Bilgiye Erişim Merkezi ne Yeni Gelen Yayınlar

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1 2211 AAĞĞUUSSTTOOSS CCUUMAA SSAAYYI II: : Bilgiye Erişim Merkezi ne Yeni Gelen Yayınlar Salı konferansları. Ankara: SPK, İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 1

2 Nural, Ali. -- Ekonomik etkili gümrük rejimleri / Ali Nural, Remzi Akçin. İstanbul: Zemin Danışmanlık ve Dış Ticaret Eğitim Merkezi, Resmi Gazete YÜRÜTME VE İDARE BÖLÜMÜ MİLLETLERARASI ANDLAŞMALAR 2009/15294 Avrupa Orta Vadeli Hava Tahminleri Merkezini Oluşturan Düzeltilmiş Sözleşme ye Katılmamız Hakkında Karar 2009/15295 Avrupa Orta Vadeli Hava Tahminleri Merkezi İmtiyazları ve Dokunulmazlıklarına Dair Düzeltilmiş Protokol e Katılmamız Hakkında Karar YÖNETMELİKLER Hazine Müsteşarlığı Sigorta Denetleme Kurulu Yönetmeliği Vadeli İşlem ve Opsiyon Borsası Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik Vadeli İşlem ve Opsiyon Borsalarının Kuruluş ve Çalışma Esasları Hakkında Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik Kıymetli Madenler Borsalarının Kuruluş ve Çalışma Esasları Hakkında Genel Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik Adalet Bakanlığı Burslu Öğrenci Yönetmeliğinin Yürürlükten Kaldırılmasına Dair Yönetmelik Adalet Meslek Lisesi Yönetmeliğinin Yürürlükten Kaldırılmasına Dair Yönetmelik Taşınmaz Malların Sınırlandırma, Tespit ve Kontrol İşleri Hakkındaki Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik Kadastro Bilirkişileri Hakkında Yönetmelikte Değişiklik Yapılmasına Dair Yönetmelik İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 2

3 Karayolu Taşıma Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik Türk Standartları Enstitüsü Personel Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik Acıbadem Üniversitesi Önlisans ve Lisans Eğitim, Öğretim ve Sınav Yönetmeliği Acıbadem Üniversitesi Lisansüstü Eğitim, Öğretim ve Sınav Yönetmeliği Beykent Üniversitesi Lisansüstü Eğitim ve Öğretim Yönetmeliği İzmir Ekonomi Üniversitesi Afrika Stratejik Araştırmalar Uygulama ve Araştırma Merkezi (EKOAF) Yönetmeliği İzmir Ekonomi Üniversitesi Liderlik ve Yönetişim Uygulama ve Araştırma Merkezi (EKOLİDER) Yönetmeliği TEBLİĞLER Yapı Malzemeleri Yönetmeliği (89/106/EEC) Kapsamında Uygulanacak Teknik Şartnamelerin Yayımlanması Hakkında Tebliğin Değiştirilmesine Dair Tebliğ (No: YİG/ ) Preselenmiş Pamukların Tek Balya Standardizasyonuna ve Kontrolüne İlişkin Tebliğ (No: 2009/37) Preselenmiş Pamukların Standardizasyonuna İlişkin Tebliğ in Bazı Maddelerinin Değiştirilmesine İlişkin Tebliğ (No: 2009/38) Yabancı Kitap Ve Süreli Yayınlar Journal of Financial Economics Volume 92, Issue 1, Pages (April 2009) The on-the-run liquidity phenomenon Pages 1-24 Paolo Pasquariello, Clara Vega We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions information heterogeneity and imperfect competition among informed traders and a public signal. Our evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds intrinsic characteristics (such as duration, convexity, repo rates, or term premiums), and (ii) off/on-the-run liquidity differentials are smaller immediately following bond auction dates, and larger when the uncertainty surrounding the ensuing auction allocations is high, when the dispersion of beliefs across informed traders is high, and when macroeconomic announcements are noisy, consistent with our model. 2. A model of the on-the-run liquidity phenomenon 2.1. The basic model İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 3

