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Now showing items 11-16 of 16
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 ...
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 ...
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 ...
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 ...
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, ...
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 ...
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