Browsing by Author "Akdeniz, L."
Now showing items 1-17 of 17
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Aggregate volatility expectations and threshold CAPM
Arisoy, Y. E.; Altay-Salih, A.; Akdeniz, L. (Elsevier Inc., 2015)We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure ... -
Are stock prices too volatile to be justified by the dividend discount model?
Akdeniz, L.; Salih, A. A.; Ok, S. T. (Elsevier, 2007)This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller ... -
A cross-section of expected stock returns on the Istanbul stock exchange
Akdeniz, L.; Altay-Salih, A.; Aydogan, K. (Routledge, 2000) -
The degree of financial liberalization and aggregated stock-return volatility in emerging markets
Umutlu, M.; Akdeniz, L.; Altay-Salih, A. (Elsevier, 2010)In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels ... -
Do CAPM results hold in a dynamic economy? a numerical analysis
Akdeniz, L.; Dechert, W. D. (Elsevier, 1997)In this research we use the projection method (reported by Judd) to find numerical solutions to the Euler equations of a stochastic dynamic growth model. The model that we solve is Brock's asset pricing model for a variety ... -
Do time-varying betas help in asset pricing? evidence from borsa Istanbul
Yayvak, B.; Akdeniz, L.; Altay-Salih, A. (Routledge, 2015)We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the threshold CAPM. The threshold CAPM defines beta as a function ... -
Does ADR listing affect the dynamics of volatility in emerging markets?
Umutlu, M.; Altay-Salih, A.; Akdeniz, L. (Univerzita Karlova v Praze, 2010)This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility ... -
The equity premium in Brock's asset pricing model
Akdeniz, L.; Dechert, W. D. (Elsevier, 2007)In this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. ... -
The equity premium in consumption and production models?
Akdeniz, L.; Dechert, W. D. (Cambridge University Press, 2012-02-27)In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based ... -
The Evolving Role of Supply Chain Managers in global Channels of Distribution and Logistics Systems
Kiessling, T.; Harvey, M.; Akdeniz, L. (Emerald Group, 2014-09)Purpose – Supply chains have become a strategic strength to many firms due to the nature of the globalization of business. The past roles of supply chain managers have changed dramatically and now also include various new ... -
Foreign equity trading and average stock-return volatility
Umutlu, M.; Akdeniz, L.; Altay-Salih, A. (Wiley-Blackwell Publishing, 2013)We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign ... -
Interdependence of the banking sector and the real sector: evidence from OECD countries
Şendeniz-Yüncü, İ.; Akdeniz, L.; Aydoğan, K. (Routledge, 2008)This paper investigates the validity of the credit view hypothesis in eleven OECD countries over the period 1987:QI – 2003:QIII. The existence of a long-run relationship between the banking sector and the real sector is ... -
Is volatility risk priced in the securities market? evidence from S&P 500 index options
Arisoy, Y. E.; Salih, A.; Akdeniz, L. (John Wiley & Sons, 2007)The authors examine whether volatility risk is a priced risk factor in securities returns. Zero-beta at-the-money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility ... -
On the performance of West's bubble test: a simulation approach
Yuksel, A.; Akdeniz, L.; Altay-Salih, A. (Elsevier, 2010-12-01)In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In ... -
Risk and return in a dynamic general equilibrium model
Akdeniz, L. (Elsevier, 2000)In this paper we examine the relationship between risk and return on productive assets using the intertemporal general equilibrium model of Brock (1982, Asset Prices in a Production Economy, the University of Chicago Press, ... -
Role of strong versus weak networks in small business growth in an emerging economy
Kozan, M. K.; Akdeniz, L. (MDPI, 2014-02)The study tests whether strong rather than weak ties account for small business growth in Turkey. Data were collected by means of a questionnaire filled out by the owners of small firms operating in four cities. Growth is ... -
Time-varying betas help in asset pricing: the threshold CAPM
Akdeniz, L.; Altay-Salih, A.; Caner, M. (Walter de Gruyter GmbH, 2003)Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels ...