All Outputs (4)

Financial Openness and Financial Development: Evidence from Emerging Countries (2020)
Journal Article
Umutlu, M., Gultekin, M., & Özkaya, H. (2020). Financial Openness and Financial Development: Evidence from Emerging Countries. Istanbul Business Research, 49(2), 316-338. https://doi.org/10.26650/ibr.2020.49.0040

We investigate the potential relation between financial openness and financial development for 27 emerging countries for the period between 1996 and 2016. We focus on three dimensions of financial openness: capital account openness, trade openness, a... Read More about Financial Openness and Financial Development: Evidence from Emerging Countries.

Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns (2020)
Journal Article
Zaremba, A., Umutlu, M., & Maydybura, A. (2020). Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. Journal of Banking and Finance, 121, Article 105966. https://doi.org/10.1016/j.jbankfin.

We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of t... Read More about Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns.

The cross-section of industry equity returns and global tactical asset allocation across regions and industries (2020)
Journal Article
Umutlu, M., & Bengitöz, P. (2020). The cross-section of industry equity returns and global tactical asset allocation across regions and industries. International Review of Financial Analysis, 72, Article 101574. https://doi.org/10.1016/j.irfa.2020.101574

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 determine the predictive abil... Read More about The cross-section of industry equity returns and global tactical asset allocation across regions and industries.

Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets (2020)
Journal Article
Zaremba, A., Umutlu, M., & Karathanasopoulos, A. (2020). Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets. Journal of Investing, 29(3), 38-62. https://doi.org/10.3905/joi.2020.1.120

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 a stronger country and indust... Read More about Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets.