Research articles for the 2020-08-15
Bank Customersâ Annotations Regarding Banking Services
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The banking services play an important role in the development of the country as increase in the banking services led overall growth of the economy. Generally customers have different opinion about the banking services offered by their banks. In this study the T-test, Mean, Standard deviation and ANOVA are used to know about the impact of the demographic factors on the banking services offered to customers by the banks. The study also reveals that mostly customers are agree that bank offered them all financial inclusion schemes and employees motivate them to use the banking services.
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The banking services play an important role in the development of the country as increase in the banking services led overall growth of the economy. Generally customers have different opinion about the banking services offered by their banks. In this study the T-test, Mean, Standard deviation and ANOVA are used to know about the impact of the demographic factors on the banking services offered to customers by the banks. The study also reveals that mostly customers are agree that bank offered them all financial inclusion schemes and employees motivate them to use the banking services.
CLO Performance
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We present evidence on the performance of collateralized loan obligations (CLOs). CLO debt tranches have consistently outperformed their benchmarks over the last twenty years, though by a small amount. CLO equity tranches issued before the 2008 crisis outperformed their benchmarks by a wide margin -- a consequence of the ``term leverage'' in CLO structures that amplified the effects of the post-crisis economic recovery. Equity has under-performed its benchmarks since the crisis. Cross-sectional variation in CLO equity performance is driven to a large extent by persistent differences across CLO managers. Top-performing managers select loans with higher coupon rates and generate more value by trading in the secondary market.
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We present evidence on the performance of collateralized loan obligations (CLOs). CLO debt tranches have consistently outperformed their benchmarks over the last twenty years, though by a small amount. CLO equity tranches issued before the 2008 crisis outperformed their benchmarks by a wide margin -- a consequence of the ``term leverage'' in CLO structures that amplified the effects of the post-crisis economic recovery. Equity has under-performed its benchmarks since the crisis. Cross-sectional variation in CLO equity performance is driven to a large extent by persistent differences across CLO managers. Top-performing managers select loans with higher coupon rates and generate more value by trading in the secondary market.
Determinants of Capital Structure: An Analysis on the Largest 1000 Industrial Firms in Turkey / Sermaye Yapisinin BeliÌrleyiÌciÌleriÌ: TürkiÌyeâdekiÌ En Büyük 1000 SanayiÌ IÌÅletmesiÌnde BiÌr Uygulama
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Turkish Abstract: Bu çalıÅmanın amacı Türkiyeâdeki sanayi iÅletmelerinde sermaye yapısının belirleyicilerini ve iÅletmelerin borçlanma davranıÅlarının açıklanmasında finansal hiyerarÅi veya dengeleme kuramlarından hangisinin daha baÅarılı olduÄunu ortaya koyabilmektir. Bu amaçla İstanbul Sanayi Odası tarafından her yıl belirlenen 500 büyük ve ikinci 500 büyük sanayi iÅletmesi veri seti olarak seçilmiÅtir. 1000 iÅletmeye ait 1993 â" 2007 arasındaki yıllık veriler panel modeller kullanılarak analize tabi tutulmuÅtur. Sonuçta borç kullanan iÅletmelerin daha fazla katma deÄer yaratmasına raÄmen iÅletmelerin kaynak ihtiyaçlarını öncelikle iç fonlardan karÅıladıkları ancak bu fonlar yetmediÄi zaman borçlanma yoluna gittikleri ortaya konulmuÅtur. Bu bulgu, Türkiyeâde sanayi iÅletmelerinin borçlanma davranıÅının açıklanmasında finansal hiyerarÅi kuramının daha baÅarılı olduÄunu göstermektedir. English Abstract: This study aims to explain the determinants of capital structure and find out if static trade-off or pecking order is more successful in explaining the debt behaviour of industrial firms in Turkey. For this purpose, the data set of largest 500 and following largest 500 industrial firms determined by â¹stanbul Chamber of Industry have been used. The data set on these firms cover the period of 1993 and 2007. Our findings show that, even though firms that use debt to create more added value, prefer to use internal funds primarily. This finding indicates that pecking order theory is more succesful to explain the debt behaviour of industrial firms in Turkey.
