This paper evaluates the optimal bail-out and bail-in mix in the case of bankruptcy of Banco Espírito Santo (BES), SA, the second largest Portuguese private bank. The solution after the crisis of the BES, was to partition the bank into a good bank (Novo Banco (New Bank)) and keep the toxic...

The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and being a relatively recent theory, its application has...

This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...

This study, based on a search model, attempts to draw out the implications for discussions about reference rates that originated from the recent Libor manipulation scandal, with particular focus on whether the calculation of reference rates should be based solely on actual transaction data and...

Credit ratings have become an indispensable part of the fundamental information infrastructure of credit markets. Credit ratings cover a wide range of issuers including governments, governmental organizations, municipalities, nonfinancial companies and financial institutions, and also cover...

This paper applies a survival analysis to individual hedge fund data reported in the Lipper TASS database. We use several methodologies including the non-parametric survival analysis, the Semi-parametric Cox proportional hazard analysis with shared frailty, and the logit analysis to assess the...

Bu çalışma Türkiye’deki yatırımcıların hise senedi alım-satım davranışlarını analiz etmektedir. Bu analiz için 55 sorudan oluşan bir anket 85 kişi üzerinde uygulanmıştır ve yatırımcıların verdikleri cevaplar esas alınmıştır. Anket demografik özellikler, algılanan...

This is an analysis of the mutual funds in Turkey with respect to their risk-altering behavior. Using the monthly returns and volatilities of 133 funds from 2002 to 2007, we divide each year in two parts and check whether or not the funds’ performance in the first part affects the behavior of...

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

Bu çalışmanın amacı Fama ve French üç faktör modeline momentum faktörünün eklenmesiyle oluşturulan dört faktör modelinin İMKB’de hisse senedi getirilerini açıklama gücünün test edilmesidir. Çalışma Temmuz 1992 – Haziran 2008 döneminde (192 ay) İMKB’ye kote olmuş...