Neslihan Yilmaz | Bogazici University (original) (raw)

Papers by Neslihan Yilmaz

An Analysis of Spatial Dependence in Real Estate Prices, 2022

Real estate properties are naturally location-fixed. When space related factors are not fully inc... more Real estate properties are naturally location-fixed. When space related factors are not fully incorporated in a standard pricing equation, spatial autocorrelation is likely to exist. This results in inefficiencies in estimations and raises the need for more complex spatial models. This paper analyzes the determinants of spatial dependence and evaluates the performance of the hedonic regression equation when the determinants of spatial dependence are controlled for. Using a novel dataset for a metropolitan housing market, we document the spatial clustering of housing characteristics such as area, total number of floors and the building age. We find support for the hypotheses that the construction process, shared social services and high-rise residential complexes cause spatial correlation. Our findings show that spatial correlation is significantly reduced when the factors of spatial dependence and district level data is controlled for in the standard hedonic regression.

Is there an analyst (un)coverage premium?, 2022

We investigate whether the variation in the level of information availability relates to a perfor... more We investigate whether the variation in the level of information availability relates to a performance differential across share prices. Using the number of analyst reports on the stock as proxy, we study twenty countries' stock markets and find that there exists a positive analyst (un) coverage return in fifteen countries with twelve of them statistically significant. This suggests a premium on stocks which are not followed by analysts. A zero-investment arbitrage strategy that longs the no-coverage stocks and shorts the high-coverage stocks in equal-weighted portfolios generates an average of 0.34% in monthly alpha across the twenty countries studied.

Money illusion, financial literacy and implications of self-perceptions, 2021

Understanding inflation is crucial in financial decision-making, however, lack of comprehension p... more Understanding inflation is crucial in financial decision-making, however, lack of comprehension pertains to money illusion. Using a survey applied to university students, we study the determinants of money illusion including financial literacy and education. Moreover, we test the implications of individuals' self-perception of interest and knowledge in financial matters. Our findings show that a higher level of financial knowledge results in lower money illusion levels and education improves financial knowledge. Moreover, there exist self-perception biases; self-perceived levels might not always be in line with the actual ones, and there is a gender effect on selfperceptions.

SPATIAL HETEROGENEITY IN ISTANBUL HOUSING MARKET: A GEOGRAPHICALLY WEIGHTED APPROACH, 2020

Purpose-This study examines and documents spatial heterogeneity in Istanbul housing market using ... more Purpose-This study examines and documents spatial heterogeneity in Istanbul housing market using Geographically Weighted Model (GWR). Methodology-A GWR model with a Gaussian kernel and an adaptive bandwidth based on cross-validation is employed on a cross-sectional housing listing data set. Additional analysis is provided using geographically weighted Spearman's rank correlation measure between prices and variables. Findings-GWR model substantially boosts goodness of fit in our pricing model compared to a standard hedonic regression model. The variation within GWR coefficients is high and of micro nature. Median GWR coefficients often differ from standard hedonic regression coefficients. The variability of coefficients is plotted on map. Conclusion-Findings suggest the existence of spatial non-stationarity in standard hedonic regressions and favor the use of models appropriate for spatial heterogeneity. Findings encourage further research in hedonic models applications such as in quality adjustments to price indices.

What factors affect behavioral biases? Evidence from Turkish individual stock investors, 2016

This paper investigates behavioral biases among Turkish individual stock investors during 2011. U... more This paper investigates behavioral biases among Turkish individual stock investors during 2011. Using transaction data, we analyze how common disposition effect, familiarity bias, representativeness heuristic, and status quo bias are, what factors affect these biases and how these biases relate to each other including overconfidence and return performance. We find that biases are common among investors. Male, younger investors, investors with lower portfolio value, and investors in low income, low education regions exhibit more familiarity bias. Female, older investors and investors with high portfolio values are more subject to disposition effect and representativeness heuristic. Individuals in the opposite edge of overconfidence are subject to status quo bias. Overconfidence is positively correlated with familiarity bias. Representativeness heuristic deteriorates wealth while status quo bias results in higher trade performance. Familiarity bias has a nonmonotonic effect on return; lower (higher) levels of familiarity bias have a negative (positive) effect on return. To the best of our knowledge, this is one of the few studies that focus on nationwide data and analyze the biases simultaneously. Using a unique dataset, we extend the findings of the behavioral finance literature to emerging markets. Besides, analysis of multiple biases helps us better understand the relationship among biases.

