Essays in empirical asset pricing

Öztekin, Mustafa (2022) Essays in empirical asset pricing. [Thesis]

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This dissertation is composed of three articles. The first article presents an overview, a broad literature review and a study on exchange-traded funds (ETFs). In this study, I examine the institutional investors’ asset allocation decisions in ETF markets and find that institutional players do not appear to exhibit consistently superior allocation and market timing skills neither specifically in the vicinity of extreme risk appetite periods nor in general. The second article investigates the price discovery role of ETFs and documents a predictive relation between the returns of emerging market ETFs traded in the US and the one-day-ahead returns to their corresponding aggregate local equity indices in a sample that covers 18 countries. This relation, which is more pronounced during periods of higher volatility, is robust after controlling for the non-synchronicity between markets, serial correlation in index returns, and various determinants of aggregate returns. I also find that an out-of-sample rolling window strategy outperforms investing in the market index several-fold in the majority of the markets. The third article focuses on the hedging role of ETFs and provides evidence that compared to a naked long position in a stock (naked strategy) which is expected to release positive earnings news, complementing the position with industry ETF hedges (hedged strategy) improves performance in terms of various reward-to-risk ratios based on downside risks. However, the naked strategy generates higher six-factor alphas and manipulation-proof performance measures. These results hold in various equity subsamples. Finally, both strategies tend to perform better among riskier stocks.
Item Type: Thesis
Uncontrolled Keywords: exchange-traded funds. -- price discovery. -- information efficiency. -- performance evaluation. -- financial innovation. -- borsa yatırım fonları. -- fiyat keşfi. -- bilgi verimliliği. -- performans değerlendirmesi. -- finansal yenilik.
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD0028 Management. Industrial Management
Divisions: Sabancı Business School > Management and Strategy
Depositing User: Dila Günay
Date Deposited: 13 Mar 2023 10:01
Last Modified: 01 Nov 2023 14:09

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