Umutlu, Mehmet
Loading...
Name Variants
Job Title
Prof.Dr.
Email Address
Main Affiliation
01.01.06.04. Uluslararası Ticaret ve Finansman Bölümü
Status
Former Staff
Website
ORCID ID
Scopus Author ID
Turkish CoHE Profile ID
Google Scholar ID
WoS Researcher ID
Sustainable Development Goals
1NO POVERTY
0
Research Products
2ZERO HUNGER
1
Research Products
3GOOD HEALTH AND WELL-BEING
0
Research Products
4QUALITY EDUCATION
0
Research Products
5GENDER EQUALITY
0
Research Products
6CLEAN WATER AND SANITATION
0
Research Products
7AFFORDABLE AND CLEAN ENERGY
0
Research Products
8DECENT WORK AND ECONOMIC GROWTH
1
Research Products
9INDUSTRY, INNOVATION AND INFRASTRUCTURE
0
Research Products
10REDUCED INEQUALITIES
6
Research Products
11SUSTAINABLE CITIES AND COMMUNITIES
0
Research Products
12RESPONSIBLE CONSUMPTION AND PRODUCTION
0
Research Products
13CLIMATE ACTION
0
Research Products
14LIFE BELOW WATER
0
Research Products
15LIFE ON LAND
0
Research Products
16PEACE, JUSTICE AND STRONG INSTITUTIONS
0
Research Products
17PARTNERSHIPS FOR THE GOALS
5
Research Products
This researcher does not have a Scopus ID.
Documents
25
Citations
313
Scholarly Output
31
Articles
21
Views / Downloads
0/0
Supervised MSc Theses
6
Supervised PhD Theses
4
WoS Citation Count
181
Scopus Citation Count
180
Patents
0
Projects
0
WoS Citations per Publication
5.84
Scopus Citations per Publication
5.81
Open Access Source
5
Supervised Theses
10
| Journal | Count |
|---|---|
| SSRN Electronic Journal | 7 |
| Applied Economics | 2 |
| Ege Akademik Bakış | 1 |
| Finance Research Letters | 1 |
| International Review of Financial Analysis | 1 |
Current Page: 1 / 3
Scopus Quartile Distribution
Quartile distribution chart data is not available
Competency Cloud
31 results
Scholarly Output Search Results
Now showing 1 - 10 of 31
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: 6Citation - Scopus: 7Strategies can be expensive too! The value spread and asset allocation in global equity markets(ROUTLEDGE JOURNALS TAYLOR & FRANCIS LTD, 2018) Adam Zaremba; Mehmet Umutlu; Zaremba, Adam; Umutlu, MehmetIs the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996-2017. The value spread is a powerful and robust predictor of strategy returns in the cross-section subsuming other methods based on momentum reversal or seasonality. Going long (short) the strategies with the broadest (narrowest) value spread produces significant four-factor model alphas markedly outperforming an equal-weighted benchmark of all of the strategies. The results are robust to many considerations.Article Citation - WoS: 12Citation - Scopus: 13Size matters everywhere: Decomposing the small country and small industry premia(Elsevier Inc. usjcs@elsevier.com, 2018) Adam Zaremba; Mehmet Umutlu; Zaremba, Adam; Umutlu, MehmetWe explore the country and industry size effects by decomposing market value into four components: short-term return representing momentum, long-run return representing reversal, composite issuance, and lagged market value. We examine the implications of this decomposition for the country and industry size premia within a sample of 51 equity markets for the years 1973–2017. We confirm a significant size effect across countries and uncover an industry size effect: small industries markedly outperform large industries. While the cross-sectional dispersion in market value is determined almost exclusively by the lagged market value component the country and industry size premia have two prmary drivers: lagged market value and long-run reversal. Our analysis also discovers an industry issuance effect and a remarkable January effect inboth country and industry returns. Finally we also shed some light on the vanishing small country effect in the last decade. © 2018 Elsevier B.V. All rights reserved.Article YSA DVM ve Karar Ağacı ile Tarımsal Emtiaların Fiyat Endekslerinin Tahminlenmesi: Kuru Üzüm Örneği(2018) Burcu KARAÖZ; IKBAL ECE DIZBAY; sevkinaz Gumusoglu; Ercin Guducu; Karaöz, Burcu; Guducu, Ercin; Dızbay, Ikbal Ece; Gumusoglu, SevkinazEmtia fiyat endekslerinin başarılı bir şekilde tahminlenmesi ekonomik aktörlere doğru alım satım kararları verebilmeleri için fayda sağlamaktadır. Türkiye’deki ticaret borsalarında işlem gören