International Finance
Permanent URI for this collectionhttps://hdl.handle.net/10679/314
Browse
Browsing by Rights "restrictedAccess"
Now showing 1 - 20 of 22
- Results Per Page
- Sort Options
ArticlePublication Metadata only Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework(IOS Press, 2020) Bayram, M.; Akat, Muzaffer; Bulkan, S.; International Finance; AKAT, MuzafferPairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically not possible. The implication of trading pairs, following statistical analysis, is to buy the underpriced asset while short selling the overpriced. The predicted price relationship is determined through analysis of historical spread data between the members of the corresponding pair. The investor expects the price difference, in an efficient market, should converge and stocks return to their ‘fair value’, where the positions are closed and profit is realized. The main focus of this study is the contribution of the fuzzy engine to the existing pairs trading strategy. Widespread classical ‘crisp’ technique is chosen, utilized and compared with the developed ‘fuzzy’ model throughout the paper. In order to further improve this contribution, the expert opinions extracted from the Bloomberg database are also integrated into the fuzzy decision-making process. In most studies, transaction costs are simply ignored. As a final robustness check, the transaction costs are also considered. The improvement reached by the developed fuzzy technique is observed to be even more remarkable in this case.ArticlePublication Metadata only Analysis of cross-country variations in the depth of European mortgage markets(Springer Science+Business Media, 2016-09) Kutlukaya, M.; Erol, Işıl; International Finance; EROL, IşılTo date, quantitative analysis on the depth of mortgage markets across a broad set of countries has been very limited. This paper uses a rich and balanced data set on 31 European countries to investigate the cross-country variations in the depth of mortgage markets during the period 2005–2012. The present paper might be accepted as the updated and enriched version of existing research for the European region in terms of the coverage of countries, historical data and the empirical analyses. Our empirical findings reveal that developed countries have sizeable residential mortgage markets and this is mainly associated with higher urbanization rates and stronger legal rights. One of the most notable results of this study is that, statistical significance of explanatory variables in modeling the depth of the mortgage markets depends heavily on both the variables, countries (regions) included in the models and the regression methodology used. Hence, we argue that strong conclusions based on such analyses should be avoided and the findings of previous research on the variations of the depth of mortgage markets should be carefully evaluated.ArticlePublication Metadata only Anticipating the financial crisis: evidence from insider trading in banks(Oxford University Press, 2020-04) Akın, Özlem; Marín, J. M.; Peydro, J. - L.; International Finance; PARLAYAN, Özlem AkınBanking 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 and debtholders/taxpayers (banks exploiting moral hazard). We test whether US banks' stock returns in the 2007-8 financial crisis are associated with bank insiders' sales of their own bank's shares in the period prior to 2006Q2 (the peak and reversal in real estate prices). We find that top-five executives' sales of shares predict bank performance during the crisis. Interestingly, effects are insignificant the sales of independent directors and other officers. Moreover, the top-five executives' impact is stronger for banks with higher exposure to the real estate bubble, where a one standard deviation increase of insider sales is associated with a 13.33 percentage point drop in stock returns during the crisis period. Finally, even though bankers in riskier banks sold more shares (furthering their own interests), they did not change their bank's policies, for example, by reducing bank-level exposure to real estate. The informational content of bank insider trading before the crisis suggests that insiders knew that their banks were taking excessive risks, which has important implications for theory, public policy and the understanding of crises, as well as a supervisory tool for early warning signals.ArticlePublication Metadata only An approximation of stochastic hyperbolic equations: case with Wiener process(Wiley, 2013-06) Ashyralyev, A.; Akat, Muzaffer; International Finance; AKAT, MuzafferIn 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 applications, the convergence estimates for the solution of difference schemes for the numerical solution of four problems for hyperbolic equations are obtained. The theoretical statements for the solution of this difference scheme are supported by the results of the numerical experiment.Conference ObjectPublication Metadata only An approximation of stochastic telegraph equations(AIP Publishing, 2012) Ashyralyev, A.; Akat, Muzaffer; International Finance; AKAT, MuzafferIn 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 the solution of difference scheme for the numerical solution of two problems for hyperbolic equations are obtained. The theoretical statements for the solution of this difference scheme are supported by the results of the numerical experiment.ArticlePublication Metadata only The case against active pension funds: evidence from the Turkish private pension system(Elsevier, 2015-06) Gökçen, U.; Yalçın, Atakan; International Finance; YALÇIN, AtakanUsing 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 points, before fees. We also observe herding behavior among managers' asset allocation decisions which can potentially explain their lack of overperformance. Our results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. We further recommend regulatory oversight on the “activeness” of funds and introduction of default plans with more balanced asset allocations.ArticlePublication Metadata only CEO overconfidence, reit investment activity and performance(Wiley, 2015) Eichholtz, P.; Yönder, Erkan; International Finance; YÖNDER, ErkanThis 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 identified with precision. We look at the effect of CEO overconfidence on investment activity and separately investigate property acquisitions and dispositions. We find that REITs with overconfident