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Year 2017, Volume: 4 Issue: 3, 245 - 255, 30.09.2017

Abstract

References

  • Alaoui, Dewandaru, Rosly ve Masih. 2014, “Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index.” Journal of International Financial Markets, Institutions & Money.
  • Booth L., Aivazian V., Kunt A., Maksimovic V., 2001. “Capital Structure in Developing Countries.” The Journal of Finance, Vol 56, No.1 – 87-130
  • Baxter, N. 1967,“Leverage, Risk of Ruin and the Cost of Capital”, Journal of Finance , pp.3956-403
  • Donaldson G. 1963, “Financial Goals: Management vs Stockholders”, Harvard Business Review 41, 116-129
  • Erdamar H., Ersen H., Ekinci C., Taş O., Şimsek D. 2015, “Capital Structure of Dow Jones Islamic Index Firms”
  • Güran B., Taş O. 2014, “Making Second Order Stochastic Dominance inefficient Mean Variance Portfolio efficient: Application in Turkish BIST-30 Index.”, İktisat İşletme ve Finans Dergisi, 95-126.
  • Hatfield G., Louis C., Davidson W., 1994. The Determination of Optimal Capital Structure: The Effect of Firm and Industry Debt Ratios on Market Value. Journal of Financial and Strategic Decision, 3-13.
  • Jensen, M.C., Meckling, W.H., 1976. “Theory of the firm: managerial behavior, agency costs, and ownership structure.”, Journal of Financial Economics, 3, 305–360.
  • Masulis W., D’Angelo H. 1980, “Optimal Capital Structure Under Corporate and Personal Taxation”, Journal of Financial Economics, Vol. 8, No. 1, pp. 3-27, 1980
  • Masulis W. 1983, “The Impact of Capital Structure Change on Firm Value”, The Journal of Finance, Volume 38 Issue 1 Pages 107-126
  • Mazouz, Mohamed, Saadouni. 2016.” Stock return comovement around the Dow Jones Islamic Market World Index revisions”. Journal of Economic Behaviour & Organization.
  • Modigliani F., Miller H. 1958, “The Cost of Capital, Corporation Finance and the Theory of Investment”, The American Economic Review, Vol. 48, No. 3 pp. 261-297
  • Stiglitz J. 1972 ,” Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Take-Overs”, Bell Journal of Economics.
  • Türkiye İhracatçılar Meclisi, Olağanüstü Parasal Genişleme Dönemi Sunumu, Ankara 2014

PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE BY THE PERSPECTIVE OF CAPITAL STRUCTURE: AN IMPLEMENTATION ON BIST-100 INDEX

Year 2017, Volume: 4 Issue: 3, 245 - 255, 30.09.2017

Abstract

Purpose- The aim of this paper is to observe whether generating a portfolio having
return more than index by investigating the return performance of index’s
stocks and capital structure of firms in index in a certain period. The second
aim of this paper is to provide portfolio diversification by using the method
of this study. In this paper, firms and stocks on BIST-100 index are referenced
for empirical study.

Method- Stocks are chosen from BIST-100 index with regard to certain capital
structure of firms in stocks, and second orderly stochastic dominance test is
implemented on these stocks. Dominant stocks are defined to generate a
portfolio after stochastic test and this portfolio’s return performance is
compared to the index’-s return.

Findings- The portfolio, whose stocks are filtered by a certain capital structure
and then chosen by second orderly stochastic dominance test, has return
performance better than index’s return.







Conclusion- This paper is indicating that second orderly stochastic
dominance method and capital structure is an important investigation to
generate a portfolio having higher returns more than index’s.

References

  • Alaoui, Dewandaru, Rosly ve Masih. 2014, “Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index.” Journal of International Financial Markets, Institutions & Money.
  • Booth L., Aivazian V., Kunt A., Maksimovic V., 2001. “Capital Structure in Developing Countries.” The Journal of Finance, Vol 56, No.1 – 87-130
  • Baxter, N. 1967,“Leverage, Risk of Ruin and the Cost of Capital”, Journal of Finance , pp.3956-403
  • Donaldson G. 1963, “Financial Goals: Management vs Stockholders”, Harvard Business Review 41, 116-129
  • Erdamar H., Ersen H., Ekinci C., Taş O., Şimsek D. 2015, “Capital Structure of Dow Jones Islamic Index Firms”
  • Güran B., Taş O. 2014, “Making Second Order Stochastic Dominance inefficient Mean Variance Portfolio efficient: Application in Turkish BIST-30 Index.”, İktisat İşletme ve Finans Dergisi, 95-126.
  • Hatfield G., Louis C., Davidson W., 1994. The Determination of Optimal Capital Structure: The Effect of Firm and Industry Debt Ratios on Market Value. Journal of Financial and Strategic Decision, 3-13.
  • Jensen, M.C., Meckling, W.H., 1976. “Theory of the firm: managerial behavior, agency costs, and ownership structure.”, Journal of Financial Economics, 3, 305–360.
  • Masulis W., D’Angelo H. 1980, “Optimal Capital Structure Under Corporate and Personal Taxation”, Journal of Financial Economics, Vol. 8, No. 1, pp. 3-27, 1980
  • Masulis W. 1983, “The Impact of Capital Structure Change on Firm Value”, The Journal of Finance, Volume 38 Issue 1 Pages 107-126
  • Mazouz, Mohamed, Saadouni. 2016.” Stock return comovement around the Dow Jones Islamic Market World Index revisions”. Journal of Economic Behaviour & Organization.
  • Modigliani F., Miller H. 1958, “The Cost of Capital, Corporation Finance and the Theory of Investment”, The American Economic Review, Vol. 48, No. 3 pp. 261-297
  • Stiglitz J. 1972 ,” Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Take-Overs”, Bell Journal of Economics.
  • Türkiye İhracatçılar Meclisi, Olağanüstü Parasal Genişleme Dönemi Sunumu, Ankara 2014
There are 14 citations in total.

Details

Journal Section Articles
Authors

Oktay Tas

Ali Sezin Ozdemir This is me

Kaya Tokmakcioglu

Publication Date September 30, 2017
Published in Issue Year 2017 Volume: 4 Issue: 3

Cite

APA Tas, O., Ozdemir, A. S., & Tokmakcioglu, K. (2017). PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE BY THE PERSPECTIVE OF CAPITAL STRUCTURE: AN IMPLEMENTATION ON BIST-100 INDEX. Journal of Economics Finance and Accounting, 4(3), 245-255.

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