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Category: Makale

Portfolio Optimzation Using of Metods Multi Objective Genetic Algorithm and Goal Programming: An Application in BIST-30

Posted on Tuesday April 19th, 2016Tuesday April 19th, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Portfolio Optimzation Using of Metods Multi Objective Genetic Algorithm and Goal Programming: An Application in BIST-30
Author(s):	Emre Yakut, Ahmet Cankal
Volume:	7
Number:	2
Year:	2016
Page:	43-62
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016217495

Abstract

Portfolio optimization problem has become one of the related fields of financial engineering since the studies of Markowitz about modern portfolio theory. Selection process of portfolio is carried out by looking at the return and risk relationship of stocks in portfolio in order to create the best portfolio. The main purpose of a financial manager is to ensure an efficient portfolio which provides minimum risk and maximum return. For this purpose, new models and computer technology continue at an accelerated rate. Genetic algorithms are from stochastic algorithm family based on the principles of natural selection. In this study, soft closing prices data of BIST 30 stocks between the periods, 2004-2013 are used. Eight different return and risk portfolios are created by applying goal programming and multi-purpose genetic algorithm methods with Markowitz mean-variance model. Variation coefficient which is a statistical unit of measure used for selection of portfolio is used. The results obtained from the study show that the best portfolios consist of number 7 portfolio for genetic algorithm and 5 stocks of this portfolio ; number 4 portfolio for quadratic goal programming method and 8 stocks of this portfolio. It is concluded that when compared in terms of optimization techniques, quadratic goal programming gives better results than genetic algorithm.

Keywords:

Genetic algorithm, multiobjective genetic algortihm, goal programming, optimal portfolio, portfolio selection

JEL Classification:

C60, C61, C44, G11

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Managerial Ownership and Corporate Cash Holdings: Insights from an Emerging Market

Posted on Monday April 18th, 2016Tuesday April 19th, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Managerial Ownership and Corporate Cash Holdings: Insights from an Emerging Market
Author(s):	Nida Abdioglu
Volume:	7
Number:	2
Year:	2016
Page:	29-41
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016217494

Abstract

This paper examines the impact of managerial ownership on cash holding decisions of the firms listed in Borsa Istanbul 100 index between 2005 and 2013. Main aim of the study is to analyse whether there is any evidence for managerial alignment or managerial entrenchment effect on the corporate cash holdings. A non-monotonic relation between managerial ownership and cash holding is found. The findings indicate that managerial ownership aligns the interests of managers with those of shareholders. These firms with managerial ownership prefer to hold less cash. In addition, it is reported that at higher level of managerial ownership, entrenchment effect of managers is seen. Managers practice their own interests at the expense of shareholders’ and the firms with higher level of managerial ownership hold more cash. The results also reveal that prior year’s cash holding positively affects this year’s cash holding. Firm size, liquidity and tangibility are also effective on cash holding decisions of Turkish firms.

Keywords:

Cash Holdings, Managerial Ownership, Panel Data, Managerial Alignment, Managerial Entrenchment

JEL Classification:

G30, G32, G34

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Determining Factors on CEO Turnover and Its Impact on Financial Performance in Turkey

Posted on Monday April 18th, 2016Tuesday April 19th, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Determining Factors on CEO Turnover and Its Impact on Financial Performance in Turkey
Author(s):	Mesut Dogan, Veysel Agca, Mete Karayel
Volume:	7
Number:	2
Year:	2016
Page:	15-27
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016217493

Abstract

The main responsibility of the CEO is to create and execute effective strategies that will achieve the goals and objectives determined in line with the company’s vision and mission.The purpose of this study is to determine financial factors that determine CEO turnover and to determine the effects of CEO turnover on the financial performance of the firms traded in Istanbul Stock Exchange (BIST). In the research, data from 136 firms trading in the BIST Manufacturing Industry Index between the dates 2004-2012 was used. In the empirical analysis, logistic regression method was used with the purpose of determining the factors causing CEO turnover. The paired t-test was used for determining the differences before and after the CEO turnover periods. At the end of the analysis; it was determined that reduction of accounting and market based performance indicators; increase of the debt burden, decrease of the sales and assets of BIST Manufacturing Industry Index firms increase the probability of CEO turnover. However, it was determined that CEO turnover adversely affects the companies’ profitability.