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Turkish Abstract: Bu çalıÅmanın amacı Türkiyeâdeki sanayi iÅletmelerinde sermaye yapısının belirleyicilerini ve iÅletmelerin borçlanma davranıÅlarının açıklanmasında finansal hiyerarÅi veya dengeleme kuramlarından hangisinin daha baÅarılı olduÄunu ortaya koyabilmektir. Bu amaçla İstanbul Sanayi Odası tarafından her yıl belirlenen 500 büyük ve ikinci 500 büyük sanayi iÅletmesi veri seti olarak seçilmiÅtir. 1000 iÅletmeye ait 1993 â" 2007 arasındaki yıllık veriler panel modeller kullanılarak analize tabi tutulmuÅtur. Sonuçta borç kullanan iÅletmelerin daha fazla katma deÄer yaratmasına raÄmen iÅletmelerin kaynak ihtiyaçlarını öncelikle iç fonlardan karÅıladıkları ancak bu fonlar yetmediÄi zaman borçlanma yoluna gittikleri ortaya konulmuÅtur. Bu bulgu, Türkiyeâde sanayi iÅletmelerinin borçlanma davranıÅının açıklanmasında finansal hiyerarÅi kuramının daha baÅarılı olduÄunu göstermektedir. English Abstract: This study aims to explain the determinants of capital structure and find out if static trade-off or pecking order is more successful in explaining the debt behaviour of industrial firms in Turkey. For this purpose, the data set of largest 500 and following largest 500 industrial firms determined by â¹stanbul Chamber of Industry have been used. The data set on these firms cover the period of 1993 and 2007. Our findings show that, even though firms that use debt to create more added value, prefer to use internal funds primarily. This finding indicates that pecking order theory is more succesful to explain the debt behaviour of industrial firms in Turkey.
IÌmkbâde IÌÅlem Gören Reel Sektör IÌÅletmeleriÌnde Sermaye Yapisinin BeliÌrleyiÌciÌleriÌ (Determinants of Capital Structure: Evidence From Real Sector Firms Listed in Istanbul Stock Exchange)
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Turkish Abstract: Bu çalıÅmada, İMKBâde iÅlem gören reel sektör iÅletmelerinin sermaye yapılarını etkileyen deÄiÅkenlerin neler olduÄu ortaya konulmaya çalıÅılmıÅtır. İMKBâde iÅlem gören 196 reel sektör iÅletmesine ait veriler, 2001q2 â" 2008q2 yılları arasındaki 3âer aylık bilançolardan elde edilmiÅtir. 196 iÅletmeye ait 29 dönemi kapsayan 5684 gözlem Beck ve Katz (1995) tarafından geliÅtirilen Standart Hataları DüzeltilmiÅ Panel yöntemi ile analiz edilmiÅtir. Elde edilen sonuçlar iÅletmelerin sermaye yapılarının açıklanmasında tek bir kuramın geçerli olmadıÄını, kısa vadeli borçların finansal hiyerarÅi kuramına, uzun vadeli borçların ise dengeleme kuramına uygun Åekilde hareket ettiÄini ortaya koymuÅtur.English Abstract: This paper investigates the determinants of capital structure of production firms listed in ISE. The data of 196 firms are obtained from the quarterly financial statements between 2001q2 â" 2008q2. We used the method of Panel Corrected Standard Errors developed by Beck and Katz (1995) to examine the data set in which, in total, we have 5684 observations. The findings can be interpreted as the relevance of pecking order theory for the short term debts whereas the relevance of static tradeoff theory for the long term debts, of firms listed in ISE.
