Ara
Toplam kayıt 6, listelenen: 1-6
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 ...
İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
(Bilgesel Yayıncılık San Tic Ltd, 2010-08)
Bu çalışma hisse senetlerinin likiditesi ve fiyatı arasındaki ilişkiyi bu konunun henüz araştırılmadığı bir pazar olan İstanbul Menkul Kıymetler Borsası'nın verisi kullanarak incelemektedir. Çalışmada iki sorunun cevabı ...
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 ...
Stock return seasonality and the temperature effect
(EuroJournals Publishing, 2009-12)
Motivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for ...
Global risk aversion and emerging market return comovements
(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 ...
Time-varying risk aversion and currency excess returns
(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 ...