Search Results

Now showing 1 - 2 of 2

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.
Institutional Investor Behavior in X-Capm
(2019) Kılıç, Erdem
This study aims to model institutional investor behavior in the XCAPM model underthe premise of reflecting a more detailed decomposition of investor types in equitymarkets. We explore the behavior and its impact in the model, esp. on pricing andon key financial ratios. We observe that the prevalence of the institutional investorcounteracts extrapolator’s effects, resulting in lower volatility of price dividendratio, lower predictive power of changes in consumption for future price changesand lower equity premium

Ekonomi Bölümü Koleksiyonu