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Stock market reactions to legislated tax changes : evidence from the United States, Germany, and the United Kingdom

Hayo, Bernd; Mierzwa, Sascha - 2020 - This version: 18 November 2020

We study the effect of tax policy on stock market returns in the United States, Germany, and the United Kingdom using GARCH models and a unique daily dataset of legislative tax changes during the period 1 December 1978 to 31 January 2018. We find that days of discretionary tax legislation during...

Persistent link: https://www.econbiz.de/10012543058

An analysis of the macroeconomic factors that determine stock returns in Turkey

Özçam, Mustafa - 1997

Persistent link: https://www.econbiz.de/10000970792

A note on price-volume dynamics in a emerging stock market

Başçı, Erdem - In: Journal of banking & finance 20 (1996) 2, pp. 389-400

Persistent link: https://www.econbiz.de/10001195176

Portfolio managers' and novices' forecasts of risk and returns : are there predictable forecast errors?

Muradoğlu, Gülnur - In: Journal of forecasting 21 (2002) 6, pp. 395-416

Persistent link: https://www.econbiz.de/10001700315

Economic Forces and Stock Markets Under Arbitrage Price Theory : Empirical Evidence from Turkey

Yilmiz, Muhammad Hasan - 2016

Our aim is to identify common risk factors among some pre-determined macroeconomic variables in a way that whether they are presented significant risk premiums in pricing equation that was given above. First we identified number of potential factors explaining returns in Turkish markets as...

Persistent link: https://www.econbiz.de/10013003521

Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange

Yalcin, Atakan - 2019

This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted...

Persistent link: https://www.econbiz.de/10012906135

Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index

Bildirici, Melike - 2012

The study analyzes the family of regime switching GARCH neural network models, which allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by incorparating with neural network architectures with different dynamics and forecasting capabilities both in addition to the family of...

Persistent link: https://www.econbiz.de/10013103071

Informational Efficiency in Developing Equity Markets

McDermott, C. John - 1995

Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents … negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it …, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial …

Persistent link: https://www.econbiz.de/10014397956

Testing the asset pricing models in Turkish stock markets : CAPM vs three factor model

Gökgöz, Fazıl - In: International journal of economic perspectives : IJEP 1 (2007) 2, pp. 103-117

Persistent link: https://www.econbiz.de/10003983789

Estimating and forecasting volatility of financial markets using asymmetric GARCH models : an application on Turkish financial markets

Gökbulut, Rasim lker; Pekkaya, Mehmet - In: International journal of economics and finance 6 (2014) 4, pp. 23-35

Persistent link: https://www.econbiz.de/10010347758