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Comparing Performances Of The Portfolios Created According To The Net Working Capital Approach: Example Of Istanbul Stock Exchange

Year 2020, , 241 - 262, 01.10.2020
https://doi.org/10.33203/mfy.784933

Abstract

Testing whether portfolios created by using Graham's Net Working Capital (NWC) approach offer greater returns than the BIST 100 index is the main purpose of this study. Accordingly, between 2000 and 2020, the performance of the portfolios created by the NWC approach in Istanbul Stock Exchange (BIST) was measured by "back-tests" and compared using portfolio performance measurement techniques. As a result of the study, while portfolios of shares with the ratio of a market value to net working capital being greater than 1 provide an average monthly additional return of 2.19% compared to the BIST 100 index, according to sharp ratio, they also offered a better combination of risk-return than other portfolio groups. Another important result is that the reason for the portfolios selected with the NWC approach to deliver excess returns over the market may be independent of the company size.

References

  • Akgüç, Ö. (1998). Finansal Yönetim. Yenilenmiş 7. Baskı. İstanbul: Avcıol Basım Yayım.
  • Arnold, G. (2018). Büyük Yatırımcılar. İstanbul: Türkiye İş Bankası Yayınları.
  • Balik, R. ve Mehran, J. (2008). Benjamin Graham revisited. Erişim Tarihi:12 Ağustos 2020, https://academyfinancial.org/resources/Documents/Proceedings/2009/5D-Balik-Mehran.pdf
  • Bildersee, J. B., Cheh, J. J. ve Zutshi, A. (1993). The Performance of Japanese Common Stocks in Relation to Their Net Current Asset Values. Japan and the World Economy, 5: 197-215.
  • Brealey Ricard A., Stewart C. M. ve Frannklin, A. (2008). Principles of Corporate Finance. New York: McGraw-Hill İnternational Edition, Ninth Edition.
  • Chang D. (2011). Testing Some of Benjamin Graham’s Stock Selection Criteria: A Case of the FTSE Bursa Malaysia EMAS Index from Year 2000 to 2009. Jurnal Manajemen Dan Kewirausahaan, Vol.13, No.2, 99-106.
  • Chongsoo A., John J. C. ve II-Woon K. (2015). Testing Benjamin Graham’s Net Current Asset Value Model. Journal of Economic & Financial Studies, 03(01), 63-73.
  • Debondt, W. ve Thaler, R. (1985). Does the Stock Market Overreact? Journal of Finance, 40(3), 793–808. Cibulskienė, D. ve Brazauskas M. (2014). Testing of Asset and Profit Strategy Through Investment Portfolio Formation in Baltic States stock exchange. Wroclaw Economic Review, 20/3, 9-22.
  • Downey, L. (2020). Efficient Market Hypothesis (EMH). Investopedia, Erişim Tarihi: 14 Ağustos 2020, https://www.investopedia.com/terms/e/efficientmarkethypothesis.asp
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 383-417.
  • Graham, B. ve Dodd, D. (1934). Security Analysis. New York: McGraw-Hill.
  • Graham, B. (1976). A Conversation with Benjamin Graham. Financial Analyst Journal September/October.
  • Graham, B. ve Chatman, S. (1996). Benjamin Graham: The Memoirs of the Dean of Wall Street, New York, the McGraw-Hill companies.
  • Graham, B. (2003). The Intelligent Investor. New York: HarperCollins World.
  • Guidi F., Gupta R. ve Suneel M. (2011). Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets. Journal of Emerging Market Finance, 10(3) 337–389.
  • Klerck, W. G. ve Maritz, A. C. (1997). A Test of Graham’s Stock Selection Criteria on Industrial Shares Traded on JSE. Investment Analysts Journal, 45, 25-33.
  • Lauterbach, B. ve Vu J.D. (1993). Ben Graham's Net Current Asset Value Rule Revisited: The Size-Adjusted Returns. Quarterly Journal of Business and Economics, 32(1), 82-108.
  • Oppenheimer, H. R. ve Schlarbaum, G. G. (1981). Investing with Ben Graham: An Ex Ante Test of the Efficient Markets Hypothesis, The Journal of Financial and Quantitative Analysis, 16(3), 341–360.
  • Oppenheimer, H.R. (1984). A Test of Ben Graham's Stock Selection Criteria. Financial Analysts Journal, 40(5): 68-74.
  • Oppenheimer, H. R. (1986). Ben Graham's Net Current Asset Values: A Performance Update, Financial Analysts Journal: 40-47.
  • Rachmattullah M.F. ve Faturohman T. (2016). The implementation of Benjamin Graham Criteria, A Case in Indonesia Market, Journal of Business and Management, Vol.5, No.6, 2016: 773-782.
  • Schilling G. (1996). Working Capital’s Role in Maintining Corporate Liqudity. Treasury Management Association (TMA) Journal, 16, 5, 4-7.
  • Schwert G.W.(2002). Anomalies and Market Efficiency. NBER Working Paper Series, Working Paper 9277, Erişim Tarihi: 14 Ağustos 2020, http://www.nber.org/papers/w9277
  • Saraç, M.(2010). Finansal Yönetim. İstanbul Üniversitesi Açık ve Uzaktan Eğitim Fakültesi AUZEF Ders Notları.
  • Singh J. ve Kaur K. (2014). Testing Ben Graham’s Stock Selection Criteria in Indian Stock Market. Management and Labour Studies, 39, 1: 43–62.
  • Sümer E. ve Aybar Ş. (2016). Etkin Piyasalar Hipotezinin Finansal Piyasaları Açıklamadaki Yetersizliği ve Davranışsal Finans, Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (ERZSOSDER) IX– II: 75-84.
  • Terzi N. (2016). An Assessment on Graham’s Approach for Stock Selection: The Case of Turkey. International Journal of Financial Research, Vol. 7, No. 1; 50-56.
  • Xiao Y. ve Arnold G. (2007). Testing Benjamin Graham’s Net Current Asset Value Strategy in London. Salford Business School Working Paper Series, Paper no. 109/07. Erişim Tarihi: 12 Ağustos 2020, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=966188
  • Zakaria N. ve Hashim F. (2017). Emerging Markets: Evaluating Graham’s Stock Selection Criteria on Portfolio Return in Saudi Arabia Stock Market. International Journal of Economics and Financial Issues, 7(2), 453-459.

