Browsing by Publisher "Borsa Istanbul Anonim Sirketi"

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    Asset pricing in a multifactor setting
    (Borsa Istanbul Anonim Sirketi, 2022) Cayirli O.; Kayalidere K.; Aktas H.
    We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying market risk premiums, our methodology can be extended to allow for time-varying systematic risk. Our approach offers a fairly simple way to estimate expected excess returns in a multifactor setting without the use of sorting methodologies. Our critique of multifactor models is mainly due to the fact that if at least one asset in the market portfolio is sensitive to a priced factor, then the market portfolio should also be sensitive to this factor. © 2022 Borsa Ä°stanbul Anonim Åžirketi
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    The domino effect of silicon valley Bank's bankruptcy and the role of FED's monetary policy
    (Borsa Istanbul Anonim Sirketi, 2024) Erer E.; Erer D.
    This paper examines the spillover effects of bankruptcy by important tech industry banks—Silicon Valley Bank (SVB), Silvergate Bank, and Signature Bank—on the top 10 institutions in the MSCI Bank Index and the role that monetary policy by the US Federal Reserve (the Fed) played in this contagion, using Dynamic Conditional Correlation-Exponentional Generalized Autoregressive (DCC-EGARCH) and time-varying Granger-causality models. Our findings show that the dynamic conditional correlations among the banks were higher during the period of the SVB crisis, implying the presence of financial contagion from the bank's bankruptcy due to uncertainty triggered by its collapse. Financial contagion emerges between SVB and the top 10 banks, and the degree of contagion rises during the crisis period. Moreover, the Fed's monetary policy plays a significant role in contagion due to bank failures. The deepening of financial contagion followed the Fed's increases in the federal funds rate to combat inflation. © 2024 Borsa İstanbul Anonim Şirketi