Yazar "Barak, Ahmet Yasir" seçeneğine göre listele

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    A bibliometric analysis of idiosyncratic volatility literature in emerging markets
    (Adana Alparslan Türkeş Bilim ve Teknoloji Üniversitesi, 2022) Barak, Ahmet Yasir; Doruk, Ömer Tuğsal
    Kendine özgü volatilite firma ve sektör değişkenlerinden kaynaklanan sistematik volatiliteden bağımsız bir volatilite bileşenidir. Bibliyometrik analiz, belirli bir konuda daha önce yapılmış çalışmaları istatistiksel yöntemlerle analiz ederek araştırma ögelerinin performanslarını ve bu çalışmaların birbiriyle olan ilişkisini gösterir. Tez çalışmasının amacı yükselen piyasalarda kendine özgü volatilite literatürünün bibliyometrik analizini yaparak bu literatürün güncel durumunu ortaya koymaktır. Bu tez çalışmasında 1 Ocak 2006- 25 Temmuz 2022 tarihleri arasında yükselen piyasalardaki kendine özgü volatilite üzerine yapılmış olan 106 çalışma için bibliyometrik analiz yapılmıştır. Bibliyografik veri Web of Science veri tabanından elde edilmiş olup bibliyometrik analiz ve görselleştirme VOSviewer programından faydalanılarak yapılmıştır. Bibliyometrik analiz yöntemlerinden performans analizi, atıf analizi, ortak-atıf analizi, bibliyografik eşleşme, ortak kelime analizi ve ortak yazar analizi uygulanmıştır. Yapılan bibliyometrik analiz ile yükselen piyasalarda kendine özgü volatilite literatürünün temel istatistikleri, çalışmalar arasındaki ilişkileri gösteren bağlantı ve kümeler bulunmuştur. Gelecek çalışmalar için rehber niteliği taşıyacak başlangıç ipuçları verilmiş, literatürdeki potansiyel boşluklara dikkat çekilmiştir.
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    Corporate social responsibility and idiosyncratic volatility: a dynamic approach with environmental, social and governance considerations
    (Emerald Group Publishing Ltd, 2026) Pirgaip, Burak; Doruk, Omer Tugsal; Ertugrul, Hasan Murat; Barak, Ahmet Yasir
    PurposeThis study aims to examine the dynamic relationship between corporate social responsibility (CSR), environmental, social and governance (ESG) performance and environment-based executive compensation (EBEP) and firm-specific risk, by providing an integrated analysis of all three sustainability dimensions and their differentiated temporal effects on idiosyncratic volatility (IVOL).Design/methodology/approachThe analysis uses a dataset of S&P 500 nonfinancial firms covering the period from 1983 to 2024. To capture the short- and long-term dynamics between sustainability-related variables and IVOL, the study uses the local projections (LP) method, which allows flexible estimation of impulse response functions without imposing dynamic restrictions. Our empirical setting also accounts for endogeneity by incorporating the Generalized Method of Moments (GMM) analysis into the LP framework.FindingsThe results show that CSR engagement reduces IVOL, especially in the medium term. ESG helps reduce risk as these practices become institutionalized. EBEP triggers short-term volatility, but it ultimately leads to persistent risk reduction. Robustness tests confirm these dynamics. Notably, the interaction between EBEP and CSR leads to a pronounced and persistent reduction in IVOL.Originality/valueThis study addresses a gap in the literature by uncovering the differentiated and time-varying effects of sustainability strategies on firm-specific risk, an underexplored area. It also introduces EBEP as a novel governance mechanism and demonstrates its synergistic effect with CSR in sustaining long-term risk reduction. Methodologically, the use of LP, along with a GMM-based analysis, provides a flexible and forward-looking estimation of risk trajectories and a valuable guidance to balance sustainability with risk management.
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    Idiosyncratic risk and international trade: New evidence
    (Academic Press Inc Elsevier Science, 2025) Sezgin, Volkan; Doruk, Omer Tugsal; Barak, Ahmet Yasir; Ertugrul, Hasan Murat
    In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.
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    Öğe
    The impact of patent activity on idiosyncratic volatility in US pharmaceutical companies
    (Public Library Science, 2025) Atilgan, Emre; Turkmen Ceylan, Fethiye Burcu; Doruk, Omer Tugsal; Ertugrul, Hasan Murat; Barak, Ahmet Yasir
    This study examines the impact of patent activity on the idiosyncratic volatility (IVOL) of U.S. pharmaceutical companies, addressing a critical gap in the literature on the relationship between innovation and firm-specific risk. Using panel data from Thomson Reuters/Refinitiv covering 2,910 firms over 2005-2024, we employ the Fama-French 5-factor model to isolate firm-specific volatility and analyze how patent events and pharmaceutical development activities affect stock price risk. Our findings reveal a complex relationship between innovation and volatility that varies by development stage. While patent activity overall reduces idiosyncratic volatility, early and mid-stage development projects (Phase I and II) initially increase firm-specific risk, reflecting inherent uncertainties in drug development. Conversely, newly launched products significantly reduce volatility, indicating that risk mitigation occurs primarily at commercialization. These relationships remain robust during crisis periods, including the 2008-09 financial crisis and COVID-19 pandemic. The results provide valuable insights for investors seeking to assess pharmaceutical investment risks, managers optimizing innovation portfolios, and policymakers designing intellectual property frameworks. The study's focus on the U.S. market and reliance on patent counts rather than quality measures suggest important avenues for future research across different regulatory environments and innovation metrics.