Yazar "Demirer, Rıza" için İİBF - Makale Koleksiyonu | İşletme Bölümü / Department of Management listeleme
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Flight to quality and the predictability of reversals: The role of market states and global factors
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Science BV, 2017-12)This paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We show that short-term reversals, thus the payoffs to the contrarian strategy, are predictable with the market ... -
Global risk aversion and emerging market return comovements
Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Science SA, 2018-12)Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets ... -
Oil price uncertainty, global industry returns and active investment strategies
Demirer, Rıza; Yüksel, Aydın; Yüksel, Aslı (Elsevier B.V., 2020-11)This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. ... -
On the hedging benefits of REITs: The role of risk aversion and market states
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (Oviedo University Press, 2021-06)We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the ... -
Time-varying risk aversion and currency excess returns
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Ltd, 2022-01)This paper documents an economically significant risk premium associated with a currency's sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies ... -
The U.S. term structure and return volatility in emerging stock markets
Demirer, Rıza; Yüksel, Aslı; Yüksel, Aydın (Springer, 2020-05-29)This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and ... -
The US term structure and return volatility in global REIT markets
Demirer, Rıza; Gupta, Rangan; Yüksel, Aslı; Yüksel, Aydın (Asia University, 2020-09)This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components ...