Browsing by Author "Baronyan, S."

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Placeholder
    ArticlePublicationMetadata only
    Investigation of stochastic pairs trading strategies under different volatility regimes
    (Blackwell, 2010-09) Baronyan, S.; Boduroğlu, İ. İ.; Şener, Emrah; Business Administration; ŞENER, Emrah
    We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use 14 distinct market-neutral trading strategies, using the combination of seven trading methods and two selection methods of pairs trading
  • Placeholder
    ArticlePublicationMetadata only
    Predictability of emerging market local currency bond risk premia
    (Taylor & Francis, 2015) Akgiray, V.; Baronyan, S.; Şener, Emrah; Yıldız, Osman; Business Administration; ŞENER, Emrah; Yıldız, Osman
    This article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong predictable variation in EM local currency excess bond returns that is associated with macroeconomic activity. We provide evidence that the main predictor variables are the factors based on real economic activity that are highly correlated with measures of industrial and manufacturing production; however, factors based on global financial factors also contain information about the future local currency bond returns. The predictive power of the extracted factors is both statistically significant and economically important. Our research has important implications for policymakers and pension fund managers.