Page 1. STOCK MARKET SEASONALITY AND END OF THE TAX YEAR EFFECT By Mustafa N. Gultekin and N. Bul... more Page 1. STOCK MARKET SEASONALITY AND END OF THE TAX YEAR EFFECT By Mustafa N. Gultekin and N. Bulent Gultekin Working Paper No. 10-82 RODNEY L. WHITE CENTER FOR FINANCIAL RESEARCH The Wharton ...
THE SUDDEN SURGE OF price increases since 1973 has revived interest in the properties of financia... more THE SUDDEN SURGE OF price increases since 1973 has revived interest in the properties of financial assets as hedges against inflation. Lintner [20], Oudet [25], Bodie [1], Jaffe and Mandelker [17], and Nelson [24] have all reported that common stocks in the US have been poor ...
... of the "universe" or "subset" of assets is as important to tests of the A... more ... of the "universe" or "subset" of assets is as important to tests of the APT model as the misspecification of the market portfolio is to tests of the CAPM. 'There are only six missing observations out of 240 in Sample 2. There are none in Sample 1. Page 4. 46 The Journal of ...
ABSTRACT Associate Professor of Finance, The Wharton School, University of Pennsylvania. This pap... more ABSTRACT Associate Professor of Finance, The Wharton School, University of Pennsylvania. This paper was written while I was Visiting Associate Professor of Finance and Business Economics at the Graduate School of Business, University of Chicago. I would like to thank Marshall E. Blume, Eugene F. Fama, Irwin Friend, Mustafa N. Gultekin, Joel Hasbrouck, and especially Michael J. Brennan, Anthony M. Santomero and Stephen Figlewski for their helpful comments. Mustafa N. Gultekin also provided invaluable programming help. The errors are mine.
... Helpful comments and suggestions were received from Eugene Fama, the referees of this journal... more ... Helpful comments and suggestions were received from Eugene Fama, the referees of this journal, and especially Merton Miller. Dorothy Bower and Richard P. McNeil pro-vided valuable assistance and computer programming skills. ...
In a seminal paper, Black and Scholes [3] presented a closed-form valuation model for European op... more In a seminal paper, Black and Scholes [3] presented a closed-form valuation model for European options. Merton [11] later demonstrated that the Black-Scholes model for valuing European call options is equally applicable to American call options written on stocks that do not pay ...
Page 1. STOCK MARKET SEASONALITY AND END OF THE TAX YEAR EFFECT By Mustafa N. Gultekin and N. Bul... more Page 1. STOCK MARKET SEASONALITY AND END OF THE TAX YEAR EFFECT By Mustafa N. Gultekin and N. Bulent Gultekin Working Paper No. 10-82 RODNEY L. WHITE CENTER FOR FINANCIAL RESEARCH The Wharton ...
THE SUDDEN SURGE OF price increases since 1973 has revived interest in the properties of financia... more THE SUDDEN SURGE OF price increases since 1973 has revived interest in the properties of financial assets as hedges against inflation. Lintner [20], Oudet [25], Bodie [1], Jaffe and Mandelker [17], and Nelson [24] have all reported that common stocks in the US have been poor ...
... of the "universe" or "subset" of assets is as important to tests of the A... more ... of the "universe" or "subset" of assets is as important to tests of the APT model as the misspecification of the market portfolio is to tests of the CAPM. 'There are only six missing observations out of 240 in Sample 2. There are none in Sample 1. Page 4. 46 The Journal of ...
ABSTRACT Associate Professor of Finance, The Wharton School, University of Pennsylvania. This pap... more ABSTRACT Associate Professor of Finance, The Wharton School, University of Pennsylvania. This paper was written while I was Visiting Associate Professor of Finance and Business Economics at the Graduate School of Business, University of Chicago. I would like to thank Marshall E. Blume, Eugene F. Fama, Irwin Friend, Mustafa N. Gultekin, Joel Hasbrouck, and especially Michael J. Brennan, Anthony M. Santomero and Stephen Figlewski for their helpful comments. Mustafa N. Gultekin also provided invaluable programming help. The errors are mine.
... Helpful comments and suggestions were received from Eugene Fama, the referees of this journal... more ... Helpful comments and suggestions were received from Eugene Fama, the referees of this journal, and especially Merton Miller. Dorothy Bower and Richard P. McNeil pro-vided valuable assistance and computer programming skills. ...
In a seminal paper, Black and Scholes [3] presented a closed-form valuation model for European op... more In a seminal paper, Black and Scholes [3] presented a closed-form valuation model for European options. Merton [11] later demonstrated that the Black-Scholes model for valuing European call options is equally applicable to American call options written on stocks that do not pay ...
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