Author
Now showing items 1-12 of 12
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Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, A.; Umutlu, M.; Karathanasopoulos, A. (Journal of Empirical Finance, 2019)Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry ... -
Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Umutlu, M.; Bengitoz, P.; Zaremba, A. (Routledge, 2021)We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the ... -
Does idiosyncratic volatility matter at the global level?
Umutlu, M. (North American Journal of Economics and Finance, 2019)I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. ... -
Idiosyncratic volatility and expected returns at the global level
Umutlu, M. (Financial Analysts Journal, 2015)The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally ... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Zaremba, A.; Umutlu, M.; Maydybura, A. (Investment Analysts Journal, 2018)We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset ... -
Opposites attract: Combining alpha momentum and alpha reversal in international equity markets
Zaremba, A.; Umutlu, M.; Karathanasopoulos, A. (Journal of Investing, 2020)The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms ... -
Option-implied volatility measures and stock return predictability
Fu, X.; Arisoy, Y.E.; Shackleton, M.B.; Umutlu, M. (Journal of Derivatives, 2016)Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis ... -
Size matters everywhere: Decomposing the small country and small industry premia
Zaremba, A.; Umutlu, M. (North American Journal of Economics and Finance, 2018)We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market ... -
Stock-return volatility and daily equity trading by investor groups in Korea
Umutlu, M.; Shackleton, M.B. (Pacific Basin Finance Journal, 2015)We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles ... -
Strategies can be expensive too! The value spread and asset allocation in global equity markets
Zaremba, A.; Umutlu, M. (Applied Economics, 2018)Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for ... -
The cross-section of industry equity returns and global tactical asset allocation across regions and industries
Umutlu, M.; Bengitoz, P. (International Review of Financial Analysis, 2020)This study investigates which index characteristics predict returns in the cross-section of local industry indexes in six regions. The results show that geographical origin and market capitalization of indexes critically ... -
To diversify or not to diversify internationally?
Umutlu, M.; Yargi, S.G. (Elsevier, 2021)Using alternative measures of return correlations, we show that neither industry nor country correlations exhibit an ever-increasing trend. Instead, correlations jump during recessions with a tendency to revert in stable ...
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