Browsing by Author "Yalçın, Atakan"
Now showing items 1-11 of 11
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Backtesting the modified VaR and Expected Shortfall methods: For non-linear portfolios within basel accords
Memiş, Cahit (2018-05)The banks have to measure the market risk daily for the calculation of their capital adequacy. According to the Fundamental Review of Trading Book (FRTB) market risk revision, which was released in 2016 by the Basel Committee ... -
The case against active pension funds: evidence from the Turkish private pension system
Gökçen, U.; Yalçın, Atakan (Elsevier, 2015-06)Using 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 ... -
A concave security market line
De Giorgi, E. G.; Post, T.; Yalçın, Atakan (Elsevier, 2019-09)We 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 ... -
Do pension funds provide liquidity: Lessons from em countries
Peksevim, Seda (2017-01)In response to the financial crisis, there has been increased attention on the importance of the long-term investors for financial stability. We contribute to this literature by investigating the role of pension funds on ... -
Do Turkish asset management companies hold overweight positions in their parent companies' securities for the mutual funds under their management?
Yıldız, Ahmet (2019-07-30)Conflict of interest in affiliated mutual funds is widely investigated in the literature. Due to its significant growth in recent years, Turkish mutual fund industry attracts more attention from regulators and investors. ... -
The dynamics of asset swap spread in Turkey
Peştreli, Yaşar Kemal (2018-05)In response to the financial crisis, investors have been increasingly sensitive to the evolution of swap spreads, as a rising proportion of their portfolio is constituted by emerging markets debt instruments. I provide two ... -
Firm boundaries, incentives, and fund performance: Evidence from a private pension fund system
Gölçen, Umut; Özsoy, Satı Mehmet; Yalçın, Atakan (Elsevier, 2020-06)The 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 ... -
Geography of stock market correlation
Koçak, Kaan (2018-08)It is important to understand the interactions and interdependencies between stock markets across the world, for theoretical and practical reasons such as for portfolio managers and active investors. In this thesis, we ... -
Mispricing in borsa Istanbul stock returns
Demir, Adnan Çağrı (2018-09)Stock return anomalies literature has been boosted in the last decade and the number of “anomaly factors” detected has increased dramatically which was described by Cochrane (2011) as “factor zoo”. We investigated the ... -
Modeling heterogeneity in the satisfaction, loyalty intention and shareholder value linkage: a cross industry analysis at the customer and firm level
Larivière, B.; Keiningham, T. L.; Aksoy, L.; Yalçın, Atakan; Morgeson III, F. V.; Mithas, S. (American Marketing Association, 2016-02)This 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 ... -
Three essays on the behavior of equity market returns
Lekpek, Senad (2016-12)The first chapter of this thesis analyzes return comovements phenomena known as correlation asymmetry. The phenomena has its two manifests: asymmetric correlations, referring to stock return correlations being higher during ...
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