Yaz Gulnur Muradoglu | University of Illinois at Springfield (original) (raw)

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Papers by Yaz Gulnur Muradoglu

Research paper thumbnail of An exploratory analysis of portfolio managers' probabilistic forecasts of stock prices

Long Range Planning, Apr 1, 1995

Research paper thumbnail of Home bias persistence in foreign direct investments

European Journal of Finance, Mar 27, 2015

Research paper thumbnail of What can behavioural finance teach us about finance?

Qualitative Research in Financial Markets, Apr 13, 2010

Purpose – The paper draws on the key themes raised at a Round Table discussion on behavioural fin... more Purpose – The paper draws on the key themes raised at a Round Table discussion on behavioural finance attended by academics and practitioners. The paper provides a background to the key aims of behavioural finance research and the development of the discipline over time. The purpose of this paper is to indicate some future research issues on behavioural finance that

Research paper thumbnail of Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange

RePEc: Research Papers in Economics, 2003

Research paper thumbnail of Corona shutdown and bankruptcy risk

Research paper thumbnail of Foreign Debt Usage in Non-Financial Firms: a Horse Race between Operating and Accounting Exposure Hedging

European Financial Management, Sep 4, 2013

Research paper thumbnail of Capital Structures of Small Family Firms in Developing Countries

Review of corporate finance, 2022

Research paper thumbnail of Board Diversity and Executive Compensation

Research paper thumbnail of Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach

Journal of Asset Management, 2022

Research paper thumbnail of How Does a Firm's Capital Structure Affect Stock Performance?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic), 2013

This paper examines the relationship between capital structure and shareholder returns in the UK ... more This paper examines the relationship between capital structure and shareholder returns in the UK between 1980 and 2008. Expanding on Modigliani and Miller’s (1958) Proposition 2, returns are estimated using the asset pricing models of CAPM, Fama and French and of Carhart. The analysis shows that gearing (in the form of debt finance) is a characteristic that influences stock returns and that, in contrast to accepted finance theory, is negatively related to estimated returns. This relationship is tested empirically for robustness with other risk factors such as corporate tax rates and industry concentration, the results remain consistent throughout the analysis. If confirmed, the negative impact of debt financing on shareholder returns should trigger a major rethink on corporate financing strategies.

Research paper thumbnail of CEO ’ s compensation and risk taking in UK firms

Prior empirical evidence on executive compensation and risk taking remained inconclusive. Most of... more Prior empirical evidence on executive compensation and risk taking remained inconclusive. Most of these researches failed to adequately consider the endogenous relationship between compensation and risk. Furthermore, most studies focused on the US non-financial firm perhaps because US CEOs have received the highest level of compensation but lately the trends has shifted to other countries including the UK as well. I investigate whether higher executive compensation is related to greater riskier corporate decision in UK firms incorporating an additional measure of compensation referred to as Total wealth. CEO’s total wealth represents the accumulated equity linked compensation, which had already been received by CEOs over the years in the firm; this variable has not be considered due to unavailability of data. It is important to measure total wealth because executives will have greater incentive to ensure that the value of their accumulated equity earnings (total wealth) over time go...

Research paper thumbnail of Personal routes into behavioural finance

Review of Behavioral Finance, 2020

PurposeThe paper aims to provide the individual routes of the authors into behavioural finance in... more PurposeThe paper aims to provide the individual routes of the authors into behavioural finance in order to introduce the special issue.Design/methodology/approachThe paper provides the background to the authors' personal route into behavioural finance.FindingsThe paper highlights general themes of development and influence of behavioural finance and relationships with practice and other areas of academic finance.Originality/valueThe paper offers the perspectives of the authors on how they feel the research area of behavioural finance will develop in the future.