Net İşletme Sermayesi Yaklaşımı İle Oluşturulan Portföylerin Performanslarının Karşılaştırılması: Borsa İstanbul Örneği

Year 2020, , 241 - 262, 01.10.2020
https://doi.org/10.33203/mfy.784933

Abstract

Graham’ın Net İşletme Sermayesi (NİS) yaklaşımı kullanılarak oluşturulan portföylerin, BIST 100 endeksinden daha fazla getiri sunup sunmadığını test etmek bu çalışmanın temel amacıdır. Bu doğrultuda, 2000 ile 2020 yılları arasında Borsa İstanbul’da NİS yaklaşımı ile oluşturulan portföylerin performansları, “back-testler” yapılarak ölçülmüş ve portföy performans ölçüm teknikleri kullanılarak karşılaştırılmıştır. Çalışma sonucunda net işletme sermayesinin piyasa değerine oranı 1’den büyük olan paylardan oluşan portföyler, BIST 100 endeksine göre aylık ortalama %2.19 ek getiri sağlarken; Sharp oranına göre ise diğer portföy gruplarından daha iyi bir risk-getiri bileşimi sunmuştur. Diğer bir önemli sonuç da NİS yaklaşımı ile seçilen portföylerin piyasa üzerinde getiri sağlama nedeninin, firma küçüklüğünden bağımsız olabileceğidir.

