This paper empirically assesses the ability of dividend yields to predict future tock returns in Germany assuming efficient markets and rational expectations. Since the order of integration of repressors are not exactly known, a bound procedure, namely a n autoregressive distributed lag (ARDL)...

This paper studies the role of strategy and the order book market mechanism in price dynamics and the order flow behaviour. To this end we analyse a zero-intelligence agent model of a dynamic limit order market. Stylised facts of limit order markets are shown to be influenced and, in some cases,...

We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...

This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series...

The relationship between competitiveness and market performance has been discussed for a long time. In a competitive economic environment, each firm or individual is unable to influence the market. It has been mentioned in the economics courses that the competitive market is more efficient and...

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of liquidity measures we uncover a profound distinction between trade and order...

The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

Hisse senetlerinin bölünmesi teorik olarak firmanın değerini etkilememesi gerektiği ifade edilse bile ampirik bulgular bölünmenin firma değerini etkilediği yönündedir. Bu çalışmada İMKB’de 2000–2005 yılları arasında yatırım ortaklığı sektöründe ortaya çıkan...

Bu çalışmada Fama-French Üç Faktör Varlık Fiyatlama Modelinin İstanbul Menkul Kıymetler Borsası’nda uygulaması yapılmıştır. Çalışma, Temmuz 1995-Haziran 2005 tarihleri arasındaki 120 aylık dönemi kapsamıştır. Çalışmaya her yıl, İMKB’de işlem gören, menkul...