Research paper thumbnail of Enhancing momentum investment strategy using leverage

Journal of Forecasting, 2018

Previous studies examine investment strategies based on leverage and momentum; none investigates ... more Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns only among stocks with high leverage levels, but not among stocks with low leverage levels. However, high past returns (winners) forecast future positive abnormal returns independently of leverage level. As a result, the negative relation between leverage and future abnormal returns is only observed among loser stocks, and the positive relation between past returns and future abnormal returns is only shown among non‐low leverage stocks. Our results are important in achieving better investment strategies: buying winners' stocks (independently of their level of leverage) and short‐selling losers' stocks with high leverage yield higher abnormal returns than strategies based on only one...

Research paper thumbnail of Do international institutions affect financial markets?: evidence from the Greek Sovereign Debt Crisis

The European Journal of Finance, 2017

Research paper thumbnail of Home bias persistence in foreign direct investments

The European Journal of Finance, 2015

Research paper thumbnail of Behavioural perspectives on the crisis

Qualitative Research in Financial Markets, 2010

Research paper thumbnail of Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!

SSRN Electronic Journal, 2011

Changes in shipping freight rates predict stock market returns. In today’s global world, where ec... more Changes in shipping freight rates predict stock market returns. In today’s global world, where economies are linked through international trade, shipping freight rates carry information about economic activity which is reflected in stock returns. Our results are statistically and economically significant and cannot be explained by time-varying risk premia as shipping freight rate changes significantly predict negative excess returns. Consistent with the delayed reaction hypothesis, it seems that investors are slow in responding to the information on changes in shipping freight rates. Moreover, results are robust across world and international stock indexes.

Research paper thumbnail of Using Leverage as a Risk Factor in Explaining the Cross Section of Stock Returns

SSRN Electronic Journal, 2010

Leverage is an important risk factor which has been ignored in the asset pricing literature. This... more 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 undertake several robustness checks. We employ three models of performance measurement including the CAPM, the Fama-French three factor model and Fama- French-Carhart four factor model. We construct a five factor model using an additional factor mimicking portfolio for leverage. Our five factor model explains the variations in stock returns better relative to the other asset pricing models.

Research paper thumbnail of Capital Structures Around the World: Are Small and Private Firms Different?

SSRN Electronic Journal, 2010

We examine the determinants of capital structure decisions of firms, specifically small and priva... more We examine the determinants of capital structure decisions of firms, specifically small and private firms in developing countries. We use survey data for 25 countries from World Bank Enterprise Survey which is not used before. About 90 percent of private firms and about 70 of listed firms in our sample are small and medium sized. We show that the determinants of capital structure decisions of small and large firms and private and listed companies are different. Leverage and debt maturities are lower for private and small firms despite their high asset tangibility and profitability ratios. We attribute this to the economic environment of the country. Leverage increases as profitability and size increases at firm level and as economic growth rates and income increase at the economy level. Debt maturity increases as asset tangibility increases at firm level and cost of borrowing declines at the economy level. Our results are robust to the different definitions of size. Firm level determinants of capital structure are the same for small and large firms as well as for listed and private firms. The difference is in sensitivity to economic variables. Small firms’ and private companies’ capital structure and term maturity decisions are sensitive to the economic environment while large and listed firms’ are not. The economic environment of the country is more important for small and private firms than for large and listed firms in their capital structure decisions.

Research paper thumbnail of A Behavioural Analysis of Investor Diversification

SSRN Electronic Journal, 2012

This paper studies the link between individual investors’ portfolio diversification levels and va... more This paper studies the link between individual investors’ portfolio diversification levels and various personal traits that proxy informational advantages and overconfidence. The analysis is based on objective data from the largest Turkish brokerage house tracking 59,951 individual investors’ accounts with a total of 3,248,654 million transactions over the period 2008–2010. Wealthier, highly educated, older investors working in the finance sector and those trading relatively often show higher diversification levels possibly because they are better equipped to obtain and process information. Finance professionals, married investors, and those placing high-volume orders through investment centers show poorer diversification possibly as a reflection of overconfidence. Our analysis reveals important nonlinear effects, implying that the marginal impact of overconfidence on diversification is not uniform across investors but varies according to the investor's information gathering and processing abilities.

