Browsing International Finance by Issue Date
Now showing items 21-36 of 36
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A concave security market line
(Elsevier, 2019-09)We 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 ... -
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)Pairs 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 ... -
On the numerical schemes for Langevin-type equations
(Karaganda University, 2020)In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of ... -
Anticipating the financial crisis: evidence from insider trading in banks
(Oxford University Press, 2020-04)Banking 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 ... -
Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
(Springer, 2020-11)This 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 ... -
Numerical discretization of stochastic oscillators with generalized numerical integrators
(Vinča Institute of Nuclear Sciences, 2021)In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and ... -
Political connections and informed trading: Evidence from TARP
(Wiley, 2021-09)We study insider trading behavior surrounding the largest bank bailout in history: Troubled Asset Relief Program (TARP). In politically connected banks, insider buying during the pre-TARP period is associated with increases ... -
Managerial discretion and efficiency of internal capital markets
(Elsevier, 2021-10)I use the staggered adoption of state-level antitakeover laws to provide causal evidence that managerial agency problems reduce the allocative efficiency of conglomerate firms. I find that increases in control slack following ... -
A prudential paradox: The signal in (not) restricting bank dividends
(Wiley, 2022)By 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 ... -
An explainable credit scoring framework: A use case of addressing challenges in applied machine learning
(IEEE, 2022)While 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 ... -
Trading ambiguity: A tale of two heterogeneities
(Wiley, 2023)We 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 ... -
The effects of foreign acquisitions on the value of industry peers
(Cambridge University Press, 2023-03)This paper studies how industry peers' stock prices respond when another firm in the industry is acquired by a foreign firm. The average stock price reactions of industry peers in horizontal foreign acquisitions around ... -
Foreign acquisition and credit risk: Evidence from the U.S. CDS market
(Cambridge University Press, 2023-06-17)This article empirically analyzes the effect of foreign block acquisitions on U.S. target firms' credit risk as measured by their credit default swap (CDS) spreads. Foreign block purchases lead to a greater increase in the ... -
Product market competition and the value of diversification
(Elsevier, 2023-12)I examine how industry concentration affects the value of diversification. I find that con- glomerates that operate mainly in concentrated industries (concentrated conglomerates) have higher diversification values. Using ... -
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
(Elsevier, 2023-12)This paper employs a big data source, the Borsa Istanbul's “data analytics” information, to predict 5-min up, down, and steady signs drawn from closing price changes. Seven machine learning algorithms are compared with ... -
Price of regulations: Regulatory costs and the cross-section of stock returns
(Oxford University Press, 2024-01)Regulations 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 ...
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