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Turkish Abstract: Bu çalıÅmada, İMKBâde iÅlem gören reel sektör iÅletmelerinin sermaye yapılarını etkileyen deÄiÅkenlerin neler olduÄu ortaya konulmaya çalıÅılmıÅtır. İMKBâde iÅlem gören 196 reel sektör iÅletmesine ait veriler, 2001q2 â" 2008q2 yılları arasındaki 3âer aylık bilançolardan elde edilmiÅtir. 196 iÅletmeye ait 29 dönemi kapsayan 5684 gözlem Beck ve Katz (1995) tarafından geliÅtirilen Standart Hataları DüzeltilmiÅ Panel yöntemi ile analiz edilmiÅtir. Elde edilen sonuçlar iÅletmelerin sermaye yapılarının açıklanmasında tek bir kuramın geçerli olmadıÄını, kısa vadeli borçların finansal hiyerarÅi kuramına, uzun vadeli borçların ise dengeleme kuramına uygun Åekilde hareket ettiÄini ortaya koymuÅtur.English Abstract: This paper investigates the determinants of capital structure of production firms listed in ISE. The data of 196 firms are obtained from the quarterly financial statements between 2001q2 â" 2008q2. We used the method of Panel Corrected Standard Errors developed by Beck and Katz (1995) to examine the data set in which, in total, we have 5684 observations. The findings can be interpreted as the relevance of pecking order theory for the short term debts whereas the relevance of static tradeoff theory for the long term debts, of firms listed in ISE.
IÌmkbâde SpekülatiÌf ÅiÌÅkiÌnleriÌn Test EdiÌlmesiÌ (Testing for Speculative Bubbles on Ise)
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Turkish Abstract: Bu çalıÅmanın amacı İMKBâde spekülatif ÅiÅkinliklerin varlıÄının süre verisi (duration) modeli ile test edilmesidir. Bu amaçla İMKBâdeki hisse senedi fiyatlarında süre baÄımlılıÄı olup olmadıÄı McQueen ve Thorley (1994)ânin yaklaÅımı kullanılarak farklı sektörler bazında araÅtırılmaktadır. Verilerin baÅlangıç tarihi IMKB 100 endeksi için 3/7/1987, mali endeks ve sınai endeksi için 28/12/1990, hizmetler için 2/1/1997 ve teknoloji endeksi için 3/7/2000âdir. Seriler baÅlangıç tarihlerinden 20/02/2008 tarihine kadar olan süreyi günlük verileri kapsamaktadır. Yapılan hem parametrik hem de parametrik olmayan süre baÄımlılıÄı testlerine göre incelenen tüm sektörlerde spekülatif ÅiÅkinliklerin var olmadıÄı gözlemlenmiÅtir. English Abstract: The main aim of this study is to examine the existence of speculative bubbles in Turkey using the daily data on ISE-100 and different sectors. For this purpose, the approach developed by McQueen and Thorley (1994), which utilizes duration models, is used. The beginning date of the daily indexes is 3/7/1987 for ISE-100 index, 28/12/1990 for financial and industry indexes, and 2/1/1997 for services index and 3/7/2000 for technology index. The end of the observation period for all of the indexes is 20/02/2008. Both parametric and non-parametric duration test results do not support the expectations that there are speculative bubbles in all cases, that is, for the full data (ISE-100) and the data by considering sector differences as well.
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Turkish Abstract: Bu çalıÅmanın amacı İMKBâde spekülatif ÅiÅkinliklerin varlıÄının süre verisi (duration) modeli ile test edilmesidir. Bu amaçla İMKBâdeki hisse senedi fiyatlarında süre baÄımlılıÄı olup olmadıÄı McQueen ve Thorley (1994)ânin yaklaÅımı kullanılarak farklı sektörler bazında araÅtırılmaktadır. Verilerin baÅlangıç tarihi IMKB 100 endeksi için 3/7/1987, mali endeks ve sınai endeksi için 28/12/1990, hizmetler için 2/1/1997 ve teknoloji endeksi için 3/7/2000âdir. Seriler baÅlangıç tarihlerinden 20/02/2008 tarihine kadar olan süreyi günlük verileri kapsamaktadır. Yapılan hem parametrik hem de parametrik olmayan süre baÄımlılıÄı testlerine göre incelenen tüm sektörlerde spekülatif ÅiÅkinliklerin var olmadıÄı gözlemlenmiÅtir. English Abstract: The main aim of this study is to examine the existence of speculative bubbles in Turkey using the daily data on ISE-100 and different sectors. For this purpose, the approach developed by McQueen and Thorley (1994), which utilizes duration models, is used. The beginning date of the daily indexes is 3/7/1987 for ISE-100 index, 28/12/1990 for financial and industry indexes, and 2/1/1997 for services index and 3/7/2000 for technology index. The end of the observation period for all of the indexes is 20/02/2008. Both parametric and non-parametric duration test results do not support the expectations that there are speculative bubbles in all cases, that is, for the full data (ISE-100) and the data by considering sector differences as well.