Research paper thumbnail of An exploratory analysis of portfolio managers' probabilistic forecasts of stock prices

Long Range Planning, Apr 1, 1995

Research paper thumbnail of Home bias persistence in foreign direct investments

European Journal of Finance, Mar 27, 2015

Research paper thumbnail of What can behavioural finance teach us about finance?

Qualitative Research in Financial Markets, Apr 13, 2010

Purpose – The paper draws on the key themes raised at a Round Table discussion on behavioural fin... more Purpose – The paper draws on the key themes raised at a Round Table discussion on behavioural finance attended by academics and practitioners. The paper provides a background to the key aims of behavioural finance research and the development of the discipline over time. The purpose of this paper is to indicate some future research issues on behavioural finance that

Research paper thumbnail of Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange

RePEc: Research Papers in Economics, 2003

Research paper thumbnail of Corona shutdown and bankruptcy risk

Research paper thumbnail of Foreign Debt Usage in Non-Financial Firms: a Horse Race between Operating and Accounting Exposure Hedging

European Financial Management, Sep 4, 2013

Research paper thumbnail of Capital Structures of Small Family Firms in Developing Countries

Review of corporate finance, 2022

Research paper thumbnail of Board Diversity and Executive Compensation

Research paper thumbnail of Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach

Journal of Asset Management, 2022

Research paper thumbnail of How Does a Firm's Capital Structure Affect Stock Performance?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic), 2013

This paper examines the relationship between capital structure and shareholder returns in the UK ... more This paper examines the relationship between capital structure and shareholder returns in the UK between 1980 and 2008. Expanding on Modigliani and Miller’s (1958) Proposition 2, returns are estimated using the asset pricing models of CAPM, Fama and French and of Carhart. The analysis shows that gearing (in the form of debt finance) is a characteristic that influences stock returns and that, in contrast to accepted finance theory, is negatively related to estimated returns. This relationship is tested empirically for robustness with other risk factors such as corporate tax rates and industry concentration, the results remain consistent throughout the analysis. If confirmed, the negative impact of debt financing on shareholder returns should trigger a major rethink on corporate financing strategies.

Research paper thumbnail of CEO ’ s compensation and risk taking in UK firms

Prior empirical evidence on executive compensation and risk taking remained inconclusive. Most of... more Prior empirical evidence on executive compensation and risk taking remained inconclusive. Most of these researches failed to adequately consider the endogenous relationship between compensation and risk. Furthermore, most studies focused on the US non-financial firm perhaps because US CEOs have received the highest level of compensation but lately the trends has shifted to other countries including the UK as well. I investigate whether higher executive compensation is related to greater riskier corporate decision in UK firms incorporating an additional measure of compensation referred to as Total wealth. CEO’s total wealth represents the accumulated equity linked compensation, which had already been received by CEOs over the years in the firm; this variable has not be considered due to unavailability of data. It is important to measure total wealth because executives will have greater incentive to ensure that the value of their accumulated equity earnings (total wealth) over time go...

Research paper thumbnail of Personal routes into behavioural finance

Review of Behavioral Finance, 2020

PurposeThe paper aims to provide the individual routes of the authors into behavioural finance in... more PurposeThe paper aims to provide the individual routes of the authors into behavioural finance in order to introduce the special issue.Design/methodology/approachThe paper provides the background to the authors' personal route into behavioural finance.FindingsThe paper highlights general themes of development and influence of behavioural finance and relationships with practice and other areas of academic finance.Originality/valueThe paper offers the perspectives of the authors on how they feel the research area of behavioural finance will develop in the future.

Research paper thumbnail of Enhancing momentum investment strategy using leverage

Journal of Forecasting, 2018

Previous studies examine investment strategies based on leverage and momentum; none investigates ... more Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns only among stocks with high leverage levels, but not among stocks with low leverage levels. However, high past returns (winners) forecast future positive abnormal returns independently of leverage level. As a result, the negative relation between leverage and future abnormal returns is only observed among loser stocks, and the positive relation between past returns and future abnormal returns is only shown among non‐low leverage stocks. Our results are important in achieving better investment strategies: buying winners' stocks (independently of their level of leverage) and short‐selling losers' stocks with high leverage yield higher abnormal returns than strategies based on only one...

