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Now showing items 11-20 of 21
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 ...
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 ...
A concave security market line
(Elsevier, 2019-09)
We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels ...
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 ...
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, ...
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 ...
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 ...
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, ...
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, ...
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 ...
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