Browsing International Finance by Issue Date
Now showing items 1-20 of 26
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An approximation of stochastic telegraph equations
(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 ... -
Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
(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, ... -
Systematic risk and the cross section of hedge fund returns
(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 ... -
Development and calibration of a currency trading strategy using global optimization
(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 ... -
An approximation of stochastic hyperbolic equations: case with Wiener process
(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 ... -
The real estate and credit bubble: evidence from Spain
(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, ... -
Macroeconomic risk and hedge fund returns
(Elsevier, 2014-10)This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a ... -
CEO overconfidence, reit investment activity and performance
(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 ... -
Gender-specific preferences in global performance management - an empirical study of male and female leaders in a multinational context
(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 ... -
Do mutual funds herd in industries?
(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 case against active pension funds: evidence from the Turkish private pension system
(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 ... -
Construction, real estate mortgage market development and economic growth in Turkey
(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 ... -
Should cross-border banking benefit from the financial safety net?
(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 ... -
Modeling heterogeneity in the satisfaction, loyalty intention and shareholder value linkage: a cross industry analysis at the customer and firm level
(American Marketing Association, 2016-02)This study examines the relationship between customer satisfaction, loyalty intention and shareholder value at the firm and individual customer level. The authors also explore industry differences by using a multilevel and ... -
The economic effects of owner distance and local property management in US office markets
(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 ... -
Turn-of-the-month effect: New evidence from an emerging stock market
(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, ... -
Analysis of cross-country variations in the depth of European mortgage markets
(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 ... -
Securitization and economic activity: The credit composition channel
(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 ... -
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
(Kaunas University of Technology, 2019)Pricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in ... -
Political connections and informed trading: Evidence from TARP
(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 ...
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