Flight to quality and the predictability of reversals: The role of market states and global factors

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dc.authorid0000-0001-9428-0426
dc.authorid0000-0001-9428-0426en_US
dc.contributor.authorDemirer, Rızaen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.date.accessioned2019-04-26T01:19:58Z
dc.date.available2019-04-26T01:19:58Z
dc.date.issued2017-12
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractThis paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We show that short-term reversals, thus the payoffs to the contrarian strategy, are predictable with the market state found as the primary predictor. The reversal effect is driven by flight to quality stocks with high earnings and low price multiples during negative market states, which then gives rise to subsequent reversals in those stocks, thus predicting higher contrarian payoffs. Interestingly, oil return is found to absorb much of the predictive power of macroeconomic variables and global risk proxies. Our findings lend partial support to risk-based as well as behavioral explanations for reversals and suggest that a contrarian strategy with value stocks, conditional on the market state, could be employed within a managed fund in order to generate abnormal profits that cannot be earned by conventional models.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDemirer, R., Yüksel, A. & Yüksel, S. A. (2017). Flight to quality and the predictability of reversals: The role of market states and global factors. Research in International Business and Finance, 42, 1445-1454. doi:10.1016/j.ribaf.2017.07.082en_US
dc.identifier.doi10.1016/j.ribaf.2017.07.082
dc.identifier.endpage1454
dc.identifier.issn0275-5319en_US
dc.identifier.issn1878-3384en_US
dc.identifier.scopus2-s2.0-85024888838en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage1445
dc.identifier.urihttps://hdl.handle.net/11729/1581
dc.identifier.urihttp://dx.doi.org/10.1016/j.ribaf.2017.07.082
dc.identifier.volume42
dc.identifier.wosWOS:000416974400112en_US
dc.identifier.wosqualityQ1
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakSocial Sciences Citation Index (SSCI)en_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherElsevier Science BVen_US
dc.relation.ispartofResearch in International Business and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectReversalsen_US
dc.subjectContrarian payoffsen_US
dc.subjectEmerging marketsen_US
dc.subjectMomentum strategiesen_US
dc.subjectBusiness-Cycleen_US
dc.subjectStock returnsen_US
dc.subjectRisken_US
dc.subjectSizeen_US
dc.subjectPerformanceen_US
dc.subjectAnomaliesen_US
dc.subjectGrowthen_US
dc.titleFlight to quality and the predictability of reversals: The role of market states and global factorsen_US
dc.typeArticleen_US

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