Person: YALÇIN, Atakan
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Atakan
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YALÇIN
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ArticlePublication Metadata only Firm boundaries, incentives, and fund performance: Evidence from a private pension fund system(Elsevier, 2020-06) Gölçen, Umut; Özsoy, Satı Mehmet; Yalçın, Atakan; Economics; International Finance; GÖKÇEN, Umut; ÖZSOY, Satı Mehmet; YALÇIN, AtakanThe private pension fund system in Turkey presents a unique institutional structure where bank holding companies can own both private pension companies and asset management firms. More often than not, pension companies delegate their operational mandates to the asset management arm of the same bank. This practice exposes the retail investor to a double agency problem and raises questions about conflicts of interest and fiduciary duty. Our analysis reveals that the funds set up and managed under the same bank holding company perform worse on a risk-adjusted basis than the funds with an arm's length relationship between the pension company and the asset manager. We show that this relative underperformance is not simply a bank effect; bank-affiliated pension companies and asset managers do just as well, if not better than their peers, when they are not operating under the same roof. Unfortunately, this inefficient institutional structure is not eliminated by market discipline because these funds attract more flows from retail investors, and the underperformance is not discernible in raw returns.ArticlePublication Open Access Big data–enabled sign prediction for Borsa Istanbul intraday equity prices(Elsevier, 2023-12) Kılıç, A.; Güloğlu, B.; Yalçın, Atakan; Üstündağ, A.; International Finance; YALÇIN, AtakanThis paper employs a big data source, the Borsa Istanbul's “data analytics” information, to predict 5-min up, down, and steady signs drawn from closing price changes. Seven machine learning algorithms are compared with 2018 data for the entire year. Success levels for each method are reported for 26 liquid stocks in terms of macro-averaged F-measures. For the 5-min lagged data, nine equities are found to be statistically predictable. For lagged data over longer periods, equities remain predictable, decreasing gradually to zero as the markets absorb the data over time. Furthermore, economic gains for the nine equities are analyzed with algorithms where short selling is allowed or not allowed depending on these predictions. Four equities are found to yield more economic gains via machine learning–supported trading strategies than the equities' own price performances. Under the “efficient market hypothesis,” the results imply a lack of “semistrong-form efficiency.”ArticlePublication Metadata only A concave security market line(Elsevier, 2019-09) De Giorgi, E. G.; Post, T.; Yalçın, Atakan; International Finance; YALÇIN, AtakanWe provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold different sets of risky securities. Whereas the traditional linear relation breaks down, equilibrium can be described or approximated by a concave relation between expected return and market beta, and a concave relationship between market alpha and market beta. An empirical analysis of U.S. stock market data confirms the existence of a significant concave cross-sectional relation between average return and estimated market beta. We estimate that the market risk premium is at least four to six percent per annum, substantially above traditional estimates. A practical implication for active portfolio managers is that the alpha of "betting against beta" strategies seems dominated by the medium-minushigh-beta spread rather than the low-minus-medium-beta spread. The success of such strategies thus largely depends on underweighting or short selling high-beta stocks.ArticlePublication Metadata only The case against active pension funds: evidence from the Turkish private pension system(Elsevier, 2015-06) Gökçen, U.; Yalçın, Atakan; International Finance; YALÇIN, AtakanUsing data on private Turkish pension funds we show that most active managers are not able to provide performance beyond what could be achieved by passive indexing. The average fund beats its benchmark by only 26 basis points, before fees. We also observe herding behavior among managers' asset allocation decisions which can potentially explain their lack of overperformance. Our results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. We further recommend regulatory oversight on the “activeness” of funds and introduction of default plans with more balanced asset allocations.ArticlePublication Metadata only Modeling heterogeneity in the satisfaction, loyalty intention and shareholder value linkage: a cross industry analysis at the customer and firm level(American Marketing Association, 2016-02) Larivière, B.; Keiningham, T. L.; Aksoy, L.; Yalçın, Atakan; Morgeson III, F. V.; Mithas, S.; International Finance; YALÇIN, AtakanThis study examines the relationship between customer satisfaction, loyalty intention and shareholder value at the firm and individual customer level. The authors also explore industry differences by using a multilevel and random-effects approach in which individual customer scores are nested within firm-level data and the estimated interrelationships are treated as random coefficients that are explained by industry characteristics. They compile a unique and detailed data set, which covers 10 years of information on 137 firms, and includes a matched sample of 189,069 customers from multiple sources such as the ACSI, CRSP and COMPUSTAT, to yield three important insights. First, aggregate firm level effects may overestimate the impact that satisfaction has at the individual customer level. Second, a consideration of loyalty intention or repurchase intention as the mediator can improve our understanding of the satisfaction- shareholder value relationship, and that the relationship can vary across firms. Finally, the influence of satisfaction and loyalty intentions on shareholder value varies by industry. Implications of findings for researchers, managers and investors are discussed.