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Papers by Nurcan Öcal

21. Finans Sempozyum, 2017

Bu çalışmada; Türkiye’de Beneish Modelini test etmek üzere, SPK’nca UFRS’ye aykırı davranmak veya... more Bu çalışmada; Türkiye’de Beneish Modelini test etmek üzere, SPK’nca UFRS’ye aykırı davranmak veya örtülü kazanç aktarımında bulunmak suretiyle veya başka yollarla manipüle edildiği tespit edilen 31 şirketin 2008-2016 dönemine ait 63 adet yıllık finansal tabloları ile muhasebe bazlı kazanç manipülasyonu olmadığı varsayılan Borsa Istanbul Ulusal 50 endeksinde yer alan 30 şirketin aynı yıllara ait 78 adet yıllık finansal tabloları kullanılmıştır. Çalışmamızda gerçek verilerle test edilen Beneish Modelinin 141 adet yıllık finansal tablodan 88’ini doğru sınıflayabildiği, dolayısıyla, Beneish Modelinin mevcut veri ve varsayımlar kapsamında başarı oranın %62,41 olduğu görülmüştür.

This paper examines the effects of time to maturity, volume and open interest on the price volati... more This paper examines the effects of time to maturity, volume and open interest on the price volatility of futures contracts in Turkish derivative markets. The determinant of volatility is tested using conditional variance models during the period from January 2, 2008 to June 30, 2015. The sample set consists of 457 futures contracts backed by gold, currency, indices and single stocks. Empirical results show that the time to maturity, volume and open interest significantly impact the volatility of futures contracts. It is found that as the maturity date approaches, volatility increases. Furthermore, a positive correlation is found between the price volatility of futures contracts and volume, whereas volatility and open interest are found to correlate negatively. Thus, both the Samuelson Hypothesis and the Mixture of Distributions Hypothesis are supported in Turkish derivative markets.

Most of the previous studies on dividends in Turkey have focused on the effects of dividend annou... more Most of the previous studies on dividends in Turkey have focused on the effects of dividend announcements. There has been no study investigating the relation between dividend changes and the future profitability of firms. This study investigates this relation by using both ordinary and panel data regression on a data set consisting of 1,239 dividend payouts from 123 companies listed in Borsa Istanbul during the period 2004-2014. This study is unable to demonstrate that dividend changes are related to changes in future earnings. No evidence is found to support the dividend signaling theory, which claims that dividends serve as indicators of the future profitability of firms. On the other hand, future profitability is found to be strongly correlated with profitability in the previous year.

International Journal of Economics and Finance, Jun 25, 2015

This study aims to develop a model using C5.0 and CHAID decision tree algorithms to estimate the ... more This study aims to develop a model using C5.0 and CHAID decision tree algorithms to estimate the financial failure and/or success of a given manufacturing company. Within the scope of this study, 35 financial ratios are used as independent variables calculated on the grounds of both company’s annual financial statements and notes from 2007 to 2013. The dependent variable is the successful or unsuccessful status in terms of financial capability of 206 manufacturing firms listed on the Borsa Istanbul. Qualitative criteria are used to categorize the companies as successful or unsuccessful. The rates of accurate classification for both models are found to be at acceptable levels. Although the CHAID algorithm’s general rate of accuracy and its rate for successful companies are greater than the rates obtained from the C5.0 algorithm for the same observations, the CHAID algorithm yielded much lower results than the C5.0 algorithm in predicting unsuccessful companies.

Journal of Financial Research, May 25, 2015

In this study it is aimed to develop a model using logistic regression analysis for the forecasti... more In this study it is aimed to develop a model using logistic regression analysis for the forecasting the rating grade of a manufacturing firm that form the basis to expert evaluation. Under the scope of this study 35 financial ratios are used as the independent variables, which are calculated on the grounds of annual financial statements and their notes during the period of 2007-2013 which are disclosed by the 206 listed manufacturing firms on Borsa Istanbul, and the status of the firms being “good” or “bad” based on financial capability is used as the dependent variable. Percentage of correct classification of developed model is at acceptable levels. By using the developed model, probability of a firm being "good" or "bad" can be estimated and using the proposed scale rating grade can be appointed of the firm that rating wanted to be performed.

