Researcher:
Yalçın, Atakan

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Atakan

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Yalçın

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Yalçın, Atakan

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2007 - 200922010 - 20113

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Researcher Of Publications: search.filters.isAuthorOfPublication.70330536-541b-418b-aec3-f36122997532

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    Does the conditional CAPM work? evidence from the Istanbul stock exchange
    (Taylor & Francis, 2011) Ersahin, Nuri; Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934
    Using a sample of common stocks traded on the Istanbul Stock Exchange from February 1997 to April 2008, we test whether the conditional capital asset pricing model (CAPM) accurately prices assets. In our empirical analysis, we closely follow the methodology introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fares no better than the static counterpart in pricing assets. Although market betas do vary significantly over time, the intertemporal variation is not large enough to drive average conditional alphas to zero.
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    Gradual information diffusion and contrarian strategies
    (Elsevier Science Inc, 2008) Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934
    Various rational and behavioral models have been proposed to explain contrarian portfolio returns. In this article, I test the gradual information diffusion model of Hong and Stein [Hong, H., & Stein J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54, 2143-2184]. Specifically, I study contrarian strategies based on past long-term returns and fundamental value-to-price ratios. Using ex post returns as a proxy for expected returns and size-controlled analyst coverage as a proxy for the rate of information diffusion, I show that contrarian portfolio returns decline monotonically with increasing rates of information diffusion. These results are consistent with the predictions of the Hong and Stein model. In addition, I show that analyst coverage is more important among glamour than value stocks, supporting the view that investors are more prone to decision biases when it comes to pricing hard-to-value glamour stocks for which information is relatively more ambiguous.
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    Predicting systematic risk: implications from growth options
    (Elsevier Science Bv, 2010) Jacquier, Eric; Titman, Sheridan; Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934
    In accordance with the well-known financial leverage effect decreases in stock prices cause an increase in the levered equity beta for a given unlevered beta However as growth options are more volatile and have higher risk than assets in place a price decrease may decrease the unlevered equity beta via an operating leverage effect This is because price decreases are associated with a proportionately higher loss in growth options than in assets in place Most of the existing literature focuses on the financial leverage effect This paper examines both effects We show with a simple option pricing model the opposing effects at work when the firm is a portfolio of assets in place and growth options Our empirical results show that, contrary to common belief the operating leverage effect largely dominates the financial leverage effect even for initially highly levered firms with presumably few growth options We then link variations in betas to measurable firm characteristics that proxy for the fraction of the firm invested in growth options We show that these proxies jointly predict a large fraction of future cross-sectional differences in betas These results have important implications on the predictability of equity betas hence on empirical asset pricing and on portfolio optimization that controls for systematic risk.
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    Regulation fair disclosure and the market's reaction to analyst investment recommendation changes
    (Elsevier Science Bv, 2007) Cornett, Marcia Millon; Tehranian, Hassan; Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934
    Previous research has shown that affiliated analysts (those who are working for investment banks that underwrite securities for companies) have an incentive to provide optimistically biased recommendations from selective information they are given by the firm. In an effort to halt such activities, as of October 2000, Regulation Fair Disclosure (RegFD) prohibits selective disclosure of material non-public information by public companies to privileged individuals (such as favored research analysts) and requires broad, non-exclusionary disclosure of such information. We examine firms' stock price reactions to investment recommendation changes from affiliated analysts versus unaffiliated analysts from October 1998 to November 2002, around the passage of RegFD. Similar to previous research, we find that investors reacted more significantly to recommendation downgrades by affiliated analysts than to those by unaffiliated analysts prior to the passage of RegFD. However, we find that the difference in the reactions to recommendation changes is not present after the passage of RegFD. We also find that stock price reactions to analysts' (both affiliated and unaffiliated) recommendation changes decreased significantly after the passage of RegFD. Thus, RegFD appears to have curbed the selective disclosure of information (particularly negative information) by firms to affiliated analysts. Further, the smaller reactions to recommendation changes by all analysts after RegFD may reflect a change in analysts' behavior (irrespective of information that is available) or a response by corporate managers to withhold information rather than risking a violation of fair disclosure rules.
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    Optimal portfolio selection with a shortfall probability constraint: evidence from alternative distribution functions
    (Wiley, 2010) Department of Business Administration; N/A; Akçay, Yalçın; Yalçın, Atakan; Faculty Member; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; College of Administrative Sciences and Economics; 51400; N/A
    We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results indicate that the loss-averse portfolio outperforms the widely used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We also evaluate the relative performance of the loss-averse portfolio with normal, symmetric thin-tailed, symmetric fat-tailed, and skewed fat-tailed return distributions in terms of average return, risk, and average risk-adjusted return.