Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Finansal Matematik Anabilim Dalı, Türkiye
Tezin Onay Tarihi: 2022
Tezin Dili: İngilizce
Öğrenci: AHMET GÜRŞAT İRGE
Danışman: Seza Danişoğlu
Özet:
This study examines whether the industry effect variables can allow investing in neglected high BM firms with the classic FSCORE method. The industry winners in the neglected firm's cluster are called Underdogs. The industry effect variables examine the industry effects on firms while the FSCORE method takes the internal picture of the high book-to-market firms. Thus, a comprehensive fundamental analysis process is established. The Generalized Method of Moments estimation explains the direction and strength of relations between the industry effects variables and future returns. The results show that the industry-winners and twelve-month market-adjusted returns have a positive relationship with statistically significant with an approximate 8% return increase for firms above the industry average. The industry winners method can separate future winners and losers in the neglected firms' cluster, so the Underdog firms produce an approximate 6% market-adjusted return increase in the twelve months. It is essential to highlight that this return increase comes from the neglected group with the classic FSCORE method. Consequently, the industry effect variables increased the number of investable firms by approximately 90%. The industry effect variables can separate future winners and losers in the high book-to-market firms. Moreover, the industry effects method also increased the scope and power of the FSCORE.