International Business Research, Aug 25, 2015

This study investigates market reactions to cash dividend announcements by analyzing abnormal ret... more This study investigates market reactions to cash dividend announcements by analyzing abnormal returns around the declaration date in Borsa Istanbul. The study applies a panel regression method to a data set including 902 announcement made by 118 companies during the period from 2003 to 2015. It is found that there is a significant, negative relationship between cash dividends per share and abnormal returns following the announcement of dividends. Thus, the results support the tax-clientele effect hypothesis. When a given company announces cash dividends, shareholders start to sell their holdings in order to avoid more taxation in the future; therefore, market prices decrease. Furthermore, the results suggest that there is no statistically significant information leakage prior to the announcement date, and it seems that the inefficiency of the market decreases over time as prices adapt to new information more quickly.

Conference Presentations by Nurcan Öcal

Avukat, EY Türkiye, Vergi ve Hukuk Bölümü, oyku.ocal@tr.ey.com ÖZET Bu çalışmada; Türkiye'de Bene... more Avukat, EY Türkiye, Vergi ve Hukuk Bölümü, oyku.ocal@tr.ey.com ÖZET Bu çalışmada; Türkiye'de Beneish Modelini test etmek üzere, SPK'nca UFRS'ye aykırı davranmak veya örtülü kazanç aktarımında bulunmak suretiyle veya başka yollarla manipüle edildiği tespit edilen 31 şirketin 2008-2016 dönemine ait 63 adet yıllık finansal tabloları ile muhasebe bazlı kazanç manipülasyonu olmadığı varsayılan Borsa Istanbul Ulusal 50 endeksinde yer alan 30 şirketin aynı yıllara ait 78 adet yıllık finansal tabloları kullanılmıştır. Çalışmamızda gerçek verilerle test edilen Beneish Modelinin 141 adet yıllık finansal tablodan 88'ini doğru sınıflayabildiği, dolayısıyla, Beneish Modelinin mevcut veri ve varsayımlar kapsamında başarı oranın %62,41 olduğu görülmüştür. ABSTRACT In order to test Beneish Model in Turkey; 63 annual financial tables regarding 2008-2016 fiscal periods of 31 companies of which the financial reports are determined to be manipulated by CMB by means of incongruous acts to IFRS or distribution of disguised earning or by any other means; and 78 annual financial reports regarding the mentioned time period of 30 companies that rank among Istanbul Stock Exchange (BIST) National 50 index of which the financial report are assumed to be not manipulated in accounting manners are used within the scope of this study. It is understood that Beneish Model which is tested with actual data under our study; can classify 88 of 141 of the annual financial reports correctly, accordingly, it is understood that the success rate of Beneish Model is 62.41% based on current data and assumptions.

Çalışmada, imalat sektöründe faaliyet gösteren firmaların finansal açıdan başarılı olup olmadığın... more Çalışmada, imalat sektöründe faaliyet gösteren firmaların finansal açıdan başarılı olup olmadığının tespiti amacıyla, karar ağacı C5 ve CHAID algoritmaları ile lojistik regresyon kullanılarak modeller oluşturulmuştur. Payları Borsa İstanbul pay piyasasında işlem gören, imalat sektöründe faaliyet gösteren 206 firmanın, 2007-2013 dönemine ait kamuya açıklanmış yıllık finansal tabloları ve finansal tablo dipnotları esas alınarak hesaplanan 35 finansal oran bağımsız değişken; firmaların finansal açıdan “başarılı” veya “başarısız” olma durumları bağımlı değişken olarak kullanılmıştır. “başarısız” firmaların belirlenmesinde sayısal olmayan ölçütler esas alınmıştır. Geliştirilen modellerin doğru sınıflama oranları kabul edilebilir düzeydedir. CHAID algoritması ile elde edilen modelin, genel ve “başarılı” firmaları doğru sınıflama oranı daha yüksek olmakla birlikte, C5 algoritması ile oluşturulan modelin daha başarılı olduğu söylenebilir. Zira, C5 algoritması ile edilen modelin “başarısız” firmaları doğru sınıflama oranı daha yüksektir.

ABSTRACT
ESTIMATING FINANCIAL FAILURE: AN AMPRICAL TEST ON THE MANUFACTURING INDUSTRY AT BORSA ISTANBUL

This study aims to develop models using C5 and CHAID decision tree algorithms and logistic regression to estimate the financial failure and/or success of a given manufacturing company. 35 financial ratios are used as independent variables calculated on the grounds of both company’s annual financial statements and notes from 2007 to 2013. The dependent variable is the successful or unsuccessful status of 206 manufacturing firms listed on the Borsa Istanbul. Qualitative criteria are used to categorize the companies as successful or unsuccessful. The rates of accurate classification for models are found to be at acceptable levels. Although the CHAID algorithm’s general rate of accuracy and its rate for successful companies are greater than the rates obtained from the C5 algorithm, the CHAID algorithm yielded much lower results than the C5 algorithm in predicting unsuccessful companies.

