Browsing International Finance by Author "Özyeğin University"
Now showing items 1-20 of 36
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Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
Bolgün, K. E.; Kurun, E.; Güven, Serhat (Springer International Publishing, 2012-03-02)We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, ... -
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
Bayram, M.; Akat, Muzaffer; Bulkan, S. (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 ... -
Analysis of cross-country variations in the depth of European mortgage markets
Kutlukaya, M.; Erol, Işıl (Springer Science+Business Media, 2016-09)To 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 ... -
Anticipating the financial crisis: evidence from insider trading in banks
Akın, Özlem; Marín, J. M.; Peydro, J. - L. (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 ... -
An approximation of stochastic hyperbolic equations: case with Wiener process
Ashyralyev, A.; Akat, Muzaffer (Wiley, 2013-06)In 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 ... -
An approximation of stochastic telegraph equations
Ashyralyev, A.; Akat, Muzaffer (AIP Publishing, 2012)In 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 ... -
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
Kılıç, A.; Güloğlu, B.; Yalçın, Atakan; Üstündağ, A. (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 ... -
The case against active pension funds: evidence from the Turkish private pension system
Gökçen, U.; Yalçın, Atakan (Elsevier, 2015-06)Using 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 ... -
CEO overconfidence, reit investment activity and performance
Eichholtz, P.; Yönder, Erkan (Wiley, 2015)This 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 ... -
A concave security market line
De Giorgi, E. G.; Post, T.; Yalçın, Atakan (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 ... -
Construction, real estate mortgage market development and economic growth in Turkey
Erol, Işıl (2016)In 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 ... -
Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
Demirci, İ.; Eichholtz, P.; Yönder, Erkan (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 ... -
Development and calibration of a currency trading strategy using global optimization
Çağlayan, Mustafa Onur; Pinter, Janos D. (Springer Science+Business Media, 2013-06)We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ... -
Do mutual funds herd in industries?
Çeliker, Umut; Chowdhury, J.; Sonaer, G. (Elsevier, 2015-03)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 ... -
The economic effects of owner distance and local property management in US office markets
Eichholtz, P.; Holtermans, R.; Yönder, Erkan (Oxford Publishing, 2016-07-04)This 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 ... -
The effects of foreign acquisitions on the value of industry peers
Yılmaz, Ümit (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 ... -
An explainable credit scoring framework: A use case of addressing challenges in applied machine learning
Güntay, Levent; Bozan, E.; Tigrak, U.; Durdu, T.; Ozkahya, G. E. (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 ... -
Foreign acquisition and credit risk: Evidence from the U.S. CDS market
Yılmaz, Ümit (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 ... -
Gender-specific preferences in global performance management - an empirical study of male and female leaders in a multinational context
Festing, M.; Knappert, Lena; Kornau, A. (Wiley, 2015-01)This 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 ... -
Global trends in liquidity creation: The role of the off-balance sheet
Akın, Özlem; Özsoy, Satı Mehmet (Peter Lang AG, 2019-03-28)Banks 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 ...
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