This study explores the proficiency of earnings components for detecting earnings and cash flows ... more This study explores the proficiency of earnings components for detecting earnings and cash flows distress. The authors examine the deterioration of these two performance indicators for two aggregate and two disaggregate earnings models, each of which is subject to examination through different machine learning, non-parametric, and parametric methods. The results, obtained from firms in 22 countries, reveal that the current information content of earnings not only has explanatory power for future earnings and cash flows but also can support advance classifications of the two performance indicators as negative or positive. Each aggregate and disaggregate model offers distress classification ability, the disaggregation of earnings generates better, robust detection accuracies for cash flow distress, while aggregate earnings model provides improved classification for prospective earnings distress. The findings also suggest that machine learning estimation methods provide superior distre...
This study analyzes five of the well-known and most cited distress prediction models in the liter... more This study analyzes five of the well-known and most cited distress prediction models in the literature. The models are implemented to continuous publicly listed industrial firms in Turkey through their original and re-estimated coefficients in a comparative way to examine their generalizability in different time periods and samples. The effect of 2008 financial crisis is also assessed to conduct a fuller analysis of the models’ prediction accuracies. The results emphasize that Ohlson (1980), Taffler (1983), Zmijewski (1984), and Shumway (2001) provide highly accurate distress classification results through their original coefficients for Turkish industrial market. On the other hand, the re-estimation of the models (other than Ohlson’s [1980]) fails to improve the prediction accuracies which are also found insignificant by considering the pre and post crisis periods.
Macroeconomics and Finance in Emerging Market Economies, 2020
ABSTRACT This paper focuses on the role of exchange rate uncertainty on the net portfolio flows u... more ABSTRACT This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-à-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01–2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries’ bond and equity home bias in high volatility regime.
This study examines the impact of legal origin differences on accrual and real earnings managemen... more This study examines the impact of legal origin differences on accrual and real earnings management behaviors for 14 international financial reporting standards (IFRS) countries. Specifically, a cross-country analysis determines the effects of enforcement intensity and IFRS adoption on earnings management (EM) types, depending on code or common law origins. The results indicate that legal origin directly affects EM behaviors, whereas enforcement intensity and IFRS result in different accrual earnings management (AEM) and real earnings management (REM) behaviors depending on the different legal origins. In particular, the findings also suggest that an increase in enforcement strength may not produce similar EM results for each legal tradition, specifically for the expected shift from AEM to REM as recent studies have proposed. This study also offers evidence that IFRS represent a constraint on AEM in code law origin countries, and it highlights a constraint on REM only for common law countries when the enforcement intensity increases.
Purpose The purpose of this paper is to examine a theoretical base for the financial distress pre... more Purpose The purpose of this paper is to examine a theoretical base for the financial distress prediction modeling over eight countries for a sample of 2,500 publicly listed non-financial firms for the period from 2000 to 2014. Design/methodology/approach The prediction model derived through the theory has the potential to produce prediction results that are generalizable over distinct industry and country samples. For this reason, the prediction model is on the earnings components, and it uses two different estimation methods and four sub-samples to examine the validity of the results. Findings The findings suggest that the theoretical model provides high-level prediction accuracy through its earnings components. The use of a large sample from different industries in distinct countries increases the validity of the prediction results, and contributes to the generalizability of the prediction model in distinct sectors. Originality/value The results of the study fulfill the gap and ex...
This paper examines the impact of oil price fluctuations on a large set of stock market returns i... more This paper examines the impact of oil price fluctuations on a large set of stock market returns in net-oil importer countries and net-oil exporter countries. It applies multivariate cDCC-GARCH model, which has greater flexibilities, allowing the conditional variance covariance matrix of stock market returns to vary over time. Daily data spanning from January 2005 to February 2016 is used to obtain dynamic correlations between crude oil and stock market returns. Moreover, it employs the commonly recognized vector auto regression (VAR) specification and the corresponding Granger causality test in order to examine the linear relationship between crude oil and stock market volatility within each country, revealing whether there is a causal relationship between the variables in terms of time precedence. The influence of bullish and bearish market conditions is also measured by dividing the sample period into two sub-periods: Global Financial Crisis Period (2007–2010) and Post-Crisis Period (2010–2016). Main findings of this research indicate time-varying correlation of oil and stock prices for oil-importing countries is more pronounced than that for oil-exporting countries. This result shows that the correlation between the volatilities of stock market and oil price returns varies depending on the net position of the country in global oil market.
The gold futures in emerging markets have gained more importance in parallel to the increase in t... more The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.
ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging mar... more ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.
The gold futures in emerging markets have gained more importance in parallel to the increase in t... more The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.
This study addresses the Granger causality between short selling activities and stock price volat... more This study addresses the Granger causality between short selling activities and stock price volatility in the US stock market, utilizing daily data and advanced methodologies. The results denote a bilateral causality between the short selling trades and the volatility of price changes in the US stock market at individual stock as well as at market level. The bilateral causality relationship persists during different market conjunctures. The findings imply that measures to curb excess price volatility stemming from short selling trades were relatively ineffective and the policy-makers need to impose more stringent restrictions to prevent market destabilization.