CEOs tend to invest more; these REITs acquire more assets and are less likely to sell assets than their counterparts if they have enough discretionary cash. Valuable private information is not the main driver for CEOs to be net buyers of company shares: the shares of their companies perform relatively weakly. In addition, we find that overconfident managers have lower property investment performance measured by net operating income and gain on sale of real estate.ArticlePublication Metadata only A concave security market line(Elsevier, 2019-09) De Giorgi, E. G.; Post, T.; Yalçın, Atakan; International Finance; YALÇIN, AtakanWe 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 generally hold different sets of risky securities. Whereas the traditional linear relation breaks down, equilibrium can be described or approximated by a concave relation between expected return and market beta, and a concave relationship between market alpha and market beta. An empirical analysis of U.S. stock market data confirms the existence of a significant concave cross-sectional relation between average return and estimated market beta. We estimate that the market risk premium is at least four to six percent per annum, substantially above traditional estimates. A practical implication for active portfolio managers is that the alpha of "betting against beta" strategies seems dominated by the medium-minushigh-beta spread rather than the low-minus-medium-beta spread. The success of such strategies thus largely depends on underweighting or short selling high-beta stocks.Book PartPublication Metadata only Construction, real estate mortgage market development and economic growth in Turkey(2016) Erol, Işıl; International Finance; Abdulai, R. T.; Obeng-Odoom, F.; Ochieng, E.; Maliene, V.; EROL, IşılIn 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 RE business activities.ArticlePublication Metadata only Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages(Springer, 2020-11) Demirci, İ.; Eichholtz, P.; Yönder, Erkan; International Finance; YÖNDER, ErkanThis 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 and looks at two of their main sources of debt capital: 1,173 commercial mortgages and 952 bank loans. The paper finds that diversification across different property types does indeed dependably reduce the cost of these different types of debt. The effect is about 7 basis points for bank loans if a firm’s property Herfindahl Index is lowered by one standard deviation and this effect gets stronger for REITs with worse financial health – as measured by the interest coverage ratio. The corresponding effect for commercial mortgages is around 22 basis points for collateral diversification by property type. After the crisis, the salience of the collateral asset increases. For diversification across regions, we do not find a consistent relationship between real asset diversification and loan pricing.ArticlePublication Metadata only Do mutual funds herd in industries?(Elsevier, 2015-03) Çeliker, Umut; Chowdhury, J.; Sonaer, G.; International Finance; ÇELİKER, UmutThis 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 mutual funds herd in industries. We show that industry herding is not driven by fund flows and that it is not a manifestation of individual stock herding. We also find evidence indicating that herding in industries by mutual funds is related to the industry momentum phenomenon first documented by Moskowitz and Grinblatt (1999), but it does not drive industry valuations away from their fundamentals.ArticlePublication Metadata only The economic effects of owner distance and local property management in US office markets(Oxford Publishing, 2016-07-04) Eichholtz, P.; Holtermans, R.; Yönder, Erkan; International Finance; YÖNDER, ErkanThis 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 in that regard. Using a large dataset of U.S. offices we analyze the relationship between investor distance to their assets and the effective rent of these assets, and study the extent to which property managers can influence this relation. We construct propensity score weighted hedonic rent models to control for other known rent determinants. It turns out that proximity matters: holding everything else constant, investors located closely to their office properties are able to extract significantly higher rents from these assets, especially if these buildings are of low quality. Interestingly, property managers can affect this relation, mitigating the adverse effects of investor distance on effective office rents. Especially if the property owner does not reside in the same state as the building, external property management is of importance, most prominently so for class-B office buildings.Conference ObjectPublication Metadata only An explainable credit scoring framework: A use case of addressing challenges in applied machine learning(IEEE, 2022) Güntay, Levent; Bozan, E.; Tigrak, U.; Durdu, T.; Ozkahya, G. E.; International Finance; GÜNTAY, LeventWhile 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 lack of transparency of black-box credit scoring mechanisms reduces the trust in the banking system and has serious implications for the financing and growth of businesses. Recent regulations in the European Union and the United States require that credit decision mechanism should by explainable and transparent. We present a framework for developing an explainable credit scoring model. Our scientific novelty is to follow a simple and parsimonious Surrogate approach for credit scoring. This approach estimates an explainable white-box model that effectively fits to the in-sample forecasts of the most accurate 'black-box' model. We implement the Surrogate credit risk framework using check transactions data provided by a Turkish bank. We find that the Surrogate tree's performance is sufficiently close to performance of the most accurate black-box XGBoost model. Overall, our findings show that it is possible to develop a high-performing explainable credit scoring model with a minimal decrease in model accuracy.ArticlePublication Metadata only Gender-specific preferences in global performance management - an empirical study of male and female leaders in a multinational context(Wiley, 2015-01) Festing, M.; Knappert, Lena; Kornau, A.; International Business and Trade; KNAPPERT, LenaThis 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 can therefore also represent a barrier if it is rooted in