Financial Markets and Investment Strategies

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non‐crisis and crisis episodes, including trends and bursts in…

• KAMİL YILMAZ

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• AHMET ŞENSOY

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Abstract Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fi…

• REFET SOYKAN GÜRKAYNAK

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• AHMET MURAT ÖZBAYOĞLU

ABSTRACT We examine whether organizational form matters for a firm's cost of capital. Contrary to the conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have, on average, a lower…

• OĞUZHAN ÖZBAŞ

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• ATA CAN BERTAY

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The purpose of this paper is to analyze the errors made by professional forecasters (analysts) in estimating earnings per share for a large number of firms over a number of years. We have demonstrated in a previous paper that consensus (average) estimates of earnings per share play a key role in share price determinat…

We study the trading behavior of investors in an entire stock market. Using an account level dataset of all trades on the Istanbul Stock Exchange in 2005, we identify investors with similar trading behavior as linked in an empirical investor network (EIN). Consistent with the theory of information networks, we find th…

• HAN NAZMİ ÖZSÖYLEV

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities.In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers.Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in s…