FERM Tez Savunması - Erkin Levent Yaman

           AN ANALYSIS OF THE LOW-VOLATILITY ANOMALY ON THE BORSA İSTANBUL

Erkin Levent Yaman, M.Sc. Financial Engineering

Date:  Friday, June 04, 2021

Time:  12:00

Location:  This meeting will be held ONLINE. Please send an e-mail to ulku.koknel@ozyegin.edu.tr and bahar.hisim@ozyegin.edu.tr in order to participate in this thesis defense.

Thesis Committee:

Dr. Muzaffer Akat, Advisor, Özyeğin University

Dr. Emrah Ahi, Özyeğin University

Assoc. Dr. Ersin Özuğurlu, İstanbul Technical University

Abstract:

In financial markets, obtaining high returns against high systematic risk is basically the expected situation. It is regarded as a financial anomaly that high-risk stocks yield lower returns than low-risk stocks. This situation is called as low volatility anomaly or beta anomaly in financial literature. In this study, it was investigated whether there was a low volatility anomaly in BIST 100 between 2010-2019. 80 companies listed on the stock exchange between 2010 and 2019 were included in the study. Within the scope of the study, the presence of beta anomaly was investigated for periods of semiannual, 1, 2, 5 and 10 years. In addition, it was examined whether there was a beta anomaly for the years 2010-2013 and 2014-2019. The results obtained show that there is a beta anomaly within a certain beta value range in each period examined. Especially periodically, the presence of a general beta anomaly was detected in the period 2014-2019. In addition, it has been determined that beta anomalies generally do not occur in cases where the beta value is 1 and above in the short term, and very low and very high beta values reduce the return rate in the long term.

Bio:

Erkin Levent Yaman received the B.A. degree in Business Administration from Özyeğin University, İstanbul, Turkey in 2016. He is pursuing a M.Sc. in Financial Engineering at Özyeğin University under the supervision of Dr. Muzaffer Akat. He currently works as Assistant Fund Manager at Anadolu Sigorta.