tarımsal ürünlerden biri olan kuru üzüm fiyatlarının oynak değişkenler kullanılarak tahminlenmesinin incelendiği çalışmada üç temel soru üzerinde durulmuştur. İç karışıklığın yüksek olduğu ülkelerde sosyal ve politik olaylar kuru üzüm fiyatlarını etkiler mi? Oynaklığı yüksek olan değişkenler kullanılarak kuru üzüm fiyat endeksleri tahminlenebilir mi? Son olarak bu tip bir çalışmada Yapay Sinir Ağları (YSA) Karar Ağacı ve Destek Vektör Makineleri (DVM) yöntemlerinden hangisinin tahmin performansı daha yüksektir? Bu amaçla oluşturulan tahmin modeline YSA KA ve DVM yöntemleri uygulanmış ve yöntemlerin tahmin performansları karşılaştırılmıştır. Uygulama sonuçları oynak değişkenler ile sosyal ve politik olayların kuru üzüm fiyatlarının tahminlenmesinde kullanılabileceğini ve ilgili modelde DVM yönteminin en yüksek doğruluk oranını verdiğini göstermiştir.Doctoral Thesis Essays on Financial Development in Emerging Countries(2022) Gültekin, Melis; Umutlu, MehmetFinancial 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.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.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.Doctoral Thesis Ülkeler veya endüstriler arasındaki korelasyon yapısı ve uluslararası çeşitlendirme ve portföy yönetimi için çıkarımları(2021) Yargı, Seher Gören; Umutlu, MehmetDiversification is an important factor in risk reduction for investors and portfolio managers. Return correlations among international markets are important for determining the diversification strategy. Analysis of correlation structure among international assets helps in analyzing the effectiveness of international portfolio diversification. The main purpose of this study is to investigate the effectiveness of international diversification options through local industry or local country indexes and to examine how well these correlations predict future index returns. Firstly, monthly average pair-wise return correlations, based on two distinct samples of local industry and local country indexes, are calculated using daily index-return data within a month over the research period. Then, monthly average correlations against global market return, implied correlations from asset pricing models with a single factor, with Fama-French three factors, with six factors and idiosyncratic correlations are calculated over the research period. The time-series behavior of average correlations is examined using stationarity tests. Tests for the stationarity of the average correlation series have implications for international investors seeking efficient diversification. The average correlations are examined to compare local industries and local countries by conducting mean difference tests. Developed and emerging countries are also compared to examine their diversification potential. Secondly, monthly sample correlations, implied correlations from the global Fama-French three-factor model and idiosyncratic correlations from the global Fama-French three-factor model are calculated based on local industry and local country indexes for an extended data set over the new research period. Cross-sectional Fama-Macbeth regression analyses are employed to examine the relationship between returns and correlations. Further details are then given by conducting sub-sample and sub-period analyses. The results show that correlations do not rise permanently over time. Therefore, international diversification can still be applied to reduce portfolio risk and stabilize asset returns. The results also show that diversifying across local industries rather than local countries is more efficient. Average slope estimates of correlation coefficients from Fama-MacBeth regressions for local industry indexes are significantly different from zero whereas those for local country indexes do not differ from zero. Thus, correlation coefficients for local industry indexes have substantial predictive power on future returns. Key Words: international portfolio diversification, return correlation, portfolio management, local industry index, local country indexMaster Thesis Measuring Model Independent Global Idiosyncratic Volatility(2017) Demir, Efe; Umutlu, MehmetBorsada 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.