Keywords:

CEO Turnover, Determining Factors, Financial Performance, BİST Manufacturing Industry

JEL Classification:

L25, L10

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The Relationship between Working Capital Management and Profitability: Evidence from Turkey

Posted on Monday April 18th, 2016Tuesday April 19th, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Relationship between Working Capital Management and Profitability: Evidence from Turkey
Author(s):	Famil Samiloglu, Ali Ihsan Akgun
Volume:	7
Number:	2
Year:	2016
Page:	1-14
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016217492

Abstract

The purpose of this study is to examine the relationship link working capital management and performance such as profitability between accountant receivable period, accountant payable period and cash conversion cycle on Istanbul Stock Exchange (ISE) during the last ten years.This paper examines the relationship between working capital management and profitability. A sample of 120 Turkish manufacturing firms listed on ISE for a period 10 years from 2003 to 2012 was selected. Multiple linear regression models have been used to find out the relationship between working capital management and firm performance in the context of Turkey. The findings of this paper show a significant and negative relationship between account receivable period and return on asset, return on equity, operating profit margin and net profit margin in the manufacturing industry. We expect that managers can create value for shareholders by reducing accountant receivable period, accountant payable period, cash conversion cycle.

Keywords:

Working Capital Management, Cash Conversion Cycle, Inventory Conversion Period, Accountant Receivables Period, Accountant Payable Period

JEL Classification:

G32, M40, M41

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Forensic Accounting Versus Expertise Practices in Financial Dispute Litigation: The Sample of Ordu Courthouse

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Forensic Accounting Versus Expertise Practices in Financial Dispute Litigation: The Sample of Ordu Courthouse
Author(s):	Hakan Yazarkan, Ceyda Yerdelen Kaygın
Volume:	7
Number:	1
Year:	2016
Page:	161-180
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116810

Abstract

The aim of this study is to question judges’ approach from different perspective to forensic accounting profession which emerged to fight financial crime that increased and diversified as a result of abusing information and technology in the world. In the study litigation support dimension of forensic accounting has focused and tried to associate it with expert practices’ current situation which is substitution of it in Turkey. According to the aim the study was carried out with the help of the Civil and Tax Court judges who are responsible for conducting financial dispute case in Turkey and who are the most likely to benefit from the forensic accountancy profession. Data was gathered from a total of six judges, three civil courts judges and three tax court judges, via semi-structured interviews. Interviews were conducted with staff from Ordu courthouse. Obtained data were analyzed by content analysis. According the results it has revealed that judges have no enough information about forensic accounting. They apply to experts very frequently for financial cases but according to them experts do not meet adequately their expectations and they don’t have all qualifications that they must carry. In addition, it has determined that forensic accounting profession is necessary in our judicial system and by implementation of the profession problems resulting from experts like poor quality reporting and long duration of the cases will be decreased.

Keywords:

Accounting, Forensic Accounting, Expertise, Financial Dispute

JEL Classification:

M40, M41

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Determining Beverage Preferences of Young Consumers with Laddering Technique

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Determining Beverage Preferences of Young Consumers with Laddering Technique
Author(s):	Ayça Kangal Demir, Bilal Yalçın
Volume:	7
Number:	1
Year:	2016
Page:	139-160
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116809

Abstract

The aim of the study is to present an application of laddering technique which is commonly used in consumer behavior studies although rarely used in Turkish literature. With this aim determining the means – end chain of young consumers soft drink consumption and creating the hierarchical value map for them will be issued. Scientific values regarding soft drink consumption and related variables, young consumers soft drink consumption habits and, young consumers given value to soft drink consumption will be disscussed. Soft drink consumption, related variables about soft drink consumption, laddering technique, , and this application will be discussed. Findings of this study is matched with the relevant literature. As a result of this study happiness, to be able to belong to a group, achievement, relaxiation is seen among young consumers.

Keywords:

Laddering Technique, Means – End Chain, Soft Drink Consumption, Qualitative Research, Young Consumers

JEL Classification:

M30, M31

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Urban Water Demand Forecasting and Comparative Analysis by Artificial Neural Networks, Support Vector Machines and Box-Jenkins Methods

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Urban Water Demand Forecasting and Comparative Analysis by Artificial Neural Networks, Support Vector Machines and Box-Jenkins Methods
Author(s):	Recep Akdag
Volume:	7
Number:	1
Year:	2016
Page:	123-138
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116808

Abstract

Water demand forecasting is currently being used in many fields such as the investment planning, the design of the water systems (treatment plants, storage, transmission and distribution lines), the operation of existing systems at optimal capacity, calculation of operation and investment costs, and determination of urban water management policies (pricing policy, water conservation, etc.). Therefore, it can be said that an accurate water demand forecast has a key role in the planning, design, operation, and management of water systems. In this study, it is aimed to forecast Diyarbakir city centre drinking water demand by using Artificial Neural Networks method and Winters’s Seasonal Exponential Smoothing and Box-Jenkins methods based on time series analysis, and to compare forecasts obtained. For this purpose, firstly the data related to the variables affecting the water demand of Diyarbakir city centre for the time interval of 2003 – 2013 has been collected and analyzed. Then, a drinking water demand forecast has been made on the basis of this data by using Artificial Neural Network, Winters’s Seasonal Exponential Smoothing, and Box-Jenkins methods. The forecasts obtained from these three methods have been compared according to Productivity, The Mean Square Error, The Root Mean Square Error and The Mean Absolute Percentage Error criteria. In comparison results, it was seen that, in all performance criteria, Artificial Neural Networks method has better forecast results than those methods based on time series analysis.