4 Market participants and trading Equilibrium Testable implications 2.2. Extension: a public signal Additional testable implications 3. Data description 3.1. Bond market data 3.2. Macroeconomic data 4. Empirical analysis 4.1. The benchmark on-the-run liquidity phenomenon 4.2. Endowment shocks 4.3. The informational role of trading 4.4. Macroeconomic news 5. Conclusions Appendix Performance evaluation and self-designated benchmark indexes in the mutual fund industry Pages Berk A. Sensoy Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these mismatched benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be rational responses to abnormal returns. The evidence is consistent with the notion that mismatched self-designated benchmarks result from strategic fund behavior driven by the incentive to improve flows. İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 4

5 2. Data 3. Comparison of funds and their benchmarks 3.1. Covariance comparisons 3.2. Characteristics comparisons 3.3. Mismatched and corrected benchmarks 4. Fund investor reaction to mismatched self-designated benchmarks 4.1. Does performance relative to a mismatched self-designated benchmark influence fund flows? 4.2. Interpreting the results on flows 4.3. Magnitude of incremental flows 5. Are mismatched self-designated benchmarks strategic? 6. Conclusions Product market advertising and new equity issues Pages Thomas Chemmanur, An Yan We analyze the interaction between a firm's product market advertising and its corporate financing decisions. We consider a firm that faces asymmetric information in both the product and financial markets and that needs to raise external financing to fund its growth opportunity (new project). Any product market advertising undertaken by the firm is visible to the financial market as well. In equilibrium, the firm uses a combination of product market advertising, equity underpricing, and underfinancing (raising a smaller amount of external capital than the full information optimum) to convey its true product quality and the intrinsic value of its projects to consumers and investors. The following two predictions arise from our theoretical analysis for the relation between product market advertising and equity underpricing around new equity issues. First, firms choose a higher level of product market advertising when they are planning to issue new equity, compared with situations in which they have no immediate plans to do so. Second, product market advertising and equity underpricing are substitutes for a firm issuing new equity. We empirically test the above two İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 5

6 predictions and find supporting evidence in the context of firms making initial public offerings and seasoned equity offerings. 2. Theoretical framework 2.1. Information structure in the product and financial markets 2.2. The firm's product and the product market 2.3. The firm's projects and the financial market 2.4. The firm's objective 3. Equilibrium choice of signaling mix and testable hypotheses 3.1. Trade-offs driving the equilibrium 3.2. Equilibrium choice of signals 3.3. Empirical implications and testable hypotheses 4. Sample selection 4.1. IPO sample and variables 4.2. SEO sample and variables 4.3. Matching firms for IPO and SEO samples 5. Empirical results for IPO firms 5.1. Change in advertising expenditures around IPOs: univariate tests IPO years versus non-ipo years IPO firms versus matching firms Robustness checks 5.2. Change in advertising expenditures around IPOS: multivariate analysis Advertising intensity in IPO firms Advertising intensity in matching firms 5.3. Advertising and IPO underpricing as substitutes 6. Empirical results for SEO firms 6.1. Change in advertising expenditures around SEOs: univariate tests 6.2. Change in advertising expenditures around SEOS: multivariate analysis 6.3. Advertising and SEO underpricing as substitutes 7. Alternative explanations 8. Conclusion İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 6

7 Caught on tape: Institutional trading, stock returns, and earnings announcements Pages John Y. Campbell, Tarun Ramadorai, Allie Schwartz Many questions about institutional trading can only be answered if one tracks highfrequency changes in institutional ownership. In the United States, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the tape, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best predicts quarterly 13-F data from trades of different sizes. We find that daily institutional trades are highly persistent and respond positively to recent daily returns but negatively to longer-term past daily returns. Institutional trades, particularly sells, appear to generate short-term losses possibly reflecting institutional demand for liquidity but longerterm profits. One source of these profits is that institutions anticipate both earnings surprises and post-earnings announcement drift. These results are different from those obtained using a standard size cutoff rule for institutional trades Related literature 2. Data 2.1. CRSP data 2.2. TAQ data 2.3. Spectrum data 3. Inferring institutional trading behavior 3.1. Cutoff rules 3.2. Why is a regression method better? 3.3. Basic regression method 3.4. The information in trade size 4. Daily institutional flows and returns 4.1. Constructing daily institutional flows İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 7

