Browsing by Subject "Allowance for corporate equity"

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Open Access
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.
Open Access
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.