Browsing International Finance by Title
Now showing items 15-23 of 23
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Macroeconomic risk and hedge fund returns
(Elsevier, 2014-10)This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a ... -
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
(Kaunas University of Technology, 2019)Pricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in ... -
Modeling heterogeneity in the satisfaction, loyalty intention and shareholder value linkage: a cross industry analysis at the customer and firm level
(American Marketing Association, 2016-02)This study examines the relationship between customer satisfaction, loyalty intention and shareholder value at the firm and individual customer level. The authors also explore industry differences by using a multilevel and ... -
Political connections and informed trading: Evidence from TARP
(Wiley, 2019)We study insider trading behavior surrounding the largest bank bailout in history: Troubled Asset Relief Program (TARP). In politically connected banks, insider buying during the pre-TARP period is associated with increases ... -
The real estate and credit bubble: evidence from Spain
(Springer Science+Business Media, 2014-08)We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, ... -
Securitization and economic activity: The credit composition channel
(Elsevier, 2017-02)Using an international panel of 104 countries over the period 1995–2012, we analyze the relationship between country-level securitization and economic activity. Our findings suggest that securitization is negatively related ... -
Should cross-border banking benefit from the financial safety net?
(Elsevier, 2016)Using bank-level data from 84 countries, we find that a higher degree of bank internationalization is associated with higher interest expenses. Internationalization is proxied by a bank's share of foreign liabilities in ... -
Systematic risk and the cross section of hedge fund returns
(Elsevier, 2012-10)This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ... -
Turn-of-the-month effect: New evidence from an emerging stock market
(Elsevier, 2016-08)This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, ...
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