8 4.2. A VAR for flows and returns 5. Institutional flows and earnings announcements 5.1. Do institutions trade differently around earnings announcements? 5.2. Institutional trading and PEAD 6. Conclusion Appendix A. Buy sell classification Appendix B. Spectrum institutional ownership data Appendix C. Robustness of bin definition Appendix D. Institutional trading around earnings announcements Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry Pages Alexander Kempf, Stefan Ruenzi, Tanja Thiele We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the relative importance of these incentives. When employment risk is more important than compensation incentives, fund managers with a poor midyear performance tend to decrease risk relative to leading managers to prevent potential job loss. When employment risk is low, compensation incentives become more relevant and fund managers with a poor midyear performance increase risk to catch up with the midyear winners. 2. Methodology 2.1. Data 2.2. Construction of the intended risk taking variable 3. Employment and compensation incentives as drivers of risk taking 3.1. Contingency table approach İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 8

9 3.2. Regression approach 3.3. Influence of the strength of the incentives 4. Additional drivers of risk taking 4.1. Impact of risk surprises 4.2. Impact of fund characteristics 4.3. Impact of manager tenure 5. Conclusion Appendix A. Matching process Appendix B. Calculation of intended and realized risk Neighborhood matters: The impact of location on broad based stock option plans Pages Simi Kedia, Shiva Rajgopal We find that fixed effects related to the location of firms headquarters explain variation in broad based option grants after controlling for industry effects and firm characteristics traditionally known to affect option granting. Location matters because of local labor market conditions and social interaction with neighboring firms. Broad based option grants are higher: (i) when a firm's stock prices co-move more with stock prices of other firms located in that Metropolitan Statistical Area (MSA); (ii) in states that are less likely to enforce non-compete agreements; and (iii) in MSAs where employees prefer options because stocks there experience abnormally high returns. 2. Location matters 2.1. Data 2.2. Firm-level evidence 3. Why does location matter? 3.1. Local labor markets Tight labor markets Oyer's wage indexation theory İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 9

10 Non-compete agreements Sorting theories Control variables Results Robustness tests Non-parametric specification of control variables Local competition for workers Alternate measure of broad based option usage Geographically dispersed industries Results from sub-periods 3.2. Influence of other firms in the neighborhood 3.3. California effect? 4. Industrial clusters 5. Top executive options 6. Conclusions On the reversal of return and dividend growth predictability: A tale of two periods Pages Long Chen A disconcerting, albeit generally accepted, finding is that aggregate stock returns are predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then show a dramatic reversal of predictability in the 134 years during : stock returns are largely unpredictable in the first seven decades, but become predictable in the postwar period; dividend growth is strongly predictable in the prewar years but this predictability disappears in the postwar years. New evidence on the predictability of long-run returns and dividend growth is also shown. 2. Dividend growth calculation and data summary İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 10

11 2.1. The rationale 2.2. Measurement Monthly variables at monthly frequency Annual variables at annual frequency 2.3. Data and summary Data summary Correlations 3. Regression evidence 3.1. Linear in-sample regressions 3.2. Out-of-sample regressions 3.3. Joint hypothesis testing The framework Cochrane (2008) with reinvested dividends Cochrane (2008) with unreinvested dividends Other periods Long-run regression 4. What could explain the prediction reversal? 4.1. Different firms 4.2. Unstable corporate policy 4.3. Reduced cash flow volatility 5. Concluding remarks Appendix A. Predictive equations Appendix B. Small sample bias, size, and power İİ SS MM MM MM OO BB i l gg i yy ee EE rr i şş im i MM ee rr kk ee zz i 11