The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative...

This paper examines the relationship between information asymmetry and stock returns in Borsa İstanbul. For all stocks that are traded in Borsa İstanbul between March 2005 and April 2017, we estimate the probability of informed trading (PIN) by Duarte and Young (2009) factorization and a...

This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient...

This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...

We examine the systematic impact of broker network connectivity on future returns in a centralized limit order book (CLOB) market. For all stocks traded in Borsa Istanbul between March 2005 and November 2015, we estimate network density, reciprocity, and average weighted clustering coefficients...

This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...