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Sinful Stocks

Yıl 2016, Cilt: 16 Sayı: 1, 1 - 12, 01.02.2016

Öz

The aim of this study is to analyse the return performances of sinful stocks which may guide investors in the process of portfolio management. In this paper, daily stock prices of 100 companies from 8 sinful industries traded at the stock exchange markets of the United States, Australia, Canada, Mexico, United Kingdom, France and Turkey are employed as dataset of the research. This paper covers the period of 1999-2014. The return performances of the sinful stocks are analysed by identifying the yields of the portfolios comprising the relevant sinful stocks. Jensen’s Alpha method is utilized in measuring the performances of the portfolios. The results of the study indicate that sinful portfolios have better performance than stock markets

Kaynakça

  • Bozkurt, M. (2005) “İnciller’de ve Kuran’da Günah Kavramı” Yayınlanmamış Yüksek Lisans Tezi, Sivas, Cumhuriyet Üniversitesi Sosyal Bilimler Enstitüsü.
  • Easton, P. D. ve Harrıs T. S. (1991) “Earnings As an Explanatory Variable for Returns” Journal of Accounting Research, 29(1): 19-36.
  • Ercan, M.K. ve Ban, Ü. (2005) Finansal Yönetim, Ankara, Gazi Kitabevi.
  • Ercan, M.K., Öztürk, M.B., Demirgüneş, K., Başçı, E.S. ve Küçükkaplan, İ. (2010) Marka Değerinin Tespiti, İstanbul, İMKB Yayınları.
  • Fabozzi, F.J., Ma, K.C. ve Oliphant, B.J. (2008) “Sin Stock Returns” The Journal of Portfolio Management, 35(1):82-94.
  • Fauver, L., ve McDonald IV, M. B. (2014) “International variation in sin stocks and its effects on equity valuation” Journal of Corporate Finance, 25: 173-187.
  • Hevas, D., Siougle, G. ve Staikouras, C. (2009) “The Accounting Valuation Of Bank Stocks in Europe” Journal of Modern Accounting and Auditing, 5(1):49-63. Hjalmarsson, E. (2010) “Predicting Global Stock Returns” Journal of Fınancial and Quantıtatıve Analysıs, 45(1): 49–80
  • Hong, H. ve Kacperczyk, M. (2007) “The Price of Sin: The Effects of Social Norms on Markets” Working Paper, Sauder School of Business.
  • Hong, H. ve Kacperczyk, M. (2009) “The price of sin: The effects of social norms on markets” Journal of Financial Economics, 93(1): 15-36.
  • Hull, R. M. (1999) “Leverage Ratios, Industry Norms and Stock Price Reaction: An Empirical Investigation of Stock for Debt Transactions” Financial Management, 28 (2): 32-45.
  • http://sinstocksreport.com, (01.12.2014)
  • https://www.google.com/finance (30.12.2014)
  • Jensen, M. (1968) “The Performance of Mutual Funds in The Period 1945-1964” Journal of Finance, 23(2): 389-416.
  • Karan, M.B. (2001) “Istanbul Menkul Kiymetler Borsasi Anomalileri” Ege Academic Review 1(2): 83-94.
  • Lev, B. ve Thiagarajan, S. (1993) “Fundamental Information Analysis” Journal of Accounting Research, 31:190–215.
  • Lawrence, E. C. ve Elliehausen, G. (2008) “A comparative analysis of payday loan customers” Contemporary Economic Policy, 26(2): 299-316.
  • Lintner, J. (1965) “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets” The review of economics and statistics, 13-37.
  • Liston, D. P. ve Soydemir, G. (2010) “Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior” Managerial Finance, 36(10): 876-885.
  • Lobe, S. ve Walkshausl, C. (2011) “Vice vs. Virtue Investing Around the World” Review of Managerial Science: 1-42.
  • Perera, R.A.A.S. ve Thrikawala, S.S. (2010) “An Empirical Study Of The Relevance Of Accounting İnformation On İnvestor’s Decisions” In Proceedings From: The International Research Conference On Business & Information.
  • Pritchard J., N. (2002) “The Relationship Between Accounting Numbers and Returns in the Baltic Stock Markets” CERT Discussion paper No: 2002/06 Edinburgh, Heriot-Watt University.
  • Richey, G.R. (2013) “Does Running with the ‘Devil’ Provide a Risk-Adjusted Abnormal Return? An Investigation of U.S. ‘Sin Stocks’ ” International Research Journal of Applied Finance, 4(3): 329-342.
  • Salaber, J. (2007) “The Determinants of Sin Stock Returns: Evidence on the European Market” Finance International Meeting AFFI-EUROFIDAI Paper.
  • Salaber, J. (2009) “Sin Stock Returns over the Business Cycle” Working Paper, University of Bath School of Management.
  • Sari, L. A. ve Hutagaol, Y. (2009) “Debt to Equity Ratio, Degree of Operating Leverage, Stock Beta and Stock Returns of Foods and Beverages Companies on The Indonesian Stock Exchange” Journal of Applied Finance and Accounting, 2(2): 1-13.
  • Strong, N. (1993) “The Relation between Returns and Earnings: Evidence for the UK” Accouniing and Business Research, 24(93): 69-77
  • Svensson, E.O. ve Zetterqvist, R. (2012) “ Returns to Unethical Investing: New evidence on sin stock performance in Europe” Bachelor Thesis, Stockholm School of Economics.
  • Sharpe, W.F. (1964) “Capital asset prices: A theory of market equilibrium under conditions of risk” The journal of finance, 19(3): 425-442.
  • Visaltanachoti, N., Zheng, Q. ve Zou, L. (2009) “The Performances of “Sin” Stocks in China” Working Paper, Massey University.
  • Yükselen, C. (2008) Pazarlama, Ankara, Detay Yayıncılık.