This study analyzes the political, economic and environmental factors' impact on the installed wi... more This study analyzes the political, economic and environmental factors' impact on the installed wind capacity development around the globe, considering the different regions for the period between 1997 and 2014. The indicators used for this study are installed wind capacity development, GDP per capita, carbon dioxide emission generation, foreign direct investment (FDI) stock, total energy import dependency , primary energy intensity, the shares of wind and hydroelectricity consumption in electricity generation and price of electricity. System Generalized Method of Moments (System GMM) estimator is performed to reveal dynamic relationship on the indicators in the model. The estimates for the period 1997-2014 are reported for the sample of twenty-six countries, as well as for diverse regions, covering non continental & Northern Europe, Southern Europe, Western & Central Europe, and non-European OECD. A set of a priori assumptions are also tested for the expected impacts. The results reveal the consistency of this study's a priori assumptions associated with the impact of different indicators on development of wind installed capacity. This study also found that higher installed wind capacity of the previous period has positive impact on that of the current period. Likewise, higher carbon dioxide emissions also contribute to installed wind capacity development. However, diverse regions experience altered effects on a number of indicators, such as price of electricity and total import dependency.
This study explores the proficiency of earnings components for detecting earnings and cash flows ... more This study explores the proficiency of earnings components for detecting earnings and cash flows distress. The authors examine the deterioration of these two performance indicators for two aggregate and two disaggregate earnings models, each of which is subject to examination through different machine learning, non-parametric, and parametric methods. The results, obtained from firms in 22 countries, reveal that the current information content of earnings not only has explanatory power for future earnings and cash flows but also can support advance classifications of the two performance indicators as negative or positive. Each aggregate and disaggregate model offers distress classification ability, the disaggregation of earnings generates better, robust detection accuracies for cash flow distress, while aggregate earnings model provides improved classification for prospective earnings distress. The findings also suggest that machine learning estimation methods provide superior distre...
This study analyzes five of the well-known and most cited distress prediction models in the liter... more This study analyzes five of the well-known and most cited distress prediction models in the literature. The models are implemented to continuous publicly listed industrial firms in Turkey through their original and re-estimated coefficients in a comparative way to examine their generalizability in different time periods and samples. The effect of 2008 financial crisis is also assessed to conduct a fuller analysis of the models’ prediction accuracies. The results emphasize that Ohlson (1980), Taffler (1983), Zmijewski (1984), and Shumway (2001) provide highly accurate distress classification results through their original coefficients for Turkish industrial market. On the other hand, the re-estimation of the models (other than Ohlson’s [1980]) fails to improve the prediction accuracies which are also found insignificant by considering the pre and post crisis periods.
Macroeconomics and Finance in Emerging Market Economies, 2020
ABSTRACT This paper focuses on the role of exchange rate uncertainty on the net portfolio flows u... more ABSTRACT This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-à-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01–2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries’ bond and equity home bias in high volatility regime.
This study examines the impact of legal origin differences on accrual and real earnings managemen... more This study examines the impact of legal origin differences on accrual and real earnings management behaviors for 14 international financial reporting standards (IFRS) countries. Specifically, a cross-country analysis determines the effects of enforcement intensity and IFRS adoption on earnings management (EM) types, depending on code or common law origins. The results indicate that legal origin directly affects EM behaviors, whereas enforcement intensity and IFRS result in different accrual earnings management (AEM) and real earnings management (REM) behaviors depending on the different legal origins. In particular, the findings also suggest that an increase in enforcement strength may not produce similar EM results for each legal tradition, specifically for the expected shift from AEM to REM as recent studies have proposed. This study also offers evidence that IFRS represent a constraint on AEM in code law origin countries, and it highlights a constraint on REM only for common law countries when the enforcement intensity increases.
Purpose The purpose of this paper is to examine a theoretical base for the financial distress pre... more Purpose The purpose of this paper is to examine a theoretical base for the financial distress prediction modeling over eight countries for a sample of 2,500 publicly listed non-financial firms for the period from 2000 to 2014. Design/methodology/approach The prediction model derived through the theory has the potential to produce prediction results that are generalizable over distinct industry and country samples. For this reason, the prediction model is on the earnings components, and it uses two different estimation methods and four sub-samples to examine the validity of the results. Findings The findings suggest that the theoretical model provides high-level prediction accuracy through its earnings components. The use of a large sample from different industries in distinct countries increases the validity of the prediction results, and contributes to the generalizability of the prediction model in distinct sectors. Originality/value The results of the study fulfill the gap and ex...
This paper examines the impact of oil price fluctuations on a large set of stock market returns i... more This paper examines the impact of oil price fluctuations on a large set of stock market returns in net-oil importer countries and net-oil exporter countries. It applies multivariate cDCC-GARCH model, which has greater flexibilities, allowing the conditional variance covariance matrix of stock market returns to vary over time. Daily data spanning from January 2005 to February 2016 is used to obtain dynamic correlations between crude oil and stock market returns. Moreover, it employs the commonly recognized vector auto regression (VAR) specification and the corresponding Granger causality test in order to examine the linear relationship between crude oil and stock market volatility within each country, revealing whether there is a causal relationship between the variables in terms of time precedence. The influence of bullish and bearish market conditions is also measured by dividing the sample period into two sub-periods: Global Financial Crisis Period (2007–2010) and Post-Crisis Period (2010–2016). Main findings of this research indicate time-varying correlation of oil and stock prices for oil-importing countries is more pronounced than that for oil-exporting countries. This result shows that the correlation between the volatilities of stock market and oil price returns varies depending on the net position of the country in global oil market.
The gold futures in emerging markets have gained more importance in parallel to the increase in t... more The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.
ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging mar... more ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.
The gold futures in emerging markets have gained more importance in parallel to the increase in t... more The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.
This study addresses the Granger causality between short selling activities and stock price volat... more This study addresses the Granger causality between short selling activities and stock price volatility in the US stock market, utilizing daily data and advanced methodologies. The results denote a bilateral causality between the short selling trades and the volatility of price changes in the US stock market at individual stock as well as at market level. The bilateral causality relationship persists during different market conjunctures. The findings imply that measures to curb excess price volatility stemming from short selling trades were relatively ineffective and the policy-makers need to impose more stringent restrictions to prevent market destabilization.
This study analyzes the political, economic and environmental factors' impact on the installed wi... more This study analyzes the political, economic and environmental factors' impact on the installed wind capacity development around the globe, considering the different regions for the period between 1997 and 2014. The indicators used for this study are installed wind capacity development, GDP per capita, carbon dioxide emission generation, foreign direct investment (FDI) stock, total energy import dependency , primary energy intensity, the shares of wind and hydroelectricity consumption in electricity generation and price of electricity. System Generalized Method of Moments (System GMM) estimator is performed to reveal dynamic relationship on the indicators in the model. The estimates for the period 1997-2014 are reported for the sample of twenty-six countries, as well as for diverse regions, covering non continental & Northern Europe, Southern Europe, Western & Central Europe, and non-European OECD. A set of a priori assumptions are also tested for the expected impacts. The results reveal the consistency of this study's a priori assumptions associated with the impact of different indicators on development of wind installed capacity. This study also found that higher installed wind capacity of the previous period has positive impact on that of the current period. Likewise, higher carbon dioxide emissions also contribute to installed wind capacity development. However, diverse regions experience altered effects on a number of indicators, such as price of electricity and total import dependency.
In book: Enerji Güvenliği Perspektifinden Türkiye’ye Bakış, Chapter: Türkiye’de Cari Açık ve Ener... more In book: Enerji Güvenliği Perspektifinden Türkiye’ye Bakış, Chapter: Türkiye’de Cari Açık ve Enerji İlişkisi, Publisher: Enerji Hukuku Araştırma Enstitüsü, Editors: Mehmet Efe Biresselioğlu, pp.238-247
According to World Bank statistics, Turkeys GDP has increased from 266 Billion $ in 2000 to 773 b... more According to World Bank statistics, Turkeys GDP has increased from 266 Billion $ in 2000 to 773 billion $ in 2011. Experiencing similar trend with the economic growth, Turkeys energy consumption has increased by approximately 39 per cent within the same period. This led to an increase in dependency on foreign resources, reaching to 74 per cent, by the end of 2012. This translates into an annual energy import expenditure of 59 billion $.Accordingly, guaranteeing energy security for its growing economy remains priority in Turkish governmental agenda. Industry sector currently accounts for nearly 35 per cent of the domestic energy consumption. Therefore, the interaction between Turkish Governments energy strategies and policies and, industry sectors operational and strategic response to these is extremely significant. This involves the sectors operational and strategic approach to energy issues, perception on energy security, awareness of energy policies as well as associated implications. Based on the aforementioned ideas, the aim of this study is to identify the perceptions of Turkeys top 500 industrial companies, referred to as ISO500, regarding their awareness, corporate strategy and governmental energy policies. In order to formulate the research metrics, main propositions about the energy security in Turkey are derived from published official strategies on industrial affairs and energy policies. This study will employ two main streams of methodology: Semi-structured interviews will be conducted with the managers of top 74 ISO500 companies that have 2012 net sales above 1 billion USD. The semi-structured interviews mainly aim to disclose the companies energy related strategic and operational profiles along with how well their perceptions are aligned with official strategy documents (Turkish Industrial Strategy Document, The Strategic Document of Electrical Energy Market and Supply Security and, Turkish Energy Strategy and Energy Efficiency Strategy). The second component of the methodology involves conducting a survey, covering the entire ISO500 companies. Based on a broader sample size, the survey will enhance the
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