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Citation - WoS: 6
Citation - Scopus: 8
Arbitrageur Behavior in Sentiment-Driven Asset-Pricing
(World Scientific Publishing, 2021-09-01) Kılıç, Erdem; Oğuzhan, Göksel; Goksel, Oguzhan
This study aims to model arbitrageur behavior in a sentiment-driven capital asset-pricing model under the premise of reflecting a more detailed decomposition of investor types in the equity markets. We explore the behavior and the impact of arbitrageur behavior, particularly, on pricing and on key financial ratios. We observe that the prevalence of the arbitrageur counteracts the effects of unsophisticated investors, resulting in a lower volatility of the price–dividend ratio, lower predictive power of changes in consumption for future price changes and lower equity premium. Thus, the results of our research allow us to conjecture that the extrapolation bias in the prices is lowered.
Citation - WoS: 9
Citation - Scopus: 11
A Value-Adding Approach To Reliability Under Preventive Maintenance Costs and Its Applications
(Taylor & Francis Ltd, 2014-05-12) Dubey, Rameshwar; Kılıç, Erdem; Ali, Sadia Samar; Weber, Gerhard Wilhelm
No equipment (system) can be perfectly reliable in spite of the utmost care and best efforts on the part of the designer, decision-maker and manufacturer. The two sides of maintenance are corrective and preventive maintenance. It is generally assumed that a preventive maintenance action is less costly than a repair maintenance action. We examine this proposition in detail on the basis of a failure-time model that relates conformance quality to reliability. Illustratively, we present reliability in the context of contracts with asymmetric information. The model shows how to overcome information rents through price distortions and quantity rationing. The paper ends with a conclusion and an outlook to future studies.
Citation - WoS: 11
Citation - Scopus: 13
Contagion Effects of U.s. Dollar and Chinese Yuan in Forward and Spot Foreign Exchange Markets
(Elsevier, 2017-04-01) Kılıç, Erdem
Financial contagion in forex markets is modeled by the application of a bivariate Hawkes stochastic jumpprocess. The self-exciting and mutually exciting properties of the jump-clustering model allow for illustratinginternal and cross-sectional transmission processes. The results obtained suggest stronger effects from US tomutual markets than in the reverse case. Cross-sectional excitation dynamics in the spot markets are larger thanin the forward markets. As a central result, we can observe that the results for the Hawkes-model parameters aremore significant in the forward markets. Transmission dynamics beyond volatility determine the likelihood ofcontagion occurrence. The significance of the decay parameters towards the long term jump intensities supportsthe importance of abrupt fluctuations in the contagion discourse.

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