Günahkar Hisseler

Yıl 2016, Cilt: 16 Sayı: 1, 1 - 12, 01.02.2016

Öz

Bu çalışmanın temel amacı, günahkâr hisselerin getiri performanslarını analiz etmek ve portföy yönetim sürecinde yatırımcılara faydalı olabilecek bilgiler sunmaktır. Bu çalışmada; ABD, Avustralya, Kanada, Meksika, Birleşik Krallık, Fransa ve Türkiye borsalarında işlem gören sekiz farklı günahkâr endüstriden 100 firmanın 1999-2014 yılları arasındaki günlük hisse fiyatları veri olarak kullanılmaktadır. Günahkâr hisselerin getiri performansları, günahkâr hisselerden oluşan portföylere ait getirilerin belirlenmesi suretiyle analiz edilmektedir. Portföy performanslarının ölçülmesinde Jensen’in alfa yöntemi kullanılmaktadır. Çalışma sonucunda, günahkâr portföylerin piyasa portföyünden daha iyi bir performans sergilediği tespit edilmiştir

Kaynakça

  • Bozkurt, M. (2005) “İnciller’de ve Kuran’da Günah Kavramı” Yayınlanmamış Yüksek Lisans Tezi, Sivas, Cumhuriyet Üniversitesi Sosyal Bilimler Enstitüsü.
  • Easton, P. D. ve Harrıs T. S. (1991) “Earnings As an Explanatory Variable for Returns” Journal of Accounting Research, 29(1): 19-36.
  • Ercan, M.K. ve Ban, Ü. (2005) Finansal Yönetim, Ankara, Gazi Kitabevi.
  • Ercan, M.K., Öztürk, M.B., Demirgüneş, K., Başçı, E.S. ve Küçükkaplan, İ. (2010) Marka Değerinin Tespiti, İstanbul, İMKB Yayınları.
  • Fabozzi, F.J., Ma, K.C. ve Oliphant, B.J. (2008) “Sin Stock Returns” The Journal of Portfolio Management, 35(1):82-94.
  • Fauver, L., ve McDonald IV, M. B. (2014) “International variation in sin stocks and its effects on equity valuation” Journal of Corporate Finance, 25: 173-187.
  • Hevas, D., Siougle, G. ve Staikouras, C. (2009) “The Accounting Valuation Of Bank Stocks in Europe” Journal of Modern Accounting and Auditing, 5(1):49-63. Hjalmarsson, E. (2010) “Predicting Global Stock Returns” Journal of Fınancial and Quantıtatıve Analysıs, 45(1): 49–80
  • Hong, H. ve Kacperczyk, M. (2007) “The Price of Sin: The Effects of Social Norms on Markets” Working Paper, Sauder School of Business.
  • Hong, H. ve Kacperczyk, M. (2009) “The price of sin: The effects of social norms on markets” Journal of Financial Economics, 93(1): 15-36.
  • Hull, R. M. (1999) “Leverage Ratios, Industry Norms and Stock Price Reaction: An Empirical Investigation of Stock for Debt Transactions” Financial Management, 28 (2): 32-45.
  • http://sinstocksreport.com, (01.12.2014)
  • https://www.google.com/finance (30.12.2014)
  • Jensen, M. (1968) “The Performance of Mutual Funds in The Period 1945-1964” Journal of Finance, 23(2): 389-416.
  • Karan, M.B. (2001) “Istanbul Menkul Kiymetler Borsasi Anomalileri” Ege Academic Review 1(2): 83-94.
  • Lev, B. ve Thiagarajan, S. (1993) “Fundamental Information Analysis” Journal of Accounting Research, 31:190–215.
  • Lawrence, E. C. ve Elliehausen, G. (2008) “A comparative analysis of payday loan customers” Contemporary Economic Policy, 26(2): 299-316.
