Papers by Yaman Erzurumlu
Journal of Property Research, Jan 29, 2023
This study discusses a potential legal design in real estate investment after the impact of block... more This study discusses a potential legal design in real estate investment after the impact of blockchain and tokenization. The article addresses the legal design challenges of real estate crowdfunding, proposing potential solutions that combine blockchain technology, tokenization, finance, and law. We propose a blockchain tokenized security design, based on a certificate similar to Sukuk, an Islamic finance asset, that draws inspiration from Equipment Trust Certificates and is managed by a Special Purpose Vehicle (SPV). We further propose a legal design, security token offering procedure. An SPV may issue blockchain tokenized certificates. These certificates grant rights related to an investment property. Each series of certificates represents specific property and will be a liability of the SPV that owns the property. In general, the tokens used resemble but remain categorically distinct from asset-backed securities. Their performance still depends on the underlying asset's performance. Most important, token owners do not 1 Corresponding author 1 become partners in the SPV but are granted fractional ownership and rights on the underlying property. The proposed token mechanism could prevent delays in the transaction process related to transferring ownership of a property. It could split at some point to allow for the creation of ownership and income rights. The proposed security design potentially protects investors' legal rights better without standard application of investors becoming partners in the SPV while shortening the transaction times, and increasing transparency and asset liquidity.
ANN Based Holistic Performance Valuation and Mutual Fund Selection: Evidence from Turkey Abstract... more ANN Based Holistic Performance Valuation and Mutual Fund Selection: Evidence from Turkey Abstract. This study attempts to conduct a quantitative analysis of the mutual fund performance using ANN-Machine learning based fund scoring methodology. We generate fund scores using 62 performance measures for all equity mutual funds and fixed income mutual funds in Turkish mutual fund market and test the performance of the ANN-Machine learning generated scores using alternative simulation approaches. The results indicate that the more holistic and the least subjective the performance measurement approach is, the better it performs for equity fund selection. The portfolio blending all performance measure approaches for fund selection performs better than other approaches. AHP based approach, which arguably the next most holistic and the least subjective in nature comes the second. The results are robust to alternative asset allocation. However, findings do not hold for fixed income mutual fund portfolios. The best performing fixed income mutual fund portfolio is based on return based performance measures alone. From a practical perspective, our results imply that in an era which incorporating bigdata in performance analysis using methods like the ANN is possible, equity mutual fund performance measurement should not exclude any performance measurement approach. Omitting certain aspects of performance or subjective selection of performance measures could lead to sub-optimal results. Results also indicate that one size does not fit all. Incorporating a large size of data using artificial neural networks alone could not be the ultimate performance measurement method for all types of mutual funds. Keywords: Mutual Funds, Performance, Fund selection, MCDA, Artificial Neu-ral Network, AHP.
Social Science Research Network, Feb 1, 2020
We study the impact of internal governance mechanisms on the operational risk management provided... more We study the impact of internal governance mechanisms on the operational risk management provided with deposit banks of Turkey as a Basel compliant representative banking system. Drawing from internal audit, internal control and risk management literature, we consider the impact of characteristics of these mechanisms on the degree of operational loss at the subcommittee level. Two factors stand out as improving the internal governance of banks. Internal governance quality improves resulting in less material operational loss with adequate staffing. Organization of the internal governance mechanisms, carefully structured control points and sufficient reporting to senior level management in banks ensure that banks’ shareholders experience fewer surprises. Excess funding has limited or no effect on mitigating operational loss. Characteristics are more significant for internal audit and internal control subcommittees than they are for risk management subcommittee. Results are robust when tests are repeated with aggregated data in order to capture potential cooperation between and contribution of the individual units.
