Researcher:
Gökçen, Umut

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Umut

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Gökçen

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Gökçen, Umut

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2015 - 20182

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Researcher Of Publications: search.filters.isAuthorOfPublication.8cf0c3da-6833-4c28-bc42-b56a35c65094

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    Trading volume, return variability and short-term momentum
    (Routledge Journals, Taylor & Francis Ltd, 2018) Department of Business Administration; N/A; Gökçen, Umut; Post, Gerrit Tjeerd; Faculty Member; Other; Department of Business Administration; College of Administrative Sciences and Economics; Graduate School of Business; 135461; N/A
    We propose short-term averages of daily stock-level trading volume and return variability as proxies for latent corporate news flow. Conditioning momentum strategies on these two proxies give a significant boost to winner-minus-loser alphas. Regardless of the portfolio formation and holding periods, price drift is larger after elevated levels of volume and variability, supporting the view that prices underreact to news. This pattern is not driven by micro-cap stocks and it is robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.
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    PublicationOpen Access
    The case against active pension funds: evidence from the Turkish Private Pension System
    (Elsevier, 2015) Yalçın, Atakan; Department of Business Administration; Gökçen, Umut; Department of Business Administration; College of Engineering
    Using data on private Turkish pension funds we show that most active managers are not able to provide performance beyond what could be achieved by passive indexing. The average fund beats its benchmark by only 26 basis points, before fees. We also observe herding behavior among managers' asset allocation decisions which can potentially explain their lack of overperformance. Our results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. We further recommend regulatory oversight on the "activeness" of funds and introduction of default plans with more balanced asset allocations.