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Yayın Why invest globally in family firms?(PressAcademia, 2022-07-30) Teker, Suat; Teker, Dilek; Demirel, EsinPurpose- Family firms have a significant economic role in many countries around the world. Family firms make a significant contribution to World GDP and employ a significant part of the global workforce. The scope of this study covers the top 25 largest and publicly owned family firms announced by Ernst & Young’s 2021 Report for Family Businesses. These 25 family firms generated more than 2 trillion USD and employed 6.5 million in 2021. This empirical study aims to investigate the excess stock returns of family firms over the related country stock market indexes and the risks (betas) for the period between 2002 and 2021. Therefore, this study explores the question of “why invest globally in family firms and whether this investment pays off with higher returns and less risk”. Methodology- The World's Largest Family Companies" list is published every other two years by Ernst & Young and the last issue was published in 2021. The world’s largest family companies list includes both private and publicly owned family firms. This study employs 25 world’s largest family firms after the exclusion of privately held family firms. The monthly stock prices of family firms, related country stock market index values, and global stock market index values are obtained from Refinitiv Eikon (Reuters) database for the period between 2002 and 2021 (20 years). Therefore, a total of 9120 observations are extracted for this empirical study. Eviews-10 is utilized for all econometric analysis. Findings- This study investigates whether an individual or intuitional investor can earn more than the average return of the stock markets by investing in publicly traded family firms meanwhile exposing less risk. The empricial results reveal that Maersek shows 354% (beta of 1.18) excess return over the 20 year period and followed by Hanwha with a 335% (beta of 0.69) excess return. Later, all family firms are grouped based on country of headquartered and 7 country portfolios are formed. The highest excess returns are provided by South Koean portfolio (an excess return of 189% with a beta of 0.83) and it is followed by Indian portfolio (an excess return of 174% with a beta of 1.0). Finaly, a best performer portfolio is formed by the 10 family firms with highest excess returns. This portfolio provides a 131% excess return with a beta of 1.18 over 20-year peirod. Conclusion- The empirical results show that the individual firm returns and portfolio returns of family firms are higher than the returns of the stock market indexes. Those who invest in family businesses get higher returns with less risk. Investments in publicly traded family firms pay off.Yayın Market risk premiums in BIST 100 in the Covid era(PressAcademia, 2021-12-31) Teker, Suat; Teker, Dilek; Demirel, EsinPurpose- Capital Asset Pricing Model (CAPM) is the most widely used and popular method in analysis of investment projects, stock valuation, firm valuation, mergers and acquisitions, initial public offerings and secondary public offerings. The determination of market risk premium is one of the most important inputs in the application of this model. The determination of market risk premium for the Turkish market has not deeply studied in the literature so far. This study intends to calculate the market risk premium for the Turkish Stock Market with a special emphasis on the Covid-19 era. Methodology- The monthly data from the Reuters Database are collected for the BIST100 and 17 different sectoral indexes for the years of 2019 and 2020. Moreover, the monthly average short term interest rates on the Turkish Treasury Bonds are obtained from the database of Central Bank of Turkey for the years of 2019 and 2020. Based upon the historical observations, the market risk premium is defined as the difference in between the market index returns (BIST100 and 17 sectoral indexes) and the average short term interest rates on monthly basis. Findings- The market risk premiums measured on BIST100 index are about 10% in 2019 and 20% in 2020. The market risk premium is doubled in the Covid era. The volatilities of BIST100 index are 7.86% in 2019 and 8.15% in 2020. The volatility of market risk premiums are also significantly increased in the Covid era. Conclusion- Covid era has significantly increased the market risk premiums and volatilities of the Turkish market. The results of this study may be used as a reference study for local and international financial institutions, valuation industry and trade firms and academics for an approximation of market risk premium in the Covid era.Yayın Sectoral market risk premiums in Turkey(PressAcademia, 2022-07-30) Teker, Suat; Teker, Dilek; Demirel, EsinPurpose- This empirical study aims to measure the sectoral market risk premiums in the Turkish stock market for the period of 2016 and 2021 and also estimate the sectoral market risk premiums for the years 2022, 2023 and 2024. Capital Asset Pricing Model (CAPM) is the most widely used and popular method in the analysis of investment projects, stock valuation, firm valuation, mergers and acquisitions, initial public offerings, and secondary public offerings. The market risk premium in CAPM is defined as the the difference in between expected market returns and interest rates. The determination of market risk premium is one of the most important inputs in the application of the CAPM. This study intends to calculate the market risk premiums and volatilities for the sectors of Borsa Istanbul for the periods of pre-Covid (2016-2017-2018) and in the Covid-19 era (2019-2020-2021). Methodology- The monthly data from the Reuters Database are collected for the BIST100 and 17 different sectoral indexes and short-term interest rates between the years 2016 and 2021. A total of 1296 observations are obtained. Based upon the historical observations, the market risk premiums are defined as the difference between the market index returns (BIST100 and 17 sectoral indexes) and the average short-term interest rates on monthly basis. Then, using the ARIMA forecasting method, the market risk premiums are estimated for the years 2022, 2023, and 2024. A total of 576 data points are forecasted. Findings- The average risk premium on the BIST100 index is about -2.44% for the pre-Covid era and 14.01% for in-Covid era. The market risk premiums sharply increased from the pre-Covid period to the Covid period. The average volatility on the BIST100 index is about 0.23% for the pre-Covid era while 0.34% in the Covid era. The volatility of the market returns also incresed significantly. Moreover, the Cusum Square Test results point a structural break in the Covid-era. The ARIMA estimates of market risk premiums are 1.87% for 2022, 0.43% for 2023 and 0.42% for 2024. THe ARIMA estimates of volatilities are 0.70% for 2022, 0.72% for 2023 and 0.71% for 2024. Conclusion- The empirical evidence strongly support a structural change in the Covid era with higher market risk premiums and volatilities. The forecasted market risk premiums for the next three years show a diminishing trend while the forecasted volatilities show high and persistent level.
