Browsing International Finance by Title

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Trading ambiguity: A tale of two heterogeneities

Mukerji, S.; Özsöylev, Han Nazmi; Tallon, J. M. (Wiley, 2023)

We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade ...
Turn-of-the-month effect: New evidence from an emerging stock market

Kayaçetin, Volkan; Lekpek, Senad (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, ...