Tan, Ömer Faruk

Profile URL
https://hdl.handle.net/20.500.11779/2821
Name Variants
Job Title
Email Address
tano@mef.edu.tr
Main Affiliation
04. Faculty of Economics, Administrative and Social Sciences
Status
Former Staff
Website
ORCID ID
0000-0002-8875-4696
Scopus Author ID
Turkish CoHE Profile ID
Google Scholar ID
WoS Researcher ID
A-4813-2018

Research Topics

Domains
Social Sciences
Fields
Economics, Econometrics and FinanceBusiness, Management and Accounting
Subfields
FinanceEconomics and EconometricsAccounting
Specific Research Areas
Financial Markets and Investment Strategies
Market Dynamics and Volatility
Corporate Finance and Governance
Islamic Finance and Banking Studies
Working Capital and Financial Performance

Sustainable Development Goals

SDG data is not available
This researcher does not have a Scopus ID.
Documents

10

Citations

37

Go to WoS profile

Publication Collaboration

Affiliation Name Count
Marmara University 38
Ardahan University 7
MEF University 6
Boğaziçi University 5
Borsa Istanbul (Turkey) 4
1 / 2
Data obtained from OpenAlex
Scholarly Output

3

Articles

2

Views / Downloads

388/88

Supervised MSc Theses

0

Supervised PhD Theses

0

WoS Citation Count

6

Scopus Citation Count

12

Patents

0

Projects

0

WoS Citations per Publication

2.00

Scopus Citations per Publication

4.00

Open Access Source

2

Supervised Theses

0

JournalCount
Financial Innovation1
International conference on Business and Economics (ICBE2016)1
Journal Of Asian Finance Economics And Business1
Current Page: 1 / 1

Scopus Quartile Distribution

Competency Cloud

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Filters

2015 - 201922020 - 20221

Settings

Author of Publication: search.filters.isAuthorOfPublication.522da3cd-dd14-4e38-9608-5bf5034982de

Scholarly Output Search Results

Now showing 1 - 3 of 3
  • Article
    Citation - WoS: 1
    Performance of Taiwanese Domestic Equity Funds During Quantitative Easing
    (Korea Distribution Science Assoc, 2015) Tan, Ömer Faruk
    This study is the first to analyze performance of Taiwanese domestic equity funds between January 2009 and October 2014, the period during which quantitative redirected capital flows toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately 12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds' performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen's alpha method (1968). To test market timing proficiency, we applied the Treynor and Mazuy (1966) and Henriksson and Merton (1981) regression analysis methods. Jensen's alpha method (1968) was used to measure fund managers' stock selection skills. Results revealed that funds significantly under-performed Taiwan's average annual market return and demonstrated no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.
  • Article
    Citation - WoS: 5
    Citation - Scopus: 12
    Predicting Cash Holdings Using Supervised Machine Learning Algorithms
    (Springer, 2022-05-18) Özlem, Şirin; Tan, Ömer Faruk
    This study predicts the cash holdings policy of Turkish firms, given the 20 selected features with machine learning algorithm methods. 211 listed firms in the Borsa Istanbul are analyzed over the period between 2006 and 2019. Multiple linear regression (MLR), k-nearest neighbors (KNN), support vector regression (SVR), decision trees (DT), extreme gradient boosting algorithm (XGBoost) and multi-layer neural networks (MLNN) are used for prediction. Results reveal that MLR, KNN, and SVR provide high root mean square error (RMSE) and low R2 values. Meanwhile, more complex algorithms, such as DT and especially XGBoost, derive higher accuracy with a 0.73 R2 value. Therefore, using advanced machine learning algorithms, we may predict cash holdings considerably.
  • Conference Object
    Performance of Taiwanese Domestic Equity Funds During Quantitative Easing (conferenceobject)
    (KODISA, 2016) Tan, Ömer Faruk
    This study is the first analysis on the performance of Taiwanese domestic equity funds during the period of January, 2009 and October, 2014. For the period, quantitative redirected capital flowed toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds' performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen's alpha method (1968). In testing market timing proficiency, we applied Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods. Jensen's alpha method (1968) was used to measure fund managers stock selection skills. The results of this study show that funds under-performed Taiwan's average annual market return significantly and demonstrates no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.