ÖZ
 Bu çalışmanın temel amacı BRICS ve MIST ülkelerine ait borsalar arasındaki getiri volatilite etkileşimi araştırmaktır. Çalışmada 04.01.2004 ile 29.12.2019 dönemine haftalık verileriyle VAR-EGARCH modeli kullanarak araştırma gerçekleştirilmiştir. Genel olarak ülkelerinin borsaları arasında olduğu tespit edilmiştir. Elde edilen bir diğer sonuç ise Çin, Güney Afrika Türkiye borsalarının a...

Abstract Many financial instruments are designed with embedded leverage, such as options and leveraged exchange-traded funds (ETFs). Embedded leverage alleviates investors’ constraints, and, therefore, we hypothesize that lowers required returns. Consistent this hypothesis, find empirically ETFs provide significant amounts of leverage; increases return volatility in proportion to the higher is ...

In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and stock price for an economy with finitely many heterogeneous CARA investors and unspanned income risk. In equilibrium, the Sharpe ratio is the same as in an otherwise identical comp...

We study the portfolio decision of a household with limited information-processing capacity in a setting with recursive utility. We find that rational inattention combined with a preference for early resolution of uncertainty leads to a significant drop in the share of portfolios held in risky assets, even when the departure from standard expected utility with rational expectations is small. In...

We examine the impact of risk-based portfolio constraints on asset prices in an exchange economy. We show that constrained agents scale down their portfolio and behave locally like power utility investors with risk aversion that depends on current market conditions. In contrast to previous results in the literature, we show that the imposition of constraints dampens fundamental shocks, challeng...

Prior research debates focus on whether investors are smart enough to invest in funds that subsequently outperform. This paper documents a robust smart money effect among small fund investors who invest in the top performing funds, even after controlling for the momentum factor argued by Sapp and Tiwari (2004). I further explore the reason for the smart money effect and find that such outperfor...