Keywords:

Water Demand, Demand Forecasting, Artificial Neural Networks

JEL Classification:

C53, Q21, Q25

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Income, Carbon Emission and Energy Consumption: The Analysis of Linear and Non-Linear Causality Relationship for Turkey

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Income, Carbon Emission and Energy Consumption: The Analysis of Linear and Non-Linear Causality Relationship for Turkey
Author(s):	İbrahim Doğan, Nurgün Topallı
Volume:	7
Number:	1
Year:	2016
Page:	107-121
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116807

Abstract

Today, the global warming is one of the most important environmental problems. The increase in energy demand, by means of economic growth, brings with environmental problems throughout the world. In particular, the countries which choose fossil fuel for their production and consumption accelerate the global warming as increasing the amount of carbon dioxide (CO2) emissions. Thus it is important, to consider the variables of economic growth, energy and environment together and to determine the direction of the relationships in between them, for policy makers and implementers. Aim of this study is testing the relationship in between the variables of CO2 emission, energy consumption and economic growth through parametric and non-parametric causality models, for Turkey. The results of parametric Granger Causality Test reveal that, there is a unidirectional causality relationship from energy consumption and CO2 emission to gross domestic product (GDP) and there is not any kind of causality in between the variables of energy consumption and CO2 emission. According to the results of non-parametric causality analyses, there is bidirectional causality relationship in between the variables of CO2 emission, energy consumption and economic growth. Main result of this study, considering the results of both parametric and non-parametric analyses, the results of non-parametric analyses support bidirectional causality relationship between the related variables more strongly.

Keywords:

Economic Growth, Energy, CO2 Emission, Linear Granger Causality, Non-Linear Granger Causality

JEL Classification:

C12, C14, O44, Q54

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Determining the Firm Specific Factors Affecting the Capital Increase

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Determining the Firm Specific Factors Affecting the Capital Increase
Author(s):	İsmail Tuna, Süleyman Serdar Karaca
Volume:	7
Number:	1
Year:	2016
Page:	89-105
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116806

Abstract

The firms increase their capital on three ways; external sources (right), internal sources (bonus) and the use of both external and internal sources (right and bonus).The decision of capital increase causes “anomalies” referred as the state of alienation from the normality in capital markets. The aim of the study is to submit an emprical study about industrial corporations which exist within Borsa Istanbul (BIST) Industrial Index in order to determine the firm specific factors causing anomalies and affecting capital increase decisions. By using the financial ratios belonging to 126 firms that take part in industrial index between the years 2003-2013, three models have been established with 14 dependent variables and 3 qualitative dependent variables (no capital increase-capital increase through rights issues is present-capital increase through bonus issues is present, no capital increase-capital increase is present). These three built models have been tested through the panel logit method in binary choice model way. According to the analysis results, odds ratio has been used to construe the effect size. As a result of the study, it was determined that Paid Capital/Equity and Fixed Assets/Total Assets variables have a positive effect on capital increase decision and its procedure in all three models.

Keywords:

Capital Increase, Right Issue, Bonus Issue, Panel Data Analysis

JEL Classification:

G11, G17, G32, C23, C58

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A Literature Review on the Quantification of Foreign Exchange Exposure of Non-Financial Firms Using Capital Market Approach

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	A Literature Review on the Quantification of Foreign Exchange Exposure of Non-Financial Firms Using Capital Market Approach
Author(s):	Murat Engin Akkaş
Volume:	7
Number:	1
Year:	2016
Page:	71-87
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116805

Abstract

Since the transitions from fixed to floating exchange rates after the breakdown of the Bretton Woods system in 1973, companies have become increasingly exposed to foreign exchange rate risk. The importance of foreign exchange risk has long been emphasized in the financial risk management literature. This study is a literature review focusing on the foreign exchange rate exposure that is the impact of foreign exchange risk on companies’ assets and liabilities. Firstly, the study tried to clarify the concept of the foreign exchange exposure and then the different models in the context of capital markets approach on the measurement of the foreign exchange rate exposure was examined in detail. Secondly, determinants of foreign exchange exposure were overviewed in general. Thirdly, the relationship between foreign exchange risk management and foreign exchange exposure is summarized. The research was made to cover the basic theoretical and empirical studies in this area. We examine the empirical literature on advanced and developing economies in particular. This paper provides a comparative outlook to researchers, who are interested in related subjects in financial risk management.

Keywords:

Foreign Exchange Risk, Foreign Exchange Exposure, Foreign Exchange Risk Hedging, Financial Hedging, Operational Hedging

JEL Classification:

F31, G32

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