Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Han N. Ozsoylev"'
Autor:
Han N. Ozsoylev, Baris Ince
Publikováno v:
SSRN Electronic Journal.
Motivated by existing evidence of a preference among investors for stocks with high maximum daily returns, we document that lottery-like payoffs measured by maximum daily returns are almost entirely idiosyncratic. Firm-level cross-sectional regressio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::38298d5574f09cc1fb5057460bdc5be6
https://doi.org/10.2139/ssrn.3729163
https://doi.org/10.2139/ssrn.3729163
Publikováno v:
Review of Economic Dynamics
Review of Economic Dynamics, Elsevier, 2020, vol. 38, pp.220-237. ⟨10.1016/j.red.2020.04.005⟩
Review of Economic Dynamics, Elsevier, 2020, vol. 38, pp.220-237. ⟨10.1016/j.red.2020.04.005⟩
In this paper, we examine the cyclical dynamics of a Real Business Cycle model with ambiguity averse consumers and investment irreversibility using the smooth ambiguity model of Klibanoff et al. (2005, 2009). Ambiguity of belief about the productivit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7554a7d0b70adebbc8386fa63646015
https://www.tse-fr.eu/sites/default/files/TSE/documents/doc/wp/2020/wp_tse_1107.pdf
https://www.tse-fr.eu/sites/default/files/TSE/documents/doc/wp/2020/wp_tse_1107.pdf
Autor:
Baris Ince, Han N. Ozsoylev
Publikováno v:
SSRN Electronic Journal.
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4cc87060bbd1c915421f6378981862a7
https://doi.org/10.2139/ssrn.3655823
https://doi.org/10.2139/ssrn.3655823
We consider financial markets with heterogeneously ambiguous assets and heterogeneously ambiguity averse investors. Investors' preferences, a version of the smooth ambiguity model, are a parsimonious extension of the standard mean-variance framework.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::326291ed4f65d90c293399a0042b6136
https://halshs.archives-ouvertes.fr/halshs-01935319
https://halshs.archives-ouvertes.fr/halshs-01935319
Publikováno v:
SSRN Electronic Journal.
This paper models the role of the lender of last resort (LoLR) in a general equilibrium framework. We allow for heterogeneous agents and a risk-averse banking sector, and incorporate the frictions of endogenous default, liquidity, and money. Adverse
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::57d64783e18d0ded8ca1f3e34d41a88f
https://doi.org/10.2139/ssrn.3056389
https://doi.org/10.2139/ssrn.3056389
Publikováno v:
Review of Financial Studies. 27(5):1323-1366
We study investor networks in the stock market, through the lens of information network theory. We use a unique account level dataset of all trades on the Istanbul Stock Exchange in 2005, to identify traders who are similar in their trading behavior
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd4129e8a3f6cdf830069a04e8e9925b
http://hdl.handle.net/10.1093/rfs/hht065
http://hdl.handle.net/10.1093/rfs/hht065
Autor:
Shino Takayama, Han N. Ozsoylev
We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom (1985). This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed42018c801425be84a80181029335f1
https://doi.org/10.1016/j.finmar.2009.10.002
https://doi.org/10.1016/j.finmar.2009.10.002
Autor:
Johan Walden, Han N. Ozsoylev
Publikováno v:
Journal of Economic Theory. 146:2252-2280
We study asset pricing in economies with large information networks. We focus on networks that are sparse and have power law degree distributions, in line with empirical studies of large scale social networks. Our theoretical framework yields a rich
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd9be4f2b63a65199a186ac802e6d3d1
https://doi.org/10.1016/j.jet.2011.10.003
https://doi.org/10.1016/j.jet.2011.10.003
In this paper, we look into the so-called “revolving door of Washington”, which is the movement of individuals between federal government positions and jobs in the private sector, and examine its link to long-run stock returns. We find that firms
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2ece753b05bc57687f7556f8f7c8fee4
http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1507.pdf
http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1507.pdf
Publikováno v:
SSRN Electronic Journal.
We study investor networks in the stock market, through the lens of information network theory. We use a unique account level dataset of all trades on the Istanbul Stock Exchange in 2005, to identify traders who are similar in their trading behavior
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4851e981815b7da75520cb996f3e2645
https://doi.org/10.2139/ssrn.1784007
https://doi.org/10.2139/ssrn.1784007