Person: ÖZSÖYLEV, Han Nazmi
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Han Nazmi
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ÖZSÖYLEV
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ArticlePublication Metadata only Trading ambiguity: A tale of two heterogeneities(Wiley, 2023) Mukerji, S.; Özsöylev, Han Nazmi; Tallon, J. M.; International Finance; ÖZSÖYLEV, Han NazmiWe consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observation that earnings announcements are followed by significant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets.ArticlePublication Open Access Price of regulations: Regulatory costs and the cross-section of stock returns(Oxford University Press, 2024-01) Ince, B.; Özsöylev, Han Nazmi; International Finance; ÖZSÖYLEV, Han NazmiRegulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the importance of fixed regulatory costs in a firm's cost structure. Regulatory operating leverage predicts stock returns in the cross-section, and a zero-cost high-low regulatory operating leverage strategy generates positive and significant risk-adjusted return. Finally, the impact of regulatory operating leverage on returns is due to the (systematic) risk contribution of fixed regulatory costs.