Product Market Competition and the Relocation of Economic Activity: Evidence from the Supply Chain
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We show that increasing competition changes the location of economic activity and, in turn, affects supply chain relationships. Using establishment-level data, we find that when upstream product markets become more competitive, suppliers are more likely to relocate their establishments closer to customers. Following the supplierâs relocation, its sales to the customer increase, its relationship with the customer is less likely to be terminated, and its innovation is more aligned with the customerâs innovation. However, the improved relationship, by causing the supplier to engage more in innovation dedicated to the customer, adversely affects creative innovation, which is known to drive growth.
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We show that increasing competition changes the location of economic activity and, in turn, affects supply chain relationships. Using establishment-level data, we find that when upstream product markets become more competitive, suppliers are more likely to relocate their establishments closer to customers. Following the supplierâs relocation, its sales to the customer increase, its relationship with the customer is less likely to be terminated, and its innovation is more aligned with the customerâs innovation. However, the improved relationship, by causing the supplier to engage more in innovation dedicated to the customer, adversely affects creative innovation, which is known to drive growth.
The Relationship Between Foreign Investments and Stock Returns on Istanbul Stock Exchange / IÌmkbâde Yabanci IÌÅlemleriÌ Ve HiÌsse SenediÌ GetiÌriÌleriÌ IÌliÌÅkiÌsiÌ
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Turkish Abstract: Bu çalıÅmada İMKB hisse senedi piyasasında yabancı iÅlemlerin hisse senedi getirileri üzerinde etkili olup olmadıÄı, tabanın geniÅlemesi (base broadening) hipotezinden yola çıkılarak ortaya konulmaya çalıÅmıÅtır. 1997:01 â" 2008:09 tarihleri arasındaki aylık veriler kullanılarak, iki deÄiÅken arasındaki eÅbütünleÅme iliÅkisi Pesaran vd. (2001) tarafından geliÅtirilen Sınır Testi ve ARDL modelleri yardımıyla analiz edilmiÅtir. Sonuçta yabancı iÅlem hacmi ile hisse senedi getirileri arasında uzun dönemde pozitif bir iliÅki tespit edilmiÅ ancak bu iliÅkinin kısa dönemde anlamlı olmadıÄı görülmüÅtür. English Abstract: This paper, emerging from base broadening hypothesis, investigates whether the foreign transactions have an affect on the security returns in ISE. The co-integration relationship between two variables has been analyzed by the bounds testing approach developed by Pesaran et. al.(2001) and ARDL models using the monthly data of 1997:01- 2009:12. As a result, a positive relationship has been detected between the foreign transactions and returns of shares in the long run. However, the same relationship is insignificant in the short run. This finding can be interpreted as the validity of base broadening hypothesis in long term in ISE.
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Turkish Abstract: Bu çalıÅmada İMKB hisse senedi piyasasında yabancı iÅlemlerin hisse senedi getirileri üzerinde etkili olup olmadıÄı, tabanın geniÅlemesi (base broadening) hipotezinden yola çıkılarak ortaya konulmaya çalıÅmıÅtır. 1997:01 â" 2008:09 tarihleri arasındaki aylık veriler kullanılarak, iki deÄiÅken arasındaki eÅbütünleÅme iliÅkisi Pesaran vd. (2001) tarafından geliÅtirilen Sınır Testi ve ARDL modelleri yardımıyla analiz edilmiÅtir. Sonuçta yabancı iÅlem hacmi ile hisse senedi getirileri arasında uzun dönemde pozitif bir iliÅki tespit edilmiÅ ancak bu iliÅkinin kısa dönemde anlamlı olmadıÄı görülmüÅtür. English Abstract: This paper, emerging from base broadening hypothesis, investigates whether the foreign transactions have an affect on the security returns in ISE. The co-integration relationship between two variables has been analyzed by the bounds testing approach developed by Pesaran et. al.(2001) and ARDL models using the monthly data of 1997:01- 2009:12. As a result, a positive relationship has been detected between the foreign transactions and returns of shares in the long run. However, the same relationship is insignificant in the short run. This finding can be interpreted as the validity of base broadening hypothesis in long term in ISE.
