlu, MehmetThe first and second chapters of the dissertation mainly focus on several return predictors, which are measures of volatility, skewness, momentum, and profitability; size and value effects; and other measures, such as investments and net share issuance. In addition, the cross-sectional relation between the return range, a newly proposed proxy of total volatility, and future index returns are examined for the first time in the literature. In the first dissertation chapter, the significance of the effects of these nineteen anomalies are examined at the international index level using 19 industries specified for 37 countries from January 1973 to July 2015. The results of both the portfolio-level analyses and index-level cross-sectional regressions indicate that all volatility measures, including the return range, exclusively affect returns on small-cap indexes. Additionally, maximum and minimum return anomalies also persistently exist across all size quintiles. The skewness measures significantly affect small-cap indexes while the momentum effect is significant in both small- and medium-cap indexes. Depending on their definitions, profitability measures significantly affect both small- and large-cap portfolios whereas the value effect has significant explanatory power on indexes from all size segments. Lastly, the return range can be used as a very practical measure of total volatility instead of the standard deviation. The second chapter investigates the effects of these nineteen index attributes on index returns for six different regions: North America, Europe, Asia-Pacific, South America, MENA, and Japan. This chapter considers the different characteristics of these regions that determine the degree of market segmentation or integration across regions, and therefore performs the regional versions of the asset-pricing models. The results suggest, first, that all volatility measures and the return range significantly predict index returns from Europe, Asia-Pacific, South America, and Japan. Second, the maximum and minimum return anomalies significantly predict index returns regardless of region. Third, there are significant size and value effects for all regions except for Japan, which only shows size effect. Fourth, there are significant momentum effects in North America, Europe, and MENA while the profitability effect has a significant explanatory power for Europe and Asia-Pacific, depending on its definition. Fifth, the skewness measures only significantly affect the returns for European country-industry indexes. Lastly, the Fama-MacBeth regressions provide almost identical results to the portfolio analyses. The third chapter examines the value effect based on earnings-to-price ratio (EP) by decomposing EP into four independent components, which are lagged EP value, change in earnings, momentum, and reversal, following the decomposition methodology of Fama and French (2008). In addition to the sample from the second chapter, this chapter includes a sample of country indexes with 51 local country indexes. The results show a significant EP ratio effect while the components of EP also include independent information that can be used to enhance estimates of future returns for both country-industry and country indexes in most of the cases. Additionally, decomposition of EP matters for all regions of country-industry indexes except South America. However, the results depend on the time horizons used for the lagged value of EP. Lastly, the decomposition analyses for the size-based portfolios of both samples show that the components of EP reveal more information about small-cap indexes.Article Citation - WoS: 1Citation - Scopus: 1Are return predictors of industrial equity indexes common across regions?(PALGRAVE MACMILLAN LTD, 2023) Pelin Bengitoz; Mehmet Umutlu; Bengitöz, Pelin; Umutlu, MehmetWe 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.Article Citation - Scopus: 2Linkage 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, ManuelaPrevious 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.Article Citation - WoS: 12Citation - Scopus: 12The cross-section of industry equity returns and global tactical asset allocation across regions and industries(Elsevier Inc. sinfo-f@elsevier.com, 2020) Mehmet Umutlu; Pelin Bengitöz; Bengitöz, Pelin; Umutlu, MehmetThis study investigates which index characteristics predict returns in the cross-section of local industry indexes in six regions. The results show that geographical origin and market capitalization of indexes critically determine the predictive ability of characteristics. We find that industry indexes of any market capitalization with high earnings-to-price ratio yield higher expected returns in the US Europe and Asia-Pacific. Recent winner (loser) portfolios in Europe have a tendency to outperform (underperform) recent loser (winner) portfolios in the near future for all groups of market capitalization. Small portfolios with high idiosyncratic volatility in Asia-Pacific earn an idiosyncratic volatility premium. Dividend yield is positively related to future returns of small European portfolios. These results are robust to the inclusion of transaction costs and control variables and have implications for portfolio managers following a global tactical asset allocation policy. © 2020 Elsevier B.V. All rights reserved.Article 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, MehmetWe 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.
