Browsing International Finance by Title

Now showing items 33-36 of 36

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, ...