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Now showing items 11-20 of 22
Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
(Springer, 2020-11)
This paper investigates whether corporate diversification by property type and by geography reduces the costs of debt capital. It employs asset-level information on the portfolios of U.S. REITs to measure diversification ...
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 ...
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, ...
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)
Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ...
A prudential paradox: The signal in (not) restricting bank dividends
(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 ...
An explainable credit scoring framework: A use case of addressing challenges in applied machine learning
(IEEE, 2022)
While Machine Learning (ML) classification algorithms can accurately classify a borrower's credit risk, the determinants of the credit score cannot be interpreted clearly by customers, decision makers and auditors. The ...
Trading ambiguity: A tale of two heterogeneities
(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 ...
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