Now showing items 1-2 of 2
An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
(Elsevier Science BV, 2015-03)
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...
Flight to quality and the predictability of reversals: The role of market states and global factors
(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 ...