The Strategic Ambiguity of the General Welfare Clause
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Article I, section 8, Clause 1 enumerates a power "to provide for the common defense and general welfare." Conventional constitutional doctrine interprets this language"called the General Welfare Clause in this article"as conferring "The Spending Power," a power to spend, but not to regulate, for any and all national purposes. Yet on its face, the General Welfare Clause seems to grant a general power to legislate on all matters of national concern. This article argues that the historical rejection of this "general welfare interpretation" in favor of the spending power interpretation is dictated neither by the text nor drafting history of the General Welfare Clause. The General Welfare Clause first appeared during the Philadelphia Constitutional Convention as a proposal, overlooked by scholars, in a second report presented by the Committee of Detail on August 22, 1787 (two weeks after submitting its well-known first draft of the Constitution). The Committee proposed to add an unambiguous legislative authorization to legislate for "the general interests and welfare of the United States" at the end of the Necessary and Proper Clause. Over the next two weeks, that language was ambiguated and relocated to its final placement, at the end of Article I, section 8, Clause 1. The final version of Clause 1 is best understood as a prominent example of "strategic ambiguity," a deliberate choice by the Framers to employ ambiguous language to accommodate differences of opinion without resolving them. Here, the Framers held competing views on three related issues: whether the enumeration of powers was exhaustive or illustrative; whether the taxing power should be limited to identified purposes; and whether the new national government should assume the Revolutionary War debts of the states. The ambiguity of the General Welfare Clause was intended to leave interpretive space for the general welfare interpretation, among others.
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Article I, section 8, Clause 1 enumerates a power "to provide for the common defense and general welfare." Conventional constitutional doctrine interprets this language"called the General Welfare Clause in this article"as conferring "The Spending Power," a power to spend, but not to regulate, for any and all national purposes. Yet on its face, the General Welfare Clause seems to grant a general power to legislate on all matters of national concern. This article argues that the historical rejection of this "general welfare interpretation" in favor of the spending power interpretation is dictated neither by the text nor drafting history of the General Welfare Clause. The General Welfare Clause first appeared during the Philadelphia Constitutional Convention as a proposal, overlooked by scholars, in a second report presented by the Committee of Detail on August 22, 1787 (two weeks after submitting its well-known first draft of the Constitution). The Committee proposed to add an unambiguous legislative authorization to legislate for "the general interests and welfare of the United States" at the end of the Necessary and Proper Clause. Over the next two weeks, that language was ambiguated and relocated to its final placement, at the end of Article I, section 8, Clause 1. The final version of Clause 1 is best understood as a prominent example of "strategic ambiguity," a deliberate choice by the Framers to employ ambiguous language to accommodate differences of opinion without resolving them. Here, the Framers held competing views on three related issues: whether the enumeration of powers was exhaustive or illustrative; whether the taxing power should be limited to identified purposes; and whether the new national government should assume the Revolutionary War debts of the states. The ambiguity of the General Welfare Clause was intended to leave interpretive space for the general welfare interpretation, among others.
