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. Leverage is a vital risk factor that explains stock returns. We also...

We use an investment strategy based on firm level capital structures. Investing in low leverage firms yields abnormal returns of 4.43 percent per annum. If an investor holds a portfolio of low leverage and low market to book ratio firms abnormal returns increase to 16.18 percent per annum. A...

While economic factors have been found to explain foreign direct investments (FDI), there is still some ambiguity regarding the decisions on the choice of destination by multinational companies. Studies find considerable evidence to suggest that distance, physical, institutional, and cultural...

This paper explores the importance of supply of capital for corporate financing. To identify this relation, we examine the impact of two exogenous events, entry to the EU and the adoption of Euro, which caused shifts in equity and credit markets during European integration. Following membership...

This paper explores the importance of supply of capital for corporate financing. To identify this relation, we examine the impact of two exogenous events, entry to the EU and the adoption of Euro, which caused shifts in equity and credit markets during European integration. Following membership...

We examine how firms’ exposure to prior disastrous events can influence their stock market footprint during the Coronavirus crisis. While others have drawn comparisons between past pandemics and COVID-19, we argue that such comparisons are skewed due to the unprecedented reach and consequences...

We investigate the link between momentum returns, credit ratings, and business cycles. Momentum returns are significant and large in speculative-grade stocks and more so during contraction periods in business cycles. Speculative-grade stocks, on average earn momentum returns of 1.71% per month...

We investigate the impact of corporate governance characteristics, and IFRS on earnings quality in Borsa Istanbul (BIST). Our contribution stems from the fact that we study moderating effects of mandatory IFRS adoption on the relationship between ownership concentration and earnings quality in a...

In this paper we investigate the portfolio performance of subjective forecasts given in different forms. In constructing the efficient frontier, the expectation formation processes based is on subjective forecasts and human behaviour, rather than past prices. The efficient portfolios are first...

This study aims to investigate the individual behavior that underlies the overreaction hypothesis by conducting a controlled experiment. Two areas that were not captured by previous research on the validity of the overreaction hypothesis are investigated. First, actual portfolio managers are...