traditional male corporate cultures. As prior research suggests that the underrepresentation of women in top management positions is a worldwide phenomenon with only minor national variations, empirical data were collected in five countries belonging to various cultural clusters: China, France, Germany, South Africa, and the United States. For all countries, the results show that preferences vary significantly between male and female managers for crucial parts of the GPM system (actors’ roles, evaluation methods, feedback procedures, and GPM purposes). This study confirms that the preferences of female managers do not match more male-oriented GPM practices, indicating that female managers are less satisfied with existing GPM procedures. It was particularly surprising to find that these gender differences do not vary according to cultural background, but rather display the same pattern in all investigated countries. These findings not only have the potential to explain the often-limited career advancement of women, but also have major implications for multinational companies aiming to retain talented women.Book PartPublication Metadata only Global trends in liquidity creation: The role of the off-balance sheet(Peter Lang AG, 2019-03-28) Akın, Özlem; Özsoy, Satı Mehmet; Economics; International Finance; PARLAYAN, Özlem Akın; ÖZSOY, Satı MehmetBanks 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.ArticlePublication Metadata only Macroeconomic risk and hedge fund returns(Elsevier, 2014-10) Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur; Economics; ÇAĞLAYAN, Mustafa OnurThis 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 significant proportion of the cross-sectional dispersion in hedge fund returns. However, the same is not true for mutual funds, for which there is no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive relation between uncertainty betas and future hedge fund returns remains economically and statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns.ArticlePublication Metadata only Modeling heterogeneity in the satisfaction, loyalty intention and shareholder value linkage: a cross industry analysis at the customer and firm level(American Marketing Association, 2016-02) Larivière, B.; Keiningham, T. L.; Aksoy, L.; Yalçın, Atakan; Morgeson III, F. V.; Mithas, S.; International Finance; YALÇIN, AtakanThis study examines the relationship between customer satisfaction, loyalty intention and shareholder value at the firm and individual customer level. The authors also explore industry differences by using a multilevel and random-effects approach in which individual customer scores are nested within firm-level data and the estimated interrelationships are treated as random coefficients that are explained by industry characteristics. They compile a unique and detailed data set, which covers 10 years of information on 137 firms, and includes a matched sample of 189,069 customers from multiple sources such as the ACSI, CRSP and COMPUSTAT, to yield three important insights. First, aggregate firm level effects may overestimate the impact that satisfaction has at the individual customer level. Second, a consideration of loyalty intention or repurchase intention as the mediator can improve our understanding of the satisfaction- shareholder value relationship, and that the relationship can vary across firms. Finally, the influence of satisfaction and loyalty intentions on shareholder value varies by industry. Implications of findings for researchers, managers and investors are discussed.ArticlePublication Metadata only A prudential paradox: The signal in (not) restricting bank dividends(Wiley, 2022) Güntay, Levent; Jacewitz, S.; Pogach, J.; International Finance; GÜNTAY, LeventBy restricting dividends in the weakest banks, prudential regulators counterintuitively induce more capital payouts in marginal banks. The potential for bank runs exacerbates the incentive to signal strength through dividend payments. Regulatory restrictions on those payments can be used to achieve the first-best outcome, but only if the prevailing capital requirements are sufficiently high. In a crisis, the optimal dividend policy is more restrictive, since it allows the weak but solvent banks to pool with the strong. Finally, we show that the optimal release of regulatory bank information depends critically on the regulator's information and dividend restriction policies.ArticlePublication Metadata only Securitization and economic activity: The credit composition channel(Elsevier, 2017-02) Bertay, Ata Can; Gong, D.; Wagner, W.; International Finance; BERTAY, Ata CanUsing 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 to various proxies of economic activity – even prior to the crisis of 2007–2009. We explain this finding as the results of securitization spurring consumption at the expense of investment and capital formation. Consistent with this, we find that securitization of household loans is negatively associated with economic activity, whereas business securitization displays a weak positive association with it, and that household securitization increases an economy's consumption-investment ratio. Our results inform recent initiatives aimed at reviving securitization markets, as they indicate that the impact of securitization crucially depends on the underlying collateral.ArticlePublication Metadata only Systematic risk and the cross section of hedge fund returns(Elsevier, 2012-10) Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur; Economics; ÇAĞLAYAN, Mustafa OnurThis 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 individual hedge funds by breaking up total risk into systematic and fund-specific or residual risk components. Contrary to the popular understanding that hedge funds are market neutral, we find that systematic risk is a highly significant factor explaining the dispersion of cross-sectional returns while at the same time measures of residual risk and tail risk seem to have little explanatory power. Funds in the highest SR quintile generate 6% more average annual returns compared with funds in the lowest SR quintile. After controlling for a large set of fund characteristics and risk factors, systematic risk remains positive and highly significant, whereas the relation between residual risk and future fund returns continues to be insignificant. Hence, systematic risk is a powerful determinant of the cross-sectional differences in hedge fund returns.