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Title: Asset pricing models in financial crises, family ownership and privatisation : evidence from Turkey
Author: Duong, Hoa Thanh
ISNI:       0000 0004 5346 7106
Awarding Body: SOAS, University of London
Current Institution: SOAS, University of London
Date of Award: 2014
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This thesis studies asset pricing from three different angles. Firstly, it reveals that there is a possibility that economic shocks could damage asset pricing model performance, taking the recent 2007/2008 financial crisis and a number of recent asset pricing models as examples. Although there has been research suggesting the potential impacts of 'bad' and 'good' economic conditions on stock performance and forecasting power of economic models, this possibility remains an undiscussed idea. This is perhaps due to a range of methodological obstacles in testing the link. The thesis, therefore, proposes a new approach to overcome the issues and finds that financial shocks indeed have impacts and need to be adjusted for when assessing performance of asset pricing models. Secondly, in search for potential risk exposure associated with family ownership in pricing assets in stock markets, an examination in Turkey, a family business country, shows that family firms are not necessarily riskier that non-family firms. Instead, such ownership characteristics are associated with the sensitivity of some other risk factors. We find that within firms with low growth prospects and/or small firms, family firms outperform non-family firms and as firms grow in size and market-to-book value, nonfamily firms appear to perform better. Also, liquidity ratio, firm age and current stock prices are also among those factors which can explain the return differentials between family and non-family firms. Thirdly, privatisation with involvement of family ownership does have positive impacts on firm performance and stock return in the longrun but has negative impacts on short-term investors. An investigation on a recent privatisation deal of Tupras, the largest refineries firm in Turkey, shows that unless shareholders' investment horizon is in line with the owner family, they would not benefit from the firm long-term investment projects and could even suffer from low dividends.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral