Deniz Ozenbas
Montclair State University
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Publication
Featured researches published by Deniz Ozenbas