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KAYAÇETİN, Nuri Volkan

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Nuri Volkan

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KAYAÇETİN
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Now showing 1 - 3 of 3
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    Cash flow news, discount rate news, and momentum
    (Elsevier, 2016-11) Çeliker, Umut; Kayaçetin, Volkan; Kumar, R.; Sonaer, G.; International Finance; KAYAÇETİN, Nuri Volkan; ÇELİKER, Umut
    We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013) that momentum is weaker when sentiment is pessimistic. We find that the higher momentum profits during aggregate positive cash flow news periods are primarily driven by the losers continuing to underperform in subsequent periods. Our findings are consistent with the Hong and Stein (1999) model in the sense that gradual diffusion of contradictory news is accentuated when change in wealth is positive and relatively more permanent.
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    Flight-to-quality, economic fundamentals, and stock returns
    (Elsevier, 2017) Kaul, A.; Kayaçetin, Volkan; International Finance; KAYAÇETİN, Nuri Volkan
    We find that the order flow differential (OFD), a flight-to-quality measure constructed as the difference between large- and small-cap stock order flows, strongly and negatively forecasts output growth and interest rates in the U.S. The predictive ability of OFD for future macroeconomic fundamentals is robust to the inclusion of return factors and business cycle predictors, and it is thus a state variable candidate in the spirit of Merton (1973). Consistent with this view, we document that OFD commands a statistically significant negative risk premium in cross-sectional asset pricing tests.
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    Turn-of-the-month effect: New evidence from an emerging stock market
    (Elsevier, 2016-08) Kayaçetin, Volkan; Lekpek, Senad; International Finance; KAYAÇETİN, Nuri Volkan; Lekpek, Senad
    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, the mean daily index return is 0.46% in the three-day period that covers the last trading day of each month and the first two trading days of the next month, and 0.09% in the remaining days. The ToM effect is more significant following months with (a) significant information flow and (b) above average market performance, and the fraction of index returns generated within the ToM period increases secularly from 39% over 1988–1996 to 49% over 1997–2005 and to 86% over 2006–2014. A similar month-end seasonal does not exist in index trading volume or realized volatility, ruling out standard liquidity or risk-based explanations. Estimating an e-GARCH model with daily index returns, however, we link the ToM effect to a decline in expected volatility in the days leading to month-turns. These findings resonate best with a story where gradual resolution of uncertainty following high information risk periods releases a large pool of “liquid funds” accumulated during such periods into the equity market, creating an abundance of liquidity and pushing equity prices up.