An analysis of the performance of investment companies: evidence from the İstanbul stock exchange

Download

index.pdf

Date

2010

Author

Sultanov, Rustam

Metadata

Show full item record

Item Usage Stats

236
views

141
downloads

The purpose of this master’s thesis is to evaluate the performance of investment companies, namely Real Estate Investment Trusts (REITs) and Closed-End Funds (CEFs) in Turkey. In this study, three different models are used to evaluate the risk adjusted performances of Turkish investment companies. These models are: 1) the single-factor CAPM; 2) the Fama-French three-factor model; and 3) the Carhart’s four factor model. The results of this study indicate that for the sample period from January 1997 to December 2009, Turkish REITs and Turkish CEFs neither overperform nor underperform the overall market. Intercepts in almost all models are statistically significantly not different from zero, implying that both REITs and CEFs are earning their expected returns. The results are robust to different models used in this study. Among employed models, the Fama-French three-factor model is the best in explaining the returns on both REITs and CEFs. In general, coefficients of the size and the book-to-market equity risk factors are significant and positive. The explanatory power of the regressions does not improve with the Carhart’s four-factor model, since momentum factors have statistically insignificant coefficients in all regressions. Findings of this study have an important implication for the efficiency of the Istanbul Stock Exchange. The inability of professional money managers to beat the overall market could be taken as an evidence in favor of the ISE being either semi-strong or strong form efficient. On the other hand, lack of skills on the part of Turkish fund managers might be another explanation for their inability to surpass the performance of the overall market.

Subject Keywords

Closede-end fund (CEF)., Business administration.

URI

http://etd.lib.metu.edu.tr/upload/2/12612088/index.pdf
https://hdl.handle.net/11511/19637

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

The determinants of portfolio investments to Turkey : from 1989 to 2008 Günayer, Elif; Küçükkaya, Halit Engin; Department of Business Administration (2009) This thesis analyzes the factors that determine the portfolio investments to Turkey in the period from 1989:04 to 2008:12. The factors that are examined are budget balance, current account balance, nominal exchange rate between the Turkish Lira and the US dollar, Turkish domestic interest rate, US 3-months Treasury Bill rate, annual inflation rate in Turkey and ISE 100 Index. A Vector Autoregressive Model is used for the purpose of examining the impacts of these variables on the level of portfolio investmen...
The effects of the inflation targeting regime on the İstanbul stock exchange Bölükbaşı, Firuze; Danışoğlu, Seza; Department of Business Administration (2009) The primary purpose of this study is to test the effects of inflation targeting in Turkey in terms of providing stability in the financial system by lowering the volatility in the Turkish stock market. Although there are many factors other than monetary policy which can affect stock market volatility, this study examines whether the volatility due to monetary policy can be reduced by increasing the accuracy of investors’ expectations about the central bank’s future actions. In the first part, a “Volatility ...
REITS in Turkey: the impact of the deviations from the global systems Yönder, Erkan; Erdil, Erkan; Department of Economics (2015) This dissertation aims to evaluate the impacts of divergence of Turkish Real Estate Investment Trust (REIT) sector/industry from the global REIT markets. Turkish REITs do not have to pay out any certain level of income to shareholders and have a sponsored ownership structure, governed by regulations different from the global REITs, while they are still tax-exempted. The dissertation investigates the tax arbitrage, impacts of corporate governance issues such as board composition and sponsor ownership on the ...
An Investigation of Returns to Insider Transactions Evidence from the Istanbul Stock Exchange Çağdaş, Tahaoğlu; Güner, Zehra Nuray (2011-01-01) In this paper, the return performance of insiders of companies listed on the Istanbul Stock Exchange (ISE) from their open market transactions and that of uninformed investors (outsiders) following insider transactions announced to the public are examined by using a portfolio approach. It is found that, depending on the affiliation of the insider with the company, abnormal returns from their sale transactions last over longer periods than their purchase transactions. Furthermore, outsiders can also earn abn...
An Application of the Black Litterman model in Borsa İstanbul using analysts’ forecasts as views Adaş, Cansu; Güner, Zehra Nuray; Danışoğlu, Seza; Department of Financial Mathematics (2016) The optimal number of stocks to include in a portfolio in order to achieve the maximum diversification benefit has been one of the issues in which investors have focused on since Markowitz introduced fundamentals of the Modern Portfolio Theory. Each stock included in an investor's portfolio decreases the portfolio risk, while increasing the transaction costs incurred by the investor to create this portfolio. In this thesis, the size of a well-diversified portfolio consisting of stocks included consistently ...

Citation Formats

R. Sultanov, “An analysis of the performance of investment companies: evidence from the İstanbul stock exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2010.