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    Determining the factors of bank performance with a focus on risk and technical efficiency
    (World Scientific And Engineering Acad And Soc, 2008) Ozdincer, Begumhan; Ozyildirim, Cenktan
    Unlike in the non-financial sector, the measurement of bank performance has to incorporate the multi task nature of banking and reflect the requirements of various stakeholders besides shareholders such as the regulators and the depositors who are equally important. To incorporate these features we measure a bank's technical efficiency, and various types of risk exposure and examine the impact of these measures on market to book values. We use panel regression to analyze the relationship of bank criteria with market to book values and our results show technical efficiency is priced in the market as well as the risk measures such as short-term repricing gap, adjusted return on solvency as well as the adjusted income cost ratio. We also find the takeovers to have a positive impact on market to book value.
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    How do the risk taking behaviors of banks impact their profitability: An analysis of risk efficiency of Turkish banks
    (World Scientific And Engineering Acad And Soc, 2008) Ozyildirim, Cenktan; Ozdincer, Begumhan
    One of the major determinants of bank performance is risk. In this study we combine the risk taking behavior and efficiency literature, by employing risk measures to assess performance with efficiency frontier models. Our empirical analysis extends the existing literature by examining the risk behavior of banks in different dimensions covering major risk measures such as capital adequacy ratio, short term repricing gap, and deposits ratio. The output variable for measuring performance is net profits adjusted for the cost of free capital. Our findings show that capital adequacy ratio negatively impacts adjusted profit performance. Overall, large banks and publicly held banks are more risk efficient compared to their counterparts.
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    Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures
    (Oxford Univ Press, 2015) Erdogan, Oral; Bennett, Paul; Ozyildirim, Cenktan
    This article extends the benchmark Estrella and Hardouvelis term spread approach to recession forecasting by including the stock market macro liquidity deviation factor. We use a probit framework to predict recessions, as defined by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity deviation significantly improves our ability to predict the onset of a US recession, based both on in-sample and out-of-sample tests. In addition, changes in stock market depth further increase the accuracy of the model. We suggest that economic forecasters and those charged with conducting economic stabilization policy more generally would benefit from monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another.
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    The Strategic Implications of Asset and Liability Allocation in the Turkish Banking Industry
    (Routledge Journals, Taylor & Francis Ltd, 2011) Ozyildirim, Cenktan; Ozdincer, Begumhan
    This study aims to analyze whether banks' deviation from the mainstream in terms of asset and liability allocation enables them to perform better than their competition. Overall, deviation in the liability structure seems to have a significant impact on performance. In a second regression, the results obtained from the analysis of liability allocation are further examined by focusing on the effects of the deposit base on bank performance. Our analysis brings out the significance of liability allocation and of the effect of deposit strategies as a primary source of funding. The major difference of this study from the existing literature is that we focus primarily on both asset and liability allocation strategies of banks, and we further analyze the components of the liability structure to evaluate the impact of liability deviation on the banking strategy.