Browsing Faculty of Business by Author "(ORCID 0000-0001-7441-8053 & YÖK ID 202115) Kayaçetin, Volkan"

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Cash flow news, discount rate news, and momentum

Çeliker, Umut; Kayaçetin, Volkan; Kumar, R.; Sonaer, G. (Elsevier, 2016-11)

We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment ...
Flight-to-quality, economic fundamentals, and stock returns

Kaul, A.; Kayaçetin, Volkan (Elsevier, 2017)

We find that the order flow differential (OFD), a flight-to-quality measure constructed as the difference between large- and small-cap stock order flows, strongly and negatively forecasts output growth and interest rates ...
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, ...