Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
A new look at mutual fund tournament hypothesis using spatial modeling
Download
index.pdf
Date
2015
Author
Tuzcu, Sevgi Eda
Metadata
Show full item record
Item Usage Stats
241
views
115
downloads
Cite This
Literature indicates that mutual fund investors react strongly to prior fund performance, though this reaction is not symmetric. Many papers suggest that this relation creates incentives for fund managers to change the portfolio risk towards the end of the year in order to be placed among the winners. Contrary findings, on the other hand, highlight the importance of cross correlation and auto correlation in the fund flow data, which may bias the results. Hence, this study investigates the existence of this incentive creating convex association for Turkish mutual fund industry with spatial modeling techniques. I account for the spatial dependence among mutual funds.
Subject Keywords
Mutual funds.
,
Investments.
,
Econometrics.
,
Funds-flow statements.
URI
http://etd.lib.metu.edu.tr/upload/12618733/index.pdf
https://hdl.handle.net/11511/24637
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
A Closer look at mutual fund performance in Turkey based on active peer benchmarks
Şanap, Aybars Furkan; Küçükkaya, Halit Engin; Department of Business Administration (2017)
This master's thesis aims to evaluate mutual fund performance in Turkey on a risk-adjusted basis with various approaches. First, commonly used Capital Asset Pricing Model (CAPM) and Carhart Four-Factor Model are employed for performance analysis. Then, active peer benchmarks (APB) are utilized to account for market-capitalization characteristics of portfolio stockholdings and to control commonalities in unsystematic risk-taking of different mutual funds. The empirical results are mixed for the sampled fifty...
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 ...
An analysis of the performance of investment companies: evidence from the İstanbul stock exchange
Sultanov, Rustam; Güner, Zehra Nuray; Department of Business Administration (2010)
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 Decemb...
Modelling and implementation of local volatility surfaces
Animoku, Abdulwahab; Yolcu Okur, Yeliz; Uğur, Ömür; Department of Financial Mathematics (2014)
In this thesis, Dupire local volatility model is studied in details as a means of modeling the volatility structure of a financial asset. In this respect, several forms of local volatility equations have been derived: Dupire's local volatility, local volatility as conditional expectation, and local volatility as a function of implied volatility. We have proven the main results of local volatility model discussed in the literature in details. In addition, we have also proven the local volatility model under ...
The information content of earnings and systematic risk in changing economic conjecture : the Turkish case
Aksoy, Fatma; Muğan, Fatma Naciye Can; Department of Business Administration (2008)
This thesis analyses the information content of inflation adjusted financial statements for investors and the informational value of accounting earnings and systematic risk in explaining stock returns in Turkey. Information content of inflation accounting is tested by using event study methodology. Results show that, contrary to 2002, there exist abnormal returns/(losses) in the period surrounding the announcement of 2004 financial statements. However, due to non-company specific political and economic cond...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
S. E. Tuzcu, “A new look at mutual fund tournament hypothesis using spatial modeling,” Ph.D. - Doctoral Program, Middle East Technical University, 2015.
