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Numerical discretization of stochastic oscillators with generalized numerical integrators
(Vinča Institute of Nuclear Sciences, 2021)
In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and ...
Managerial discretion and efficiency of internal capital markets
(Elsevier, 2021-10)
I use the staggered adoption of state-level antitakeover laws to provide causal evidence that managerial agency problems reduce the allocative efficiency of conglomerate firms. I find that increases in control slack following ...
Political connections and informed trading: Evidence from TARP
(Wiley, 2021-09)
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 ...
Foreign acquisition and credit risk: Evidence from the U.S. CDS market
(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 ...
The effects of foreign acquisitions on the value of industry peers
(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 ...
Product market competition and the value of diversification
(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 ...
Price of regulations: Regulatory costs and the cross-section of stock returns
(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 ...
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
(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 ...
On the numerical schemes for Langevin-type equations
(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 ...
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