Research paper thumbnail of Do international institutions affect financial markets?: evidence from the Greek Sovereign Debt Crisis

The European Journal of Finance, 2017

Research paper thumbnail of Home bias persistence in foreign direct investments

The European Journal of Finance, 2015

Research paper thumbnail of Behavioural perspectives on the crisis

Qualitative Research in Financial Markets, 2010

Research paper thumbnail of Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!

SSRN Electronic Journal, 2011

Changes in shipping freight rates predict stock market returns. In today’s global world, where ec... more Changes in shipping freight rates predict stock market returns. In today’s global world, where economies are linked through international trade, shipping freight rates carry information about economic activity which is reflected in stock returns. Our results are statistically and economically significant and cannot be explained by time-varying risk premia as shipping freight rate changes significantly predict negative excess returns. Consistent with the delayed reaction hypothesis, it seems that investors are slow in responding to the information on changes in shipping freight rates. Moreover, results are robust across world and international stock indexes.

Research paper thumbnail of Using Leverage as a Risk Factor in Explaining the Cross Section of Stock Returns

SSRN Electronic Journal, 2010

Leverage is an important risk factor which has been ignored in the asset pricing literature. This... more 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 undertake several robustness checks. We employ three models of performance measurement including the CAPM, the Fama-French three factor model and Fama- French-Carhart four factor model. We construct a five factor model using an additional factor mimicking portfolio for leverage. Our five factor model explains the variations in stock returns better relative to the other asset pricing models.

Research paper thumbnail of Capital Structures Around the World: Are Small and Private Firms Different?

SSRN Electronic Journal, 2010

We examine the determinants of capital structure decisions of firms, specifically small and priva... more We examine the determinants of capital structure decisions of firms, specifically small and private firms in developing countries. We use survey data for 25 countries from World Bank Enterprise Survey which is not used before. About 90 percent of private firms and about 70 of listed firms in our sample are small and medium sized. We show that the determinants of capital structure decisions of small and large firms and private and listed companies are different. Leverage and debt maturities are lower for private and small firms despite their high asset tangibility and profitability ratios. We attribute this to the economic environment of the country. Leverage increases as profitability and size increases at firm level and as economic growth rates and income increase at the economy level. Debt maturity increases as asset tangibility increases at firm level and cost of borrowing declines at the economy level. Our results are robust to the different definitions of size. Firm level determinants of capital structure are the same for small and large firms as well as for listed and private firms. The difference is in sensitivity to economic variables. Small firms’ and private companies’ capital structure and term maturity decisions are sensitive to the economic environment while large and listed firms’ are not. The economic environment of the country is more important for small and private firms than for large and listed firms in their capital structure decisions.

Research paper thumbnail of A Behavioural Analysis of Investor Diversification

SSRN Electronic Journal, 2012

This paper studies the link between individual investors’ portfolio diversification levels and va... more This paper studies the link between individual investors’ portfolio diversification levels and various personal traits that proxy informational advantages and overconfidence. The analysis is based on objective data from the largest Turkish brokerage house tracking 59,951 individual investors’ accounts with a total of 3,248,654 million transactions over the period 2008–2010. Wealthier, highly educated, older investors working in the finance sector and those trading relatively often show higher diversification levels possibly because they are better equipped to obtain and process information. Finance professionals, married investors, and those placing high-volume orders through investment centers show poorer diversification possibly as a reflection of overconfidence. Our analysis reveals important nonlinear effects, implying that the marginal impact of overconfidence on diversification is not uniform across investors but varies according to the investor's information gathering and processing abilities.

Research paper thumbnail of Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded ISE

Abstract The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are esti... more Abstract The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE) and the industries that the firms belong as priors. Comparisons are made with OLS estimations and across different estimation periods. Two benchmark criteria are used; sum of squared residuals and sum of absolute residuals. The application requires some complicated manipulation of the theory where some inferiors of the ordinary Bayesian approach are avoided.