Browsing International Finance by Title

Now showing items 28-36 of 36

Price of regulations: Regulatory costs and the cross-section of stock returns

Ince, B.; Özsöylev, Han Nazmi (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 ...
Product market competition and the value of diversification

Şahin, Cansu İskenderoğlu (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 ...
A prudential paradox: The signal in (not) restricting bank dividends

Güntay, Levent; Jacewitz, S.; Pogach, J. (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 ...
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 ...
Trading ambiguity: A tale of two heterogeneities

Mukerji, S.; Özsöylev, Han Nazmi; Tallon, J. M. (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 ...
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, ...