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2021 - 20222
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Yazar: Demirer, Rıza × Konu: Stock ×

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  • Küçük Resim
    Yayın
    On the hedging benefits of REITs: The role of risk aversion and market states
    (Oviedo University Press, 2021-06) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın
    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 high volatility regime in REIT markets when these markets are relatively calm. Accordingly, a hedge on/hedge off strategy based on the level of risk aversion with positions in REITs offer significant risk reduction for passive investors with the greatest benefits observed for the U. S. followed by the U.K. Our findings highlight the role of time-varying risk aversion as a predictor of REIT market volatility and the value of REIT investments as a hedge against stock market fluctuations.
  • Küçük Resim
    Yayın
    Time-varying risk aversion and currency excess returns
    (Elsevier Ltd, 2022-01) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın
    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 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.