International Finance
http://hdl.handle.net/10679/314
2024-03-29T02:02:04ZGlobal trends in liquidity creation: The role of the off-balance sheet
http://hdl.handle.net/10679/9272
Global trends in liquidity creation: The role of the off-balance sheet
Akın, Özlem; Özsoy, Satı Mehmet
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 to the 2008-2009 financial crisis. In this chapter, we analyze the dynamics of liquidity creation in Turkey and the United States, and the contribution of off-balance sheet activities therein.
2019-03-28T00:00:00ZBig data–enabled sign prediction for Borsa Istanbul intraday equity prices
http://hdl.handle.net/10679/9230
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
Kılıç, A.; Güloğlu, B.; Yalçın, Atakan; Üstündağ, A.
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 2018 data for the entire year. Success levels for each method are reported for 26 liquid stocks in terms of macro-averaged F-measures. For the 5-min lagged data, nine equities are found to be statistically predictable. For lagged data over longer periods, equities remain predictable, decreasing gradually to zero as the markets absorb the data over time. Furthermore, economic gains for the nine equities are analyzed with algorithms where short selling is allowed or not allowed depending on these predictions. Four equities are found to yield more economic gains via machine learning–supported trading strategies than the equities' own price performances. Under the “efficient market hypothesis,” the results imply a lack of “semistrong-form efficiency.”
2023-12-01T00:00:00ZPrice of regulations: Regulatory costs and the cross-section of stock returns
http://hdl.handle.net/10679/9223
Price of regulations: Regulatory costs and the cross-section of stock returns
Ince, B.; Özsöylev, Han Nazmi
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the importance of fixed regulatory costs in a firm's cost structure. Regulatory operating leverage predicts stock returns in the cross-section, and a zero-cost high-low regulatory operating leverage strategy generates positive and significant risk-adjusted return. Finally, the impact of regulatory operating leverage on returns is due to the (systematic) risk contribution of fixed regulatory costs.
2024-01-01T00:00:00ZProduct market competition and the value of diversification
http://hdl.handle.net/10679/8930
Product market competition and the value of diversification
Şahin, Cansu İskenderoğlu
I examine how industry concentration affects the value of diversification. I find that con- glomerates that operate mainly in concentrated industries (concentrated conglomerates) have higher diversification values. Using tariff reductions as competitive shocks, I show that concentrated conglomerates experience significant decline in their valuations and respond aggressively to threats in less-competitive industries.
2023-12-01T00:00:00Z