Thesis Defense - Ahmet Yıldız, M.Sc. Financial Engineering

DO TURKISH ASSET MANAGEMENT COMPANIES HOLD
OVERWEIGHT POSITIONS IN THEIR PARENT COMPANIES’ SECURITIES
FOR THE MUTUAL FUNDS UNDER THEIR MANAGEMENT?

Ahmet Yıldız, M.Sc. Financial Engineering
Date: July 30, 2019
Time: 15:00
Location:  Özyeğin University Financial Engineering Center, Altunizade, İstanbul 

Thesis Committee:
Prof. Dr. Atakan Yalçın, Advisor, Özyeğin University
Dr. S. Mehmet Özsoy, Özyeğin ÜniversityAssoc.
Prof. Dr. Yiğit Atılgan, Sabancı University

Abstract:
Conflict of interest in affiliated mutual funds is widely investigated in the literature. Due to its significant growth in recent years, Turkish mutual fund industry attracts more attention from regulators and investors. I studied whether Turkish asset management companies have a bias to overweight their affiliated stocks and corporate bonds compared to their peers in the funds under their management. A systematic bias has been found for both affiliated stocks and corporate bonds: 0.46% and 3.80% respectively. For affiliated stocks, share funds are the leading category with 4.12% overweight bias and for affiliated corporate bonds money market funds have the highest bias: 9.23%. The study goes further to investigate this bias in fund type categorization level and asset management company type and ends with the analysis whether affiliated mutual funds give price support in times of excessive selling of affiliated stocks in the secondary markets. Empirical results show general market conditions or affiliated securities’ specific severe secondary market conditions don’t affect the overweight bias. On the other hand, asset management companies’ characteristics affect it: local ownership contributes 0.41%, bank affiliation contributes 1.28% and state ownership contributes -1.41% in affiliated stocks. For affiliated corporate bonds, local ownership loses its significance, state ownership contributes -8.73% and bank affiliation contributes 7.74%.

Bio:
Ahmet Yıldız received the B. Sc. in Electrical & Electronics Engineering, Boğaziçi University, Istanbul , Turkey in June 2008. He is pursuing a M.Sc. in Financial Engineering at Özyeğin University under the supervision of Prof. Dr. Atakan Yalçın.  Currently, he works as a Treasury, Fixed Income & Credit Derivatives Trading Desk, Senior Trader in Garanti BBVA International N.V., Amsterdam, The Netherlands.