ABSTRACT
ESTIMATING FINANCIAL FAILURE: AN AMPRICAL TEST ON THE MANUFACTURING INDUSTRY AT BORSA ISTANBUL This study aims to develop models using C5 and CHAID decision tree algorithms and logistic regression to estimate the financial failure and/or success of a given manufacturing company. 35 financial ratios are used as independent variables calculated on the grounds of both company's annual financial statements and notes from 2007 to 2013. The dependent variable is the successful or unsuccessful status of 206 manufacturing firms listed on the Borsa Istanbul. Qualitative criteria are used to categorize the companies as successful or unsuccessful. The rates of accurate classification for models are found to be at acceptable levels. Although the CHAID algorithm's general rate of accuracy and its rate for successful companies are greater than the rates obtained from the C5 algorithm, the CHAID algorithm yielded much lower results than the C5 algorithm in predicting unsuccessful companies.

Books by Nurcan Öcal

The necessity of using statistical techniques and Experts' judgments jointly is generally accepte... more The necessity of using statistical techniques and Experts' judgments jointly is generally accepted in the credit rating process. In this study it is aimed to develop models using logistic regression and decision tree algorithms C5 and CHAID for the forecasting the credit rating note of a manufacturing company that form the basis to expert evaluation. Under the scope of this study 35 financial ratios are used as the independent variables, which are calculated on the grounds of annual financial statements and their notes during the period of 2007-2013 which are declared by the 206 listed manufacturing companies on Borsa Istanbul equity market; and the status of the companies being “good” or “bad” based on financial capability is used as the dependent variable. Nonnumeric criteria are used for determination of the “bad” companies. Percentage of correct classification of each of the three developed models are at acceptable levels. The model of the decision trees algorithm C5 appeared to be more successful than the others, since its’ percentage of correct classification of "bad" companies is higher than the others. By using the developed models, probability of a company being "good" or "bad" can be estimated and using the proposed scale rating note can be appointed of the company that credit rating wanted to be performed. On the other hand, it should be kept in mind that the appointed rating note developed by models, is not final.

ÖZET

Kredi derecelendirme sürecinde, istatistiki yöntemler ile uzman değerlendirmesine dayalı yöntemlerin birlikte kullanılması gereği yaygın kanaat olarak karşımıza çıkmaktadır. Bu çalışmada, imalat sektöründe faaliyet gösteren bir firmanın kredi derecelendirme notunun belirlenmesi sürecinde, uzman değerlendirmesine baz oluşturacak notun tespiti için, lojistik regresyon ve karar ağacı C5 ve CHAID algoritmaları kullanılarak modeller oluşturulmuştur. Çalışmada, payları Borsa İstanbul pay piyasasında işlem gören ve imalat sektöründe faaliyet gösteren 206 firmanın, 2007-2013 dönemine ait kamuya açıklanmış yıllık finansal tabloları ve finansal tablo dipnotları esas alınarak hesaplanan 35 finansal oran bağımsız değişken; firmanın finansal açıdan “iyi” veya “kötü” olma durumları ise bağımlı değişken olarak kullanılmıştır. “Kötü” firmaların belirlenmesinde sayısal olmayan ölçütler kullanılmıştır. Geliştirilen her üç modelin doğru sınıflandırma oranları kabul edilebilir düzeydedir. Karar ağaçlarından C5 algoritması ile oluşturulan modelin diğerlerine göre daha başarılı olduğu, zira “kötü” firmaları doğru sınıflandırma oranının diğerlerinden yüksek olduğu görülmektedir. Geliştirilen modeller kullanılarak, kredi derecelendirmesi yapılmak istenen bir firmanın “iyi” veya “kötü” olma olasılığı belirlenebilecek ve önerilen ölçek baz alınarak firmaya derece notu verilebilecektir. Öte yandan, geliştirilen modeller yardımıyla bir firmaya atanacak derecelendirme notunun nihai olmadığı göz önünde bulundurulmalıdır.

21. Finans Sempozyum, 2017

International Journal of Economics and Finance, Jun 25, 2015

Journal of Financial Research, May 25, 2015

International Business Research, Aug 25, 2015

ABSTRACT
ESTIMATING FINANCIAL FAILURE: AN AMPRICAL TEST ON THE MANUFACTURING INDUSTRY AT BORSA ISTANBUL

ÖZET