Can Prospect Theory Predict the Decision Making by Professionals? Evidence from the Pharmaceutical Industry, 2016

Behavioral studies show that people are subject to biases in general. Studies in the behavioral f... more Behavioral studies show that people are subject to biases in general. Studies in the behavioral finance literature mostly focus on finance professionals and top level managers, and report similar results. This study focuses on professionals outside of the finance industry and who are of lower levels. Moreover, it looks at whether there is a learning effect among these professionals through the design of the authors' survey. They test the predictions of prospect theory among the professionals in the pharmaceutical industry and find that prospect theory predicts the respondents' behavior in general. They also show that there is some learning effect among these professionals. Finally, the authors find that demographics and experience differently influence respondents' answers.

The Effect of CEO Overconfidence on Product Market Performance, 2015

This paper provides empirical evidence that CEO overconfidence can play a role on firm product ma... more This paper provides empirical evidence that CEO overconfidence can play a role on firm product market performance. Some studies provide empirical evidence that irrational managers may engage in actions that can be detrimental to firm value while others suggest that an overconfident manager can increase firm value. This work analyzes the relationship between CEO overconfidence and within-industry sales performance of the firm, and find that higher overconfidence levels are associated with better product market performance.

Are individual stock investors overconfident? Evidence from an emerging market, 2015

This paper investigates overconfidence among individual stock investors. We focus on Turkey in or... more This paper investigates overconfidence among individual stock investors. We focus on Turkey in order to use a unique nationwide dataset and study how common overconfidence is, what factors affect overconfidence and how overconfidence relates to investor return performance. Our findings show that overconfident behavior is common among individual stock investors. Male, younger investors, investors with a lower portfolio value, and investors in low income and low education regions exhibit more overconfident behavior. Moreover, we find that overconfidence has a negative effect on portfolio wealth. To the best of our knowledge, our study is one of the few studies in the literature and the first in Turkey focusing on nationwide data to analyze overconfidence. We extend the findings of the behavioral finance literature to the Turkish market based on this dataset.

Price Discovery Between the New York Stock Exchange and Istanbul Stock Exchange, 2015

We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stoc... more We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of
Turkcell’s price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.

The effect of CEO overconfidence on turnover abnormal returns, 2014

This paper investigates the effect of managerial overconfidence on the market reaction to a CEO c... more This paper investigates the effect of managerial overconfidence on the market reaction to a CEO change within the firm. Some studies provide empirical evidence that irrational managers may engage in actions that can be detrimental to firm value while others suggest that an overconfident manager can increase firm value. We control for different turnover, governance and firm characteristics, and analyze the abnormal returns of S&P 500 firms in the event of a CEO turnover. We find that when an overconfident CEO is appointed to the firm there is a significant negative impact on firm's stock price. Our results support the arguments against overconfident CEOs due to the possible future actions of the CEO that may decrease firm value.

Pressacademia, 2020

Applied Economics Letters, 2020

ABSTRACT Understanding inflation is crucial in financial decision-making, however, lack of compre... more ABSTRACT Understanding inflation is crucial in financial decision-making, however, lack of comprehension pertains to money illusion. Using a survey applied to university students, we study the determinants of money illusion including financial literacy and education. Moreover, we test the implications of individuals’ self-perception of interest and knowledge in financial matters. Our findings show that a higher level of financial knowledge results in lower money illusion levels and education improves financial knowledge. Moreover, there exist self-perception biases; self-perceived levels might not always be in line with the actual ones, and there is a gender effect on self-perceptions.

International Journal of Applied Behavioral Economics, 2016

Handbook of Research on Financial and Banking Crisis Prediction through Early Warning Systems

The consequences of the recent financial crises during the last two decades showed how important ... more The consequences of the recent financial crises during the last two decades showed how important it is to monitor financial performance and try to predict a coming crisis. In an effort to predict a coming crisis, the authors calculate a vulnerability index based on a number of financial and economic indicators. This chapter analyzes the financial vulnerability of sixteen emerging countries as these countries are more vulnerable to financial fluctuations. The findings show that Peru, Russia, Indonesia, and Thailand are less vulnerable to a crisis, whereas, South Africa, Turkey, India, Egypt, and Hungary are more vulnerable to a crisis.

Handbook of Research on Behavioral Finance and Investment Strategies: Decision Making in the Financial Industry

This chapter analyzes the determinants of overconfident CEO appointments and the effect these app... more This chapter analyzes the determinants of overconfident CEO appointments and the effect these appointments on competitor stock performance during managerial turnover within the firm. It also analyzes the turnovers that take place in S&P 500 firms and find that an overconfident successor appointed to the firm pertains to a significant positive impact on competitor's stock price. The author also finds that when the outgoing CEO is overconfident it is more likely for the firm to have an overconfident successor.

Emerging Markets Finance and Trade, 2015

ABSTRACT We study the price discovery process between the New York Stock Exchange (NYSE) and Ista... more ABSTRACT We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of Turkcell’s price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.

Journal of Behavioral and Experimental Finance, 2015

International Journal of Applied Behavioral Economics, 2015

The Journal of Real Estate Finance and Economics, 2020

Applied Economics Letters