TürkiÌyeâde Sosyal Sorumlu Yatirimlarin Performanslari: BiÌst SürdürülebiÌliÌrliÌk EndeksiÌ Uygulamasi (Performance of Social Responsible Investments in Turkey: Evidence From Bist Sustainability Index)
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Turkish abstract: Bu çalıÅmada Türkiyeâde sosyal sorumlu yatırımlar ile geleneksel hisse senedi yatırımlarının performansları karÅılaÅtırılmıÅtır. Geleneksel hisse senedi yatırımlarının temsilcisi olarak BİST100 pazar endeksi, sosyal sorumlu yatırımların temsilcisi olarak BİST sürdürülebilirlik endeksi kullanılmıÅtır. Veri dönemi olarak BİST sürdürülebilirlik endeksinin baÅlangıç tarihi olan 04.11.2014 ile 10.10.2019 arası yaklaÅık 5 yıllık dönem seçilmiÅ ve günlük veri kullanılmıÅtır. Yapılan analizler sonucunda, sürdürülebilirlik endeksinin Sharpe ve Treynor rasyoları pazar endeksinden daha yüksek hesaplanmıŠancak aradaki farklar %95güven seviyesinde sıfırdan farklı bulunmamıÅtır. Benzer Åekilde sürdürülebilirlik endeksinin Jensen alfası pozitif ancak %95güven seviyesinde sıfırdan farklı deÄildir. Dolayısıyla elde edilen bulgular Türkiyeâde risk ayarlı getiri perspektifinde sosyal sorumlu ve geleneksel yatırımların performansları arasında bir farklılık olmadıÄını göstermiÅtir. Bu sonuç BİST üzerinde daha kısa veri dönemi ile yapılan çalıÅmalarla uyumlu olup Türkiyeâde sosyal sorumluluk kavramının varlık seçimini/fiyatlandırmasını belirgin Åekilde etkilemediÄini göstermiÅtir. Ayrıca sosyal sorumlu yatırım yapmayı düÅünen yatırımcıların portföyün finansal performansında kötüleÅme olmaksızın sosyal sorumlu yatırımları tercih edebileceÄi anlaÅılmaktadır.English extended abstract:1. MOTIVATIONFor both generic(traditional) investor and socially responsible investors who are actors of the capital market, it is important to compare the performance of socially responsible investments with traditional investments. Although various studies have been conducted in this area, the number of research conducted in Turkey is limited. Therefore, in this study, the performance of socially responsible investments and traditional investments was compared for Turkey.2. METHODOLOGYIstanbul Stock Exchange Sustainability index was used as the representative of socially responsible investments and market index (BIST100) was used as representative of traditional investments. Daily data were used for the period between 2014-2019. For the period in question, the return, risk and risk adjusted return of both indices are compared. Sharpe ratio, Treynor ratio and Jensen alpha are used for risk adjusted return.T tests were used to compare the differences.3. FINDINGS AND DISCUSSION The systematic risk (beta) of the sustainability index is higher than 1 for all years in the data period and the fact that the beta is higher than 1 is significant at the 95% confidence level. Also, the return of the sustainability index is higher than the market index for 4 of the 6 years and for whole period but the differences were not statistically significant. The risk-adjusted returns of the sustainability index were higher than the market index for 4 of the 6 years and the whole period but the differences werenât statistically significant.For the whole period, the Sharpe and Treynor ratio of the sustainability index is 0.001 and 0.002 respectively, and the same ratios of the market index are -0.001 and -0.001, respectively. Also, the Jensen alpha of sustainability index is positive (0.002). However, as stated above, the differences between risk-adjusted returns are not statistically significant at 95% confidence level.4. CONCLUSION, RECOMMENDATION AND LIMITATIONS The risk and return of the BIST sustainability index for the whole period is higher than the market index, but only high risk is statistically significant. In terms of risk-adjusted returns, the performance of the sustainability index is higher than the market index, but the difference isn't statistically significant. Therefore, these results showed that the concept of sustainability (social responsibility) isnât yet widespread enough to affect asset pricing/choosing in Turkey. These results also indicate that socially responsible investors have the opportunity to make socially responsible investments without sacrificing financial performance. These findings are consistent with research in the literature. As a matter of fact, the fact that the sustainability index is riskier is a finding obtained in almost every research. However, as it has been interpreted in other studies, this seems to be the result of the companies in the sustainability index being larger companies than others and being more sensitive to macroeconomic developments.Finally, the first constraint of the research is that some companies are in both the sustainability index and the market index. This situation creates the possibility of bias in the results of the performance comparison between the two indices. The second constraint of the research is that the companies in the sustainability index are larger than the companies in the market index. Clearing the results from the effect of the company size will make the findings obtained more neutral. Also, comparison of socially responsible investments with traditional investments in bear and bull markets will contribute to the literature.
