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ÇELİKER, Umut

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Umut

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ÇELİKER
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    Do mutual funds herd in industries?
    (Elsevier, 2015-03) Çeliker, Umut; Chowdhury, J.; Sonaer, G.; International Finance; ÇELİKER, Umut
    This 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.
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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.