Systematic Risk of Higher-Order Moments and Asset Pricing

2018-01-07
Gürbüz, Aybike
Danışoğlu, Seza

Suggestions

Systematic analysis of the exclusive B -> K*l(+)l(-) decay
Alıyev, Tahmasıb; Kim, YG (American Physical Society (APS), 2000-07-01)
A model-independent analysis for the exclusive, rare B-->K*l(+)l(-) decay is presented. Systematically studied are the experimentally measured quantities, such as the branching ratio, forward-backward asymmetry, longitudinal polarization of the final leptons, and the ratio Gamma(L)/Gamma(T) of the decay widths when the K* meson is longitudinally and transversally polarized. The dependence of the asymmetry parameter alpha = 2 Gamma(L)/Gamma(T)- l on the new Wilson coefficients is also studied in detail. It i...
Dynamic Relationships between Oil and Metal Commodity Futures Prices
Sarı, Ramazan; Shawkat, Hammoudeh; Bradley T, Ewing (2007-01-01)
Empirical investigation of the relationship between investors’ average holding periods and price informativeness
Çetin, Müge; Güner, Zehra Nuray; Department of Business Administration (2020)
Short-term trading is alleged to breed informational inefficiency and lead to excess volatility in stock markets. On the other hand, it is observed that investors’ average holding periods are declining steadily all over the world. There is an extensive body of theory on information heterogeneity, the impact of higher order beliefs and short-termism in asset pricing, yet empirical studies testing their implications are scarce. The objective of this thesis is to provide empirical evi...
Comparative Seismic Performance Evaluation of Integral and Conventional Bridges
Dicleli, Murat (null; 2012-09-24)
Quantitative measures of observability for stochastic systems
Subaşı, Yüksel; Demirekler, Mübeccel; Department of Electrical and Electronics Engineering (2012)
The observability measure based on the mutual information between the last state and the measurement sequence originally proposed by Mohler and Hwang (1988) is analyzed in detail and improved further for linear time invariant discrete-time Gaussian stochastic systems by extending the definition to the observability measure of a state sequence. By using the new observability measure it is shown that the unobservable states of the deterministic system have no effect on this measure and any observable part wit...
Citation Formats
A. Gürbüz and S. Danışoğlu, “Systematic Risk of Higher-Order Moments and Asset Pricing,” 2018, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/72254.