References

  • Akgüç, Ö. (1998). Finansal Yönetim. Yenilenmiş 7. Baskı. İstanbul: Avcıol Basım Yayım.
  • Arnold, G. (2018). Büyük Yatırımcılar. İstanbul: Türkiye İş Bankası Yayınları.
  • Balik, R. ve Mehran, J. (2008). Benjamin Graham revisited. Erişim Tarihi:12 Ağustos 2020, https://academyfinancial.org/resources/Documents/Proceedings/2009/5D-Balik-Mehran.pdf
  • Bildersee, J. B., Cheh, J. J. ve Zutshi, A. (1993). The Performance of Japanese Common Stocks in Relation to Their Net Current Asset Values. Japan and the World Economy, 5: 197-215.
  • Brealey Ricard A., Stewart C. M. ve Frannklin, A. (2008). Principles of Corporate Finance. New York: McGraw-Hill İnternational Edition, Ninth Edition.
  • Chang D. (2011). Testing Some of Benjamin Graham’s Stock Selection Criteria: A Case of the FTSE Bursa Malaysia EMAS Index from Year 2000 to 2009. Jurnal Manajemen Dan Kewirausahaan, Vol.13, No.2, 99-106.
  • Chongsoo A., John J. C. ve II-Woon K. (2015). Testing Benjamin Graham’s Net Current Asset Value Model. Journal of Economic & Financial Studies, 03(01), 63-73.
  • Debondt, W. ve Thaler, R. (1985). Does the Stock Market Overreact? Journal of Finance, 40(3), 793–808. Cibulskienė, D. ve Brazauskas M. (2014). Testing of Asset and Profit Strategy Through Investment Portfolio Formation in Baltic States stock exchange. Wroclaw Economic Review, 20/3, 9-22.
  • Downey, L. (2020). Efficient Market Hypothesis (EMH). Investopedia, Erişim Tarihi: 14 Ağustos 2020, https://www.investopedia.com/terms/e/efficientmarkethypothesis.asp
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 383-417.
  • Graham, B. ve Dodd, D. (1934). Security Analysis. New York: McGraw-Hill.
  • Graham, B. (1976). A Conversation with Benjamin Graham. Financial Analyst Journal September/October.
  • Graham, B. ve Chatman, S. (1996). Benjamin Graham: The Memoirs of the Dean of Wall Street, New York, the McGraw-Hill companies.
  • Graham, B. (2003). The Intelligent Investor. New York: HarperCollins World.
  • Guidi F., Gupta R. ve Suneel M. (2011). Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets. Journal of Emerging Market Finance, 10(3) 337–389.
  • Klerck, W. G. ve Maritz, A. C. (1997). A Test of Graham’s Stock Selection Criteria on Industrial Shares Traded on JSE. Investment Analysts Journal, 45, 25-33.
  • Lauterbach, B. ve Vu J.D. (1993). Ben Graham's Net Current Asset Value Rule Revisited: The Size-Adjusted Returns. Quarterly Journal of Business and Economics, 32(1), 82-108.
  • Oppenheimer, H. R. ve Schlarbaum, G. G. (1981). Investing with Ben Graham: An Ex Ante Test of the Efficient Markets Hypothesis, The Journal of Financial and Quantitative Analysis, 16(3), 341–360.
  • Oppenheimer, H.R. (1984). A Test of Ben Graham's Stock Selection Criteria. Financial Analysts Journal, 40(5): 68-74.
  • Oppenheimer, H. R. (1986). Ben Graham's Net Current Asset Values: A Performance Update, Financial Analysts Journal: 40-47.
  • Rachmattullah M.F. ve Faturohman T. (2016). The implementation of Benjamin Graham Criteria, A Case in Indonesia Market, Journal of Business and Management, Vol.5, No.6, 2016: 773-782.
  • Schilling G. (1996). Working Capital’s Role in Maintining Corporate Liqudity. Treasury Management Association (TMA) Journal, 16, 5, 4-7.
  • Schwert G.W.(2002). Anomalies and Market Efficiency. NBER Working Paper Series, Working Paper 9277, Erişim Tarihi: 14 Ağustos 2020, http://www.nber.org/papers/w9277
  • Saraç, M.(2010). Finansal Yönetim. İstanbul Üniversitesi Açık ve Uzaktan Eğitim Fakültesi AUZEF Ders Notları.
  • Singh J. ve Kaur K. (2014). Testing Ben Graham’s Stock Selection Criteria in Indian Stock Market. Management and Labour Studies, 39, 1: 43–62.
  • Sümer E. ve Aybar Ş. (2016). Etkin Piyasalar Hipotezinin Finansal Piyasaları Açıklamadaki Yetersizliği ve Davranışsal Finans, Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (ERZSOSDER) IX– II: 75-84.
  • Terzi N. (2016). An Assessment on Graham’s Approach for Stock Selection: The Case of Turkey. International Journal of Financial Research, Vol. 7, No. 1; 50-56.
  • Xiao Y. ve Arnold G. (2007). Testing Benjamin Graham’s Net Current Asset Value Strategy in London. Salford Business School Working Paper Series, Paper no. 109/07. Erişim Tarihi: 12 Ağustos 2020, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=966188
  • Zakaria N. ve Hashim F. (2017). Emerging Markets: Evaluating Graham’s Stock Selection Criteria on Portfolio Return in Saudi Arabia Stock Market. International Journal of Economics and Financial Issues, 7(2), 453-459.
There are 29 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Mehmet Emin Yıldız 0000-0002-7198-7637

Naci Yılmaz 0000-0003-0107-6448

Publication Date October 1, 2020
Submission Date August 24, 2020
Published in Issue Year 2020

Cite

APA Yıldız, M. E., & Yılmaz, N. (2020). Net İşletme Sermayesi Yaklaşımı İle Oluşturulan Portföylerin Performanslarının Karşılaştırılması: Borsa İstanbul Örneği. Maliye Ve Finans Yazıları(114), 241-262. https://doi.org/10.33203/mfy.784933

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.