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Turkish abstract: Bu çalıÅmada Türkiyeâde sosyal sorumlu yatırımlar ile geleneksel hisse senedi yatırımlarının performansları karÅılaÅtırılmıÅtır. Geleneksel hisse senedi yatırımlarının temsilcisi olarak BİST100 pazar endeksi, sosyal sorumlu yatırımların temsilcisi olarak BİST sürdürülebilirlik endeksi kullanılmıÅtır. Veri dönemi olarak BİST sürdürülebilirlik endeksinin baÅlangıç tarihi olan 04.11.2014 ile 10.10.2019 arası yaklaÅık 5 yıllık dönem seçilmiÅ ve günlük veri kullanılmıÅtır. Yapılan analizler sonucunda, sürdürülebilirlik endeksinin Sharpe ve Treynor rasyoları pazar endeksinden daha yüksek hesaplanmıŠancak aradaki farklar %95güven seviyesinde sıfırdan farklı bulunmamıÅtır. Benzer Åekilde sürdürülebilirlik endeksinin Jensen alfası pozitif ancak %95güven seviyesinde sıfırdan farklı deÄildir. Dolayısıyla elde edilen bulgular Türkiyeâde risk ayarlı getiri perspektifinde sosyal sorumlu ve geleneksel yatırımların performansları arasında bir farklılık olmadıÄını göstermiÅtir. Bu sonuç BİST üzerinde daha kısa veri dönemi ile yapılan çalıÅmalarla uyumlu olup Türkiyeâde sosyal sorumluluk kavramının varlık seçimini/fiyatlandırmasını belirgin Åekilde etkilemediÄini göstermiÅtir. Ayrıca sosyal sorumlu yatırım yapmayı düÅünen yatırımcıların portföyün finansal performansında kötüleÅme olmaksızın sosyal sorumlu yatırımları tercih edebileceÄi anlaÅılmaktadır.English extended abstract:1. MOTIVATIONFor both generic(traditional) investor and socially responsible investors who are actors of the capital market, it is important to compare the performance of socially responsible investments with traditional investments. Although various studies have been conducted in this area, the number of research conducted in Turkey is limited. Therefore, in this study, the performance of socially responsible investments and traditional investments was compared for Turkey.2. METHODOLOGYIstanbul Stock Exchange Sustainability index was used as the representative of socially responsible investments and market index (BIST100) was used as representative of traditional investments. Daily data were used for the period between 2014-2019. For the period in question, the return, risk and risk adjusted return of both indices are compared. Sharpe ratio, Treynor ratio and Jensen alpha are used for risk adjusted return.T tests were used to compare the differences.3. FINDINGS AND DISCUSSION The systematic risk (beta) of the sustainability index is higher than 1 for all years in the data period and the fact that the beta is higher than 1 is significant at the 95% confidence level. Also, the return of the sustainability index is higher than the market index for 4 of the 6 years and for whole period but the differences were not statistically significant. The risk-adjusted returns of the sustainability index were higher than the market index for 4 of the 6 years and the whole period but the differences werenât statistically significant.For the whole period, the Sharpe and Treynor ratio of the sustainability index is 0.001 and 0.002 respectively, and the same ratios of the market index are -0.001 and -0.001, respectively. Also, the Jensen alpha of sustainability index is positive (0.002). However, as stated above, the differences between risk-adjusted returns are not statistically significant at 95% confidence level.4. CONCLUSION, RECOMMENDATION AND LIMITATIONS The risk and return of the BIST sustainability index for the whole period is higher than the market index, but only high risk is statistically significant. In terms of risk-adjusted returns, the performance of the sustainability index is higher than the market index, but the difference isn't statistically significant. Therefore, these results showed that the concept of sustainability (social responsibility) isnât yet widespread enough to affect asset pricing/choosing in Turkey. These results also indicate that socially responsible investors have the opportunity to make socially responsible investments without sacrificing financial performance. These findings are consistent with research in the literature. As a matter of fact, the fact that the sustainability index is riskier is a finding obtained in almost every research. However, as it has been interpreted in other studies, this seems to be the result of the companies in the sustainability index being larger companies than others and being more sensitive to macroeconomic developments.Finally, the first constraint of the research is that some companies are in both the sustainability index and the market index. This situation creates the possibility of bias in the results of the performance comparison between the two indices. The second constraint of the research is that the companies in the sustainability index are larger than the companies in the market index. Clearing the results from the effect of the company size will make the findings obtained more neutral. Also, comparison of socially responsible investments with traditional investments in bear and bull markets will contribute to the literature.
