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www.APB.hr : prof. Gultekin (Wharton) on Risk premium

Biography

The Wharton School
Associate Professor of Finance

Education

PhD, University of Pennsylvania, 1976; AM, University of Pennsylvania, 1975; MA, Bogazici University, 1974; BSc, Robert College, 1969

Recent Consulting

Senior privatization adviser to several governments and organizations on issues of privatization and economic reform. Governments include Ukraine, Kazakhstan, Uzbekistan, Poland, Indonesia, Turkemenistan, and Turkey; organizations range from The World Bank and European Bank to the United Nations Development Program to the United States Agency for International Development as well as major international corporations

Career and Recent Professional Awards; Teaching Awards

WEMBA Program Teaching Award, 2003

Academic Positions Held

Wharton: 1981present (Director, Emerging Economies Program, 199293; CoDirector, Weiss Center for International Financial Research, Wharton, 199093). Previous appointment: Dartmouth College. Visiting appointments: University of Chicago; Koc University, Istanbul, Turkey

Other Positions

Governor, Central Bank of the Republic of Turkey, 1993; Chief Adviser, to the Ministry of Privatization, Poland, 199091, to the Prime Minister of Turkey, 198789, 1991; President, Housing Development and Public Participation Administration, Turkey, 198789; Director General for Research, Central Bank of the Republic of Turkey, 198687

Corporate and Public Sector Leadership 20052009

Trustee, Koc University Istanbul, Turkey, 1991present; Chairman of the Board of Directors, Sumerbank, Turkey; Trustee, American University in Bulgaria, 1995present; Foundation for Privatization and Ownership Changes, Poland, 1990present

Bulent Gultekin and A. Penati (1989), Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets, Journal of Finance, (September 1989).

Abstract: The paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing models, we show that the price of risk in the U.S. and Japanese stock markets was different before, but not after, the liberalization. This evidence supports the view that governments are the source of international capital market segmentation.

Bulent Gultekin and R.J. Rogalski (1985), Government Bond Returns, Measurement of Interest Rate Risk and the Arbitrage Pricing Theory." Journal of Finance (March 1985), Journal of Finance, (March 1985).

Abstract: Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 19601979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent with the APT. Our sample data in the U.S. Treasury securities market are also not consistent with either version of the CAPM. Onemonthahead forecasts of excess returns using factorgenerating models are compared with corresponding naive predictions or predictions using the "market model" with various market portfolios.

Bulent Gultekin (1984), A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory, Journal of Finance, (June 1984).

Abstract: This paper demonstrates that the Roll and Ross (RR) and other previously published tests of the APT are subject to several basic limitations. There is a general nonequivalence of factor analyzing small groups of securities and factor analyzing a group of securities sufficiently large for the APT model to hold. It is found that as one increases the number of securities, the number of "factors" determined increases. This increase in the number of "factors" with larger groups of securities cannot readily be explained by a distinction between "priced" and "nonpriced" risk factors as it is impermissible to carry out tests on whether a given "risk factor is priced" using factor analytic procedures

Past Courses

FNCE203 ADVANCED CORP FINANCE

The objective of this course is to study the major decisionmaking areas of managerial finance and some selected topics in financial theory. The course reviews the theory and empirical evidence related to the investment and financing policies of the firm and attempts to develop decisionmaking ability in these areas. This course serves as an extension of FNCE 100 (FNCE 611). Some are as of financial management not covered in FNCE 100 are covered in FNCE 203. These may include leasing, mergers and acquisitions, corporate reorganizations, financial planning and working capital management, and some other selected topics. Other areas that are covered in FNCE 100 are covered more in depth and more rigorously in FNCE 203. These include investment decision making under uncertainty, cost of capital, capital structure, pricing of selected financial instruments and corporate liabilities, and dividend policy. During the Spring semester, Professor Opp does not allow students to take this course pass/fail.

FNCE397 FNCE IN MID EAST & N AFR

This is a Wharton Global Modular Course on finance in the Middle East and North Africa. Its objective is to bring students, academics and industry experts together to study financial markets, practice, and institutions in this region.

FNCE399 INDEPENDENT STUDY

Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.

FNCE720 INVESTMENT MANAGEMENT

This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., indexfund) and active (e.g., hedgefund, longshort) strategies, mutual funds, perfermance evaluation, longhorizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

FNCE726 ADVANCED CORP FINANCE

The objective of this course is to study the major decisionmaking areas of managerial finance and some selected topics in financial theory. The course reviews the theory and empirical evidence related to the investment and financing policies of the firm and attempts to develop decisionmaking ability in these areas. This course serves as an extension of FNCE 611. Some areas of financial management not covered in FNCE 611 are covered in FNCE 726. These may include leasing, mergers and acquisitions, corporate reorganizations, financial planning, and working capital management, and some other selected topics. Other areas that are covered in FNCE 611 are covered more in depth and more rigorously in FNCE 726. These include investment decision making under uncertainty, cost of capital, capital structure, pricing of selected financial instruments and corporate liabilities, and dividend policy.

FNCE895 ADVANCED SEMINAR

This course will be a survey of the private equity asset class. Its objective is to provide an understanding of the concepts, agents, and institutions involved in the late stage corporate private equity market in the U.S. and around the globe. It will examine the buyout market and the activities of buyout funds from the differing perspectives of private equity investors, private equity fund sponsors, and managers of the portfolio companies. The course will be taught almost entirely with cases. Distinguished Wharton alumni in the private equity industry will be our guest speakers for many of the cases based on transactions they concluded. While this course is primarily intended for graduate students, admission may be granted to a limited number of interested undergraduate students. PLEASE NOTE: this course may be recorded for live or subsequent distribution, display, broadcast, or commercialization in any media, including video, audio, or electronic media. For additional information, see the course syllabus or contact the department.

FNCE897 FNCE IN MID EAST & N AFR

This is a Wharton Global Modular Course on finance in the Middle East and North Africa. Its objective is to bring students, academics and industry experts together to study financial markets, practice, and institutions in this region.

FNCE899 INDEPENDENT STUDY

Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. At a minimum, we need a description of the methodology you intend to employ, a bibliography and description of the data that you will use as well as a list of interim deliverables and dates to ensure that you complete the project within the semester. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. You must submit your Finance ISP request using the Finance Department's ISP form located at https://fnce.wharton.upenn.edu under the Course ISP section

Knowledge @ Wharton

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  • What a Robust Dollar Means for U.S. Business — and the Global Economy, Knowledge @ Wharton 04/15/2015
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  • The Middle East in 2015: Falling Oil Prices and Terrorism Cast Doubt, Knowledge @ Wharton 01/23/2015
  • Can the U.S. Afford Another War in Iraq?, Knowledge @ Wharton 08/13/2014
  • With Austerity Under Fire, Countries Seek a More Balanced Solution, Knowledge @ Wharton 05/22/2013
  • In Wharton Innovation Competition, Seeking Solutions for Middle Eastern Challenges, Knowledge @ Wharton 05/14/2013
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  • Expect Marginal Improvement in the M&A Market, Knowledge @ Wharton 03/07/2012
  • Remembering Private Equity Pioneer Ted Forstmann, Knowledge @ Wharton 11/22/2011
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  • Pointing Fingers: Can Europe and the U.S. Work Together to Solve the Financial Crisis?, Knowledge @ Wharton 10/12/2011
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  • Time for Transparency: What Will It Take to Improve Corporate Governance in the Middle East?, Knowledge @ Wharton 03/11/2009
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  • The Long and Winding Road to Privatization in China, Knowledge @ Wharton 05/10/2006
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