Now showing items 1-10 of 10

    • 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 ...
    • Buyer's quantile hedge portfolios in discrete-time trading 

      Pinar, M.Ç. (2013)
      The problem of quantile hedging for American claims is studied from the perspective of the buyer of a contingent claim by minimizing the 'expected failure ratio'. After a general study of the problem in infinite-state ...
    • Common risk factors in the returns of stocks trading in the İstanbul Stock Exchange 

      Akdağ, Muhammed (Bilkent University, 2011)
      This study investigates the stocks trading in the Istanbul Stock Exchange for the years between 1997 and 2010 in an attempt to determine the common risk factors that capture the variation in stock returns. Time-series ...
    • 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 ...
    • Gain-loss pricing under ambiguity of measure 

      Pınar, M. Ç. (E D P Sciences, 2010)
      Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation ...
    • Impacts of short selling restrictions on stocks traded at Borsa İstanbul 

      Çakın, Tuğba (Bilkent University, 2014)
      This study investigates impacts of short sale restrictions, particularly uptick rule which was repealed at 02.01.2014, on returns of stocks traded at Borsa Istanbul between January 2012 and March 2014. Firstly, time-series ...
    • Informed trading in borsa İstanbul 

      Tiniç, Murat (Bilkent University, 2019-05)
      This thesis investigates how information asymmetry affects asset prices in Borsa İstanbul. In the first chapter, we introduce the R package InfoTrad that estimates the probability of informed trading. Next, we examine ...
    • Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul 

      Tiniç, Murat; Salih, A. (Routledge, 2020-01)
      This paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul between March 2005 and April 2017, we estimate the probability of ...
    • Institutional investment horizon, herding, and stock returns 

      Iqbal, Muhammad Sabeeh (Bilkent University, 2020-12)
      This thesis investigates the interaction between the herding behavior of institutions classified by their investment horizons and the role of investment horizon of institutions in driving the book-to-market effect. First, ...
    • 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 ...