Browsing International Finance by Title
Now showing items 4-23 of 36
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Anticipating the financial crisis: evidence from insider trading in banks
(Oxford University Press, 2020-04)Banking crises are recurrent phenomena, often induced by excessive bank risk-taking, which may be due to behavioural reasons (over-optimistic banks neglecting risks) and to conflicts of interest between bank shareholders/managers ... -
An approximation of stochastic hyperbolic equations: case with Wiener process
(Wiley, 2013-06)In the present paper, the two-step difference scheme for the Cauchy problem for the stochastic hyperbolic equation is presented. The convergence estimate for the solution of the difference scheme is established. In ... -
An approximation of stochastic telegraph equations
(AIP Publishing, 2012)In the present paper the two-step difference scheme for the telegraph equation is presented. The convergence estimate for the solution of the difference scheme is established. In applications, the convergence estimates for ... -
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
(Elsevier, 2023-12)This paper employs a big data source, the Borsa Istanbul's “data analytics” information, to predict 5-min up, down, and steady signs drawn from closing price changes. Seven machine learning algorithms are compared with ... -
The case against active pension funds: evidence from the Turkish private pension system
(Elsevier, 2015-06)Using data on private Turkish pension funds we show that most active managers are not able to provide performance beyond what could be achieved by passive indexing. The average fund beats its benchmark by only 26 basis ... -
CEO overconfidence, reit investment activity and performance
(Wiley, 2015)This is the first article to study the effects of overconfidence on trading activity and performance in real estate. The article looks at Real Estate Investment Trusts (REITs), as their investments and divestments can be ... -
A concave security market line
(Elsevier, 2019-09)We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels ... -
Construction, real estate mortgage market development and economic growth in Turkey
(2016)In line with the "economic sectors" definition of the Turkish Statistical Institute (2013), it is possible to define the overall real estate (RE) sectors in terms of two main components, the construction industry and other ... -
Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
(Springer, 2020-11)This paper investigates whether corporate diversification by property type and by geography reduces the costs of debt capital. It employs asset-level information on the portfolios of U.S. REITs to measure diversification ... -
Development and calibration of a currency trading strategy using global optimization
(Springer Science+Business Media, 2013-06)We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ... -
Do mutual funds herd in industries?
(Elsevier, 2015-03)This study examines whether mutual funds herd in industries and the extent to which such herding impacts industry valuations. Using two herding measures proposed by Lakonishok et al. (1992) and Sias (2004) we document that ... -
The economic effects of owner distance and local property management in US office markets
(Oxford Publishing, 2016-07-04)This paper is one of the first empirical studies to investigate the role of owner proximity or distance on the performance of commercial real estate and it is the first to analyze the economic benefits of property management ... -
The effects of foreign acquisitions on the value of industry peers
(Cambridge University Press, 2023-03)This paper studies how industry peers' stock prices respond when another firm in the industry is acquired by a foreign firm. The average stock price reactions of industry peers in horizontal foreign acquisitions around ... -
An explainable credit scoring framework: A use case of addressing challenges in applied machine learning
(IEEE, 2022)While Machine Learning (ML) classification algorithms can accurately classify a borrower's credit risk, the determinants of the credit score cannot be interpreted clearly by customers, decision makers and auditors. The ... -
Foreign acquisition and credit risk: Evidence from the U.S. CDS market
(Cambridge University Press, 2023-06-17)This article empirically analyzes the effect of foreign block acquisitions on U.S. target firms' credit risk as measured by their credit default swap (CDS) spreads. Foreign block purchases lead to a greater increase in the ... -
Gender-specific preferences in global performance management - an empirical study of male and female leaders in a multinational context
(Wiley, 2015-01)This study investigates gender-specific preferences in one important human resource management (HRM) practice—namely, global performance management (GPM). GPM has major consequences for the career advancement of women and ... -
Global trends in liquidity creation: The role of the off-balance sheet
(Peter Lang AG, 2019-03-28)Banks create liquidity by transforming liquid liabilities into illiquid assets and this is one of their main functions. Yet excessive liquidity creation, especially via off-balance sheet activities, might have contributed ... -
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 ... -
Managerial discretion and efficiency of internal capital markets
(Elsevier, 2021-10)I use the staggered adoption of state-level antitakeover laws to provide causal evidence that managerial agency problems reduce the allocative efficiency of conglomerate firms. I find that increases in control slack following ... -
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 ...
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