TürkiÌyeâdekiÌ En Büyük 1000 SanayiÌ IÌÅletmesiÌniÌn Karlilik AnaliÌziÌ (the Profitability Analysis of the Largest 1000 Industrial Firms in Turkey)
SSRN
Turkish Abstract: Bu çalıÅmanın amacı Türkiyeâdeki sanayi iÅletmelerinde karlılıÄı etkileyen unsurların ortaya konulmasıdır. Karı etkileyen unsurların belirlenmesi Åirketlerin daha verimli çalıÅarak karlarını daha kolay kontrol etmelerini saÄlayabilmektedir. Bu amaçla İstanbul Sanayi Odası tarafından her yıl belirlenen 500 büyük ve ikinci 500 büyük sanayi iÅletmesi veri seti olarak seçilmiÅtir. 1000 iÅletmeye ait 1993 â" 2010 arasındaki yıllık panel veriler analize tabi tutulmuÅtur. Sonuç olarak karlılık oranı ile borçlanma ve büyüklük arasında negatif, iÅgücü verimliliÄi ve ihracat düzeyi arasında pozitif bir iliÅki olduÄu ortaya konulmuÅtur. Ayrıca yabancı ortaklı Åirketlerin yerli Åirketlere oranla, özel Åirketlerin ise kamu Åirketlerine oranla daha karlı olduÄu tespit edilmiÅtir.English Abstract: This study aims to explain the factors affecting the profitability among Turkish industrial firms. The determination of the factors which may influence profitability enables firms to work more effectively and to control their profits much easily. For this reason, the top 500 and the second batch of 500 largest firms, determined each year by Istanbul Chamber of Industry, have been taken as the data set. Panel data pertaining, to the top 1000 firms have been analyzed. It has been found that there is an inverse relationship between profitability rate and level of debt. The relationship between profitability and size has also been found as inverse. On the other hand, a positive relationship has been found between workforce efficiency and the level of exports of a firm. The findings also suggest that foreign partnership firms are more profitable than domestic businesses and private firms are more profitable than state-owned firms enterprises.
SSRN
Turkish Abstract: Bu çalıÅmanın amacı Türkiyeâdeki sanayi iÅletmelerinde karlılıÄı etkileyen unsurların ortaya konulmasıdır. Karı etkileyen unsurların belirlenmesi Åirketlerin daha verimli çalıÅarak karlarını daha kolay kontrol etmelerini saÄlayabilmektedir. Bu amaçla İstanbul Sanayi Odası tarafından her yıl belirlenen 500 büyük ve ikinci 500 büyük sanayi iÅletmesi veri seti olarak seçilmiÅtir. 1000 iÅletmeye ait 1993 â" 2010 arasındaki yıllık panel veriler analize tabi tutulmuÅtur. Sonuç olarak karlılık oranı ile borçlanma ve büyüklük arasında negatif, iÅgücü verimliliÄi ve ihracat düzeyi arasında pozitif bir iliÅki olduÄu ortaya konulmuÅtur. Ayrıca yabancı ortaklı Åirketlerin yerli Åirketlere oranla, özel Åirketlerin ise kamu Åirketlerine oranla daha karlı olduÄu tespit edilmiÅtir.English Abstract: This study aims to explain the factors affecting the profitability among Turkish industrial firms. The determination of the factors which may influence profitability enables firms to work more effectively and to control their profits much easily. For this reason, the top 500 and the second batch of 500 largest firms, determined each year by Istanbul Chamber of Industry, have been taken as the data set. Panel data pertaining, to the top 1000 firms have been analyzed. It has been found that there is an inverse relationship between profitability rate and level of debt. The relationship between profitability and size has also been found as inverse. On the other hand, a positive relationship has been found between workforce efficiency and the level of exports of a firm. The findings also suggest that foreign partnership firms are more profitable than domestic businesses and private firms are more profitable than state-owned firms enterprises.