Browsing International Finance by Title

Now showing items 19-25 of 25

On the numerical schemes for Langevin-type equations

Akat, Muzaffer; Kosker, R.; Sirma, A. (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 ...
Political connections and informed trading: Evidence from TARP

Akın, Özlem; Coleman, N. S.; Fons‐Rosen, C.; Peydró, J.-L. (Wiley, 2019)

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 ...
The real estate and credit bubble: evidence from Spain

Akın, Özlem; Montalvo, J. G.; Villar, J. G.; Peydró, J.-L.; Raya, J. M. (Springer Science+Business Media, 2014-08)

We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, ...
Securitization and economic activity: The credit composition channel

Bertay, Ata Can; Gong, D.; Wagner, W. (Elsevier, 2017-02)

Using an international panel of 104 countries over the period 1995–2012, we analyze the relationship between country-level securitization and economic activity. Our findings suggest that securitization is negatively related ...
Should cross-border banking benefit from the financial safety net?

Bertay, Ata Can; Demirgüç-Kunt, A.; Huizinga, H. (Elsevier, 2016)

Using bank-level data from 84 countries, we find that a higher degree of bank internationalization is associated with higher interest expenses. Internationalization is proxied by a bank's share of foreign liabilities in ...
Systematic risk and the cross section of hedge fund returns

Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur (Elsevier, 2012-10)

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...
Turn-of-the-month effect: New evidence from an emerging stock market

Kayaçetin, Volkan; Lekpek, Senad (Elsevier, 2016-08)

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, ...