Tüketici ve Tüketim Araştırmaları Dergisi, 2021
Altyapı sağlayıcılar e-ticaret ekosisteminde köprü görevi görmektedir. E-ticaret ortamında iletiş... more Altyapı sağlayıcılar e-ticaret ekosisteminde köprü görevi görmektedir. E-ticaret ortamında iletişimin direkt olmaması bu köprüye daha da önem kazandırmaktadır. Bu çalışmada, altyapı/arayüz sağlayıcı ve yöneticileri perspektifinden e-ticaret alanında müşteri memnuniyetini etkileyebilecek faktörler araştırılmaktadır. E-ticaret alanında müşteri memnuniyetini etkileyen faktörlerle ilgili, sektördeki uzmanların görüşlerinin AHS yöntemi ile değerlendirilmesi yapılmıştır. Sonuçlara göre Tedarik zincirinin hizmet sağlama halkasında yer alan uzmanlar deneyimleri çerçevesinde öncelikli unsurun ürünün iyi fiyatlanmış ve
Journal of Economic Studies, 2022
PurposeThis study aims to attempt to understand the joint co-movement of bank deposit rate and it... more PurposeThis study aims to attempt to understand the joint co-movement of bank deposit rate and its main underlying determinants (foreign exchange rate (FX) rate, cross-currency swap rate and implied forward rate). The authors also compare time and frequency variant approaches in this dynamic.Design/methodology/approachThe authors examine bank deposit rates where multiple variables jointly interact, and the integration is time and frequency variant. The study applies both cointegration and wavelet coherence methods and conducts a comparative analysis. It investigates eight markets over 2005–2020 aiming to capture the impact of changing market conditions and degree of development.FindingsThe results are in line with cross-country interdependence, where we observe more robust evidence for co-movement during adverse economic conditions with higher correlation compared to other periods such as the 2007–2009 US mortgage crises, 2010–2012 Euro crises and 2019 pandemic. Moreover, wavelet an...
Academy of Management Proceedings, 2018
For many entrepreneurial ventures, data collection and analysis techniques and technologies are b... more For many entrepreneurial ventures, data collection and analysis techniques and technologies are becoming an important source that can foster new businesses. This trend is often referred to as “data...
Journal of Chinese Economic and Business Studies, 2021
International Journal of Monetary Economics and Finance, 2020
Lack of corporate governance was addressed as one of the reasons for financial scandals and crise... more Lack of corporate governance was addressed as one of the reasons for financial scandals and crises experienced during the 2000s. Financial crises were followed by audit committee mechanism revision, and focus shifted onto how audit committees' governance quality could be improved. Using a unique data set, this study investigates the impact of audit committee membership characteristics on the governing quality of the audit committee measured by operational loss in the Turkish banking sector. Results imply that gender diversification and multiple directorships of the members improve the governance effectiveness while auditing background alone does not make significant improvement after controlling for industry experience. Differences in cultural background and insufficient funding of the committee could be detrimental to the effectiveness of banks' audit committees at mitigating operational risk. Trends of the member characteristics for 2006-2012 suggest that the 2008 turbulence has mainly had a disciplinary effect on effective audit committees.
Doğuş Üniversitesi Dergisi, 2011
This paper examines the reaction of investors to the arrival of unexpected information on the Ist... more This paper examines the reaction of investors to the arrival of unexpected information on the Istanbul Stock Exchange. The empirical results suggest that the investor reaction following unexpected news on the ISE100 is consistent with Overreaction Hypothesis especially after unfavorable market surprises. Interestingly such pattern does not exist for ISE30 index which includes more liquid and informationally efficient securities. A possible implication of this study for investors is that employing a semi contrarian investment strategy of buying losers in ISE100 may generate superior returns. Moreover, results are supportive of the last regulation change of Capital Market Board of Turkey which mandates more disclosure regarding the trading of less liquid stocks with lower market capitalization.
Borsa Istanbul Review, 2018
This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based ... more This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single factor models are examined for 2005e2016 period in a panel data setting. Mean-semivariance approach (downside CAPM) based downside betas and downside standard deviations have significant explanatory power for stock returns whereas CAPM based local and global betas fail to explain stock returns. The mean-semivariance approach (downside CAPM) could determine cost of equity more accurately. Deviations of returns below the mean are better risk indicators than deviations of returns below risk free rate of return and negative returns. Borsa Istanbul is partially integrated with the global market index and the degree of integration is higher during periods of negative returns. Results suggest that USD/TRY relationship is the dominating factor compared to MSCI movements.
IEEE Transactions on Engineering Management, 2018
High market uncertainty impedes an entrepreneur's ability to evaluate the state of the market for... more High market uncertainty impedes an entrepreneur's ability to evaluate the state of the market for a business opportunity. For many entrepreneurial ventures, data collection and analysis techniques and technologies are becoming an important source to manage uncertainty. This trend is often referred to as "datadriven entrepreneurship." We consider a dynamic approach using data to overcome market uncertainty for business opportunityrelated evaluations. In particular, we examine the entrepreneur's investment portfolio in which each investment generates expected returns and some information about a specific aspect of the market for a single business opportunity. We develop a model that analyzes imperfect market data (e.g., financial, social, regulatory), while factoring in the entrepreneur's risk preference and operational shortages of resources, routines, reputation, and regulations. Our numerical findings show that, rather than pursuing the highest expected returns, an entrepreneur may choose perfect information, risk hedging, or market-controlling investments based on his/her cash level and risk preference. Hence, the entrepreneur, fueled by the availability of data analysis, could overcome uncertainties and obtain better insights for business opportunity decisions.
Asian Journal of Finance & Accounting, 2014
This paper examines the reaction of investors to the arrival of unexpected information on the Ind... more This paper examines the reaction of investors to the arrival of unexpected information on the Indian equity and foreign exchange markets. Market surprises are identified using a strictly quantitative approach, and cumulative abnormal returns are calculated and tracked for a period of 30 days after each favorable or unfavorable event.
Studies in computational intelligence, 2021
In the fast-paced technological change environment, Artificial Intelligence (AI) is among the fas... more In the fast-paced technological change environment, Artificial Intelligence (AI) is among the fastest evolving policy areas The opportunities promised by AI technologies are beyond the imaginations of scientists and innovators Therefore the risk which may impose is not easy to predict AI entails major challenges, such as gender and race biased discrimination, non-transparent nature of decision process or abuse of our privacy Major developed and developing countries prepare AI national strategies to enhance national competitiveness and maintain national security, through policies enabling power in the international and technological competition Large technology (platform) companies and governments are two major entities which have the big data During Covid-19, governments and large technology companies work together on artificial intelligence enabled solutions to take immediate actions As a side effect, this has accelerated the acceptance of digital transformation both in public and ...
ABSTRACT: This paper empirically examines short- and long-run relationships between foreign direc... more ABSTRACT: This paper empirically examines short- and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Conditional Heteroskedasticity models to calculate volatility of the FPIs. We utilize the second generation panel unit root test, panel-Wald causality test procedure and panel cointegration analysis allowing for structural breaks, and cross-sectional dependence. The results strongly suggest that a decrease in FPI volatility is followed by an increase in FDI in the long-run, and this indicates economies that advance in capital liberalization benefit from increases in FDI. However, the relationship in opposite direction in the long-run is valid in only half of the countries studied. In short-run, we observe that the former relationship is valid only in Turkey, the Czech Republic, and Lithuania; where the latter is valid only in ...
Following the liberalization of financial markets, Goldstein and Razin (2006) show that there is ... more Following the liberalization of financial markets, Goldstein and Razin (2006) show that there is an information based trade-off between foreign direct investment and foreign portfolio investment, our paper examines the causality relations between foreign direct investment and volatility of foreign portfolio investment. Utilizing monthly and quarterly data set of Czech Republic, Poland, Russia and Turkey, volatility of portfolio investments, which indicated evidence of ARCH effects for all four countries, have been estimated by best fitting GARCH (p,q) models. Further, potential causality has been examined by Granger (1969), Sims (1972) and Toda and Yamamoto (1995) test methods. Results indicated that, for Russia and Turkey foreign direct investment has a significant cause on portfolio investment volatility. However for Czech Republic and Poland, there is no such significant relationship has been found. Finally further investigation of a possible structural break due to EU membership...
Mutual Funds, 2001
This article attempts to measure performances of Type A and Type B funds relative to T-Bill rates... more This article attempts to measure performances of Type A and Type B funds relative to T-Bill rates and ISE-100 index in Turkey over the period of January 1998-June 2000 using Sharpe, Treynor, Jensen, and Graham&Harvey indices. 55 Type A, and 77 Type B Funds were included in the analysis. In order to test whether four different indices make similar ranking, Spearman rank correlation analysis was utilized. Secondly, Wilcoxon Signed-Rank test was applied to test the significance of the differences in Sharpe indices of alternative investment instruments included in the analysis.Analysis revealed that different criteria rank the portfolios similarly. But more importantly it was found that, the best investment over the entire analysis period as well as in the sub-periods was T-Bills, which was followed by ISE-100 index, Type B Funds, and Type A funds respectively. This finding makes the merits of the efforts spent by funds managers, over the analysis period, to outperform the market highly...
Uploads
Papers by Yaman Erzurumlu