  • Lintner, J. (1965) “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets” The review of economics and statistics, 13-37.
  • Liston, D. P. ve Soydemir, G. (2010) “Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior” Managerial Finance, 36(10): 876-885.
  • Lobe, S. ve Walkshausl, C. (2011) “Vice vs. Virtue Investing Around the World” Review of Managerial Science: 1-42.
  • Perera, R.A.A.S. ve Thrikawala, S.S. (2010) “An Empirical Study Of The Relevance Of Accounting İnformation On İnvestor’s Decisions” In Proceedings From: The International Research Conference On Business & Information.
  • Pritchard J., N. (2002) “The Relationship Between Accounting Numbers and Returns in the Baltic Stock Markets” CERT Discussion paper No: 2002/06 Edinburgh, Heriot-Watt University.
  • Richey, G.R. (2013) “Does Running with the ‘Devil’ Provide a Risk-Adjusted Abnormal Return? An Investigation of U.S. ‘Sin Stocks’ ” International Research Journal of Applied Finance, 4(3): 329-342.
  • Salaber, J. (2007) “The Determinants of Sin Stock Returns: Evidence on the European Market” Finance International Meeting AFFI-EUROFIDAI Paper.
  • Salaber, J. (2009) “Sin Stock Returns over the Business Cycle” Working Paper, University of Bath School of Management.
  • Sari, L. A. ve Hutagaol, Y. (2009) “Debt to Equity Ratio, Degree of Operating Leverage, Stock Beta and Stock Returns of Foods and Beverages Companies on The Indonesian Stock Exchange” Journal of Applied Finance and Accounting, 2(2): 1-13.
  • Strong, N. (1993) “The Relation between Returns and Earnings: Evidence for the UK” Accouniing and Business Research, 24(93): 69-77
  • Svensson, E.O. ve Zetterqvist, R. (2012) “ Returns to Unethical Investing: New evidence on sin stock performance in Europe” Bachelor Thesis, Stockholm School of Economics.
  • Sharpe, W.F. (1964) “Capital asset prices: A theory of market equilibrium under conditions of risk” The journal of finance, 19(3): 425-442.
  • Visaltanachoti, N., Zheng, Q. ve Zou, L. (2009) “The Performances of “Sin” Stocks in China” Working Paper, Massey University.
  • Yükselen, C. (2008) Pazarlama, Ankara, Detay Yayıncılık.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA23ZE55SB
Bölüm Araştırma Makalesi
Yazarlar

İbrahim Bozkurt Bu kişi benim

Yayımlanma Tarihi 1 Şubat 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 16 Sayı: 1

Kaynak Göster

APA Bozkurt, İ. (2016). Sinful Stocks. Ege Academic Review, 16(1), 1-12.
AMA Bozkurt İ. Sinful Stocks. eab. Şubat 2016;16(1):1-12.
Chicago Bozkurt, İbrahim. “Sinful Stocks”. Ege Academic Review 16, sy. 1 (Şubat 2016): 1-12.
EndNote Bozkurt İ (01 Şubat 2016) Sinful Stocks. Ege Academic Review 16 1 1–12.
IEEE İ. Bozkurt, “Sinful Stocks”, eab, c. 16, sy. 1, ss. 1–12, 2016.
ISNAD Bozkurt, İbrahim. “Sinful Stocks”. Ege Academic Review 16/1 (Şubat 2016), 1-12.
JAMA Bozkurt İ. Sinful Stocks. eab. 2016;16:1–12.
MLA Bozkurt, İbrahim. “Sinful Stocks”. Ege Academic Review, c. 16, sy. 1, 2016, ss. 1-12.
Vancouver Bozkurt İ. Sinful Stocks. eab. 2016;16(1):1-12.