5 sonuçlar
Arama Sonuçları
Listeleniyor 1 - 5 / 5
Yayın Oil price uncertainty, global industry returns and active investment strategies(Elsevier B.V., 2020-11) Demirer, Rıza; Yüksel, Aydın; Yüksel, AslıThis 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. Global stock sectors yield significantly higher returns during periods of low oil market uncertainty and an active, forward-looking investment strategy conditional on the state of oil market volatility yields significantly positive excess returns even after adjusting for systematic risk exposures. The findings show that the predictive information captured by oil market fundamentals can be utilized in active sector rotation strategies.Yayın The U.S. term structure and return volatility in emerging stock markets(Springer, 2020-05-29) Demirer, Rıza; Yüksel, Aslı; Yüksel, AydınThis 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 maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after controlling for country specific factors including turnover and market size. While we observe heterogeneous patterns across emerging markets in terms of their predictability with respect to the U.S. term structure, we find that the market’s expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained further predictive value following the global financial crisis, particularly for the BRICS nations of China, Russia, and S. Africa. Overall, our findings suggest that policymakers and investors can utilize interest rate signals from the U.S. Treasury yields to make projections over stock market volatility in their local markets, however, distinguishing between the two components of the yield curve could provide additional forecasting power depending on the country of focus.Yayın Global risk aversion and emerging market return comovements(Elsevier Science SA, 2018-12) Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin AydınUtilizing 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 examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.Yayın Flight to quality and the predictability of reversals: The role of market states and global factors(Elsevier Science BV, 2017-12) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin AydınThis 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 state found as the primary predictor. The reversal effect is driven by flight to quality stocks with high earnings and low price multiples during negative market states, which then gives rise to subsequent reversals in those stocks, thus predicting higher contrarian payoffs. Interestingly, oil return is found to absorb much of the predictive power of macroeconomic variables and global risk proxies. Our findings lend partial support to risk-based as well as behavioral explanations for reversals and suggest that a contrarian strategy with value stocks, conditional on the market state, could be employed within a managed fund in order to generate abnormal profits that cannot be earned by conventional models.Yayın Time-varying risk aversion and currency excess returns(Elsevier Ltd, 2022-01) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin AydınThis 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 with high (low) sensitivity to aggregate market risk aversion yields significantly positive excess returns. While advanced market currencies including the Euro, Yen and Swiss Francs dominate the short end of these portfolios with low sensitivity to risk aversion, emerging market currencies including the Brazilian Real, Mexican Peso and Turkish Lira are found to be the most sensitive currencies to risk aversion. The excess returns from the proposed strategy are significant even after controlling for systematic equity market risk factors as well as liquidity risk and cannot be explained by measures of economic conditions or uncertainty. Interestingly, the excess returns generated by the risk aversion-based strategy are found to have significant loadings on global momentum, suggesting possible commonality in the behavioral drivers of anomalies in the global equity and currency markets. The findings highlight the role of behavioral factors as predictor of currency excess returns with significant investment implications.
