Browsing by Author "Özdamar, Melisa"

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    The effect of tax regulation on firm value: the Turkish case of allowance for corporate equity (ACE) regulation
    (Routledge, 2020-04) Özdamar, Melisa; Tanyeri, Başak; Akdeniz, Levent
    Investors ex-ante price the tax shield that Turkish firms would enjoy and react positively to the introduction of a legislation that provides a deduction for new equity issues. Not all firms are equally affected by the equity tax shield. Cumulative abnormal returns prove significantly higher for levered firms who may find it easier to switch from debt to equity financing and for firms that have income to shield from tax. Furthermore, the most levered firms and the firms with the highest income, whom investors ex-ante expect to benefit most from the regulation, do indeed issue more equity to take advantage of the tax benefits of the new regulation.
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    Essays in asset pricing
    (2022-01) Özdamar, Melisa
    This thesis is composed of four essays exploring the pricing behavior of different financial markets. In the first essay, we investigate the explanatory power of CAPM beta on cross-section of expected stock returns by allowing beta to vary according to the fluctuations in the business cycle. This study contributes to the empirical literature on time-varying beta by documenting that there exists a significant relationship between risk and return when ever we control for the output level. In the second essay, we analyze whether and how investors price the introduction of a regulation that provides a deduction for equity financing of Turkish firms listed on Borsa Istanbul. We find that investors react positively to the introduction of Allowance for Corporate Equity (ACE) regulation and the companies which the market ex-ante prices to benefit the most from the tax shield do ex-post raise more equity relative to companies which the market expects to benefit the least. Alongside of the stock markets, the cryptocurrency markets appeal high attention by the recent empirical studies since it presents a unique feature for financial investment. In the third essay, we explore the significance of maximum daily return (MAX) in the cross-sectional pricing of expected future returns in the cryptocurrency market. Our findings provide evidence for a positive and statistically significant relationship between extreme positive returns and subsequent cryptocurrency returns. Results are robust to controls for size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor attention. The final chapter focuses on how retail investor attention and institutional investor attention affect returns, idiosyncratic risk and volatility in the cryptocurrency market. We report that there exists a contrary impact of retail and institutional investor attention on cryptocurrency returns and idiosyncratic volatility, however, we show that both have an boosting effect on liquidity of the cryptocurrency market.
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    Lottery-like preferences and the MAX effect in the cryptocurrency market
    (SpringerOpen, 2021-12) Özdamar, Melisa; Akdeniz, Levent; Şensoy, Ahmet
    We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant relationship between the maximum daily return within the previous month (MAX) and the expected returns on cryptocurrencies. In particular, the univariate portfolio analysis shows that weekly average raw and risk-adjusted return differences between portfolios of cryptocurrencies with the highest and lowest MAX deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor sentiment.
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    Retail vs institutional investor attention in the cryptocurrency market
    (Elsevier BV, 2022-10-10) Özdamar, Melisa; Şensoy, Ahmet; Akdeniz, L.
    We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.