Research Outputs
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Publication Metadata only A dynamic asset pricing model with time-varying factor and idiosyncratic risk(Oxford University Press (OUP), 2009) Department of Economics; Glabadanidis, Paskalis; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AThis paper uses a multivariate GaRCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CaPM and the three-factor Fama-French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CaPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CaPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.Publication Metadata only A gender- and class-sensitive explanatory model for rural women entrepreneurship in Turkey(Emerald Group Publishing Ltd, 2020) N/A; N/A; Kurtege Sefer, Bengü; Researcher; The Center for Gender Studies (KOÇ-KAM) / Koç Üniversitesi Toplumsal Cinsiyet ve Kadın Çalışmaları Araştırma ve Uygulama Merkezi (KOÇ-KAM); N/A; 364663Purpose The purpose of this paper is to offer a new gender- and class-sensitive framework for research on rural women entrepreneurship by focusing on the women's agricultural cooperatives in Turkey. Although these cooperatives have been promoted as ideal bottom-to-top organizations to integrate women into economy as entrepreneurs, there has been significant decline in their numbers. This paper tackles with this contradictory situation and intends to offer an alternative research framework on the viability of the women's agricultural cooperatives in Turkey. Design/methodology/approach The paper is built on a critical assessment of the existing literature. It argues that a framework that brings together macro-, meso- and micro-factors will provide a springboard to unfold the gendered processes integral to rural female entrepreneurship in Turkey. Drawing on intersectional theory, the multilayered factors which operate to rural women's (dis)advantages through the cooperatives are unfolded as policymaking, policy implementation and everyday experiences. Findings For policymakers and implementers, it points out the need for a holistic and integrated understanding of rural female entrepreneurship and for re-formulation of policies at the state level. For rural women, it draws attention to the measures required to be taken at the cooperative level to overcome inequalities. Originality/value This paper is original in making explicit social, political and economic embeddedness of female entrepreneurship in rural Turkey.Publication Metadata only A global brand management roadmap(Elsevier, 2012) Batra, Rajeev; Chattopadhyay, Amitava; ter Hofstede, Frenkel; Department of Business Administration; Tunalı, Ayşegül Özsomer; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 108158N/APublication Metadata only A near-optimal order-based inventory allocation rule in an assemble-to-order system and its applications to resource allocation problems(Springer, 2005) Xu, Susan Hong; Department of Business Administration; Akçay, Yalçın; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 51400Assemble-to-order (ATO) manufacturing strategy has taken over the more traditional make-to-stock (MTS) strategy in many high-tech firms. ATO strategy has enabled these firms to deliver customized demand timely and to benefit from risk pooling due to component commonality. However, multi-component, multi-product ATO systems pose challenging inventory management problems. In this chapter, we study the component allocation problem given a specific replenishment policy and realized customer demands. We model the problem as a general multidimensional knapsack problem (MDKP) and propose the primal effective capacity heuristic (PECH) as an effective and simple approximate solution procedure for this NP-hard problem. Although the heuristic is primarily designed for the component allocation problem in an ATO system, we suggest that it is a general solution method for a wide range of resource allocation problems. We demonstrate the effectiveness of the heuristic through an extensive computational study which covers problems from the literature as well as randomly generated instances of the general and 0-1 MDKP. In our study, we compare the performance of the heuristic with other approximate solution procedures from the ATO system and integer programming literature.Publication Metadata only A note on the valuation of compound options(John Wiley & Sons Inc, 2002) N/A; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AThe value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims, The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option.Publication Metadata only A resource-based model of market learning in the subsidiary: the capabilities of exploration and exploitation(Sage Publications Inc, 2003) N/A; Department of Business Administration; Department of Business Administration; Tunalı, Ayşegül Özsomer; Gençtürk, Esra; Faculty Member; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; College of Administrative Sciences and Economics; 108158; 107322The literature reflects remarkably little effort to develop a framework for understanding market learning at subsidiaries Of multinational corporations. This article develops a model that incorporates exploratory and exploitative learning as two capabilities that need to be effectively nurtured and managed in subsidiaries. The authors integrate the organizational-learning and resource-based view of the firm; present field interviews with managers; and Propose that resources derived from the parent, the subsidiary, and the parent-subsidiary relationships are related to the creation of new knowledge and the use of existing knowledge in subsidiaries. The authors develop research propositions that capture the differential impacts of each learning capability on subsidiary performance. It is suggested that the turbulence of subsidiary markets moderates the strength of the relationships between market-learning capabilities and performance.Publication Metadata only A review of consumer embarrassment as a public and private emotion(John Wiley and Sons Ltd, 2019) Krishna, Aradhna; Herd, Kelly B.; Department of Business Administration; Aydınoğlu, Nilüfer Zümrüt; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 114037Whether the result of mispronouncing a fancy brand name, miscalculating a tip, purchasing a sensitive product, or stumbling into a product display, embarrassment is an important part of the consumer landscape. Embarrassment has traditionally been considered a social emotion, one that can only be experienced in public. In this paper, we offer a comprehensive review of consumer embarrassment and consider situations in which embarrassment can affect consumer behavior in both public and private contexts. We define embarrassment using this broader conceptualization and outline the transgressions that might trigger embarrassment in consumption contexts. We also discuss the diverse implications of embarrassment for consumer behavior, and review the strategies that both consumers and practitioners can use to mitigate embarrassment and its negative consequences. We hope this framework will stimulate new research on consumer embarrassment in both public and private contexts.Publication Metadata only Actual purchase as a proxy for share of wallet(Sage Publications Inc, 2005) Perkins-Munn, Tiffany; Keiningham, Timothy; Estrin, Deborah; Department of Business Administration; Aksoy, Lerzan; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; N/AShare of wallet is a concept that is growing in popularity among satisfaction researchers. There is no empirical research, however, examining the relationship between satisfaction, retention, and share of wallet. This is largely the result of the inherent difficulty collecting true share of wallet information in most business categories. If the impact of satisfaction on share of wallet is the same as satisfaction on retention, then managers can simply substitute more easily obtainable retention data. Therefore, this research examines the appropriateness of using actual purchase as a proxy for the more difficult to attain share of wallet in two distinct industries, Class 8 trucks and pharmaceuticals. The findings indicate that the top performance attributes in terms of predictive ability are the same and in the same order for each outcome, suggesting that for some firms, actual purchase may represent an acceptable proxy for share of wallet when deriving opportunities for service improvement.Publication Metadata only Aggregate earnings, firm-level earnings, and expected stock returns(Cambridge Univ Press, 2008) Tehranian, Hassan; Demirtaş Özgür; Department of Economics; Bali, Turan; Other; Department of Economics; College of Administrative Sciences and Economics; N/AThis paper provides an analysis of the predictability of stock returns using market-, industry-, and firm-level earnings. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables do not have robust predictive power across different stock portfolios and sample periods. In contrast to the aggregate-level findings, earnings yield has significant explanatory power for the time-series and cross-sectional variation in firm-level stock returns and the 48 industry portfolio returns. The mean reversion of stock prices as well as the earnings' correlation with expected stock returns are responsible for the forecasting power of earnings yield. These results are robust after controlling for book-to-market, size, price momentum, and post-earnings announcement drift. At the aggregate level, the information content of firm-level earnings about future cash flows is diversified away and higher aggregate earnings do not forecast higher returns.Publication Metadata only Aggregate investor preferences and beliefs: a comment(Elsevier Science Bv, 2013) Kopa, Milos; N/A; Post, Gerrit Tjeerd; Other; Graduate School of Business; N/AA recent study in this journal presents encouraging results of a daunting simulation analysis of the statistical properties of a centered bootstrap approach to stochastic dominance efficiency analysis. However, by relying on the first-order optimality condition in a situation where multiple optima may occur, the empirical analysis draws the questionable conclusion that some of the toughest data sets in empirical asset pricing can be rationalized by the representative investor maximizing an S-shaped utility function, consistent with the so-called Prospect Stochastic Dominance criterion. Further research could be directed to developing global optimization algorithms and consistent re-sampling methods for statistical inference for general risky choice problems.