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Author(s): Yaz Gulnur Muradoglu, Cass Business School, Asad Zaman, International Institute of Islamic Economics, Mehmet Orhan, Fatih University
The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE). The sectors that the firms belong to, provide the priors. Comparisons are made with OLS estimators across different estimation and forecasting periods. Two benchmark criteria are used; sum of squared residuals and sum of absolute residuals. The application requires some complicated manipulation of the theory where some inferiors of the ordinary Bayesian approach are avoided. Results show that using the EBE procedure, betas can be calculated with greater precision than OLS. This enables us to evaluate IPO's on similar intuition with other stocks, i.e. in a portfolio context rather than in isolation.
Updated: 03/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 61
Author(s): Sirajum Munira, Yaz Gulnur Muradoglu, Cass Business School, Soosung Hwang, London School of Economics
This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 104
Author(s): Yaz Gulnur Muradoglu, Ceylan Onay, Kate Phylaktis, Cass Business School
We investigate capital structures and debt maturities of firms in Europe. Europe is different from the rest of the world as major European economies have bank-based financial systems and European emerging markets are integrating with them through accession.
Updated: 01/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 95
Author(s): Yaz Gulnur Muradoglu, Cass Business School, Sheeja Sivaprasad, Westminster Business School
Leverage is an important risk factor which has been ignored in the asset pricing literature. This paper attempts to broaden the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 212
Author(s): Yaz Gulnur Muradoglu, Cass Business School, Sheeja Sivaprasad, Westminster Business School
This is an empirical study that investigates the effect of firm's leverage on stock returns. We start with the explicit valuation model of Modigliani and Miller (1958) and expand the model further to test the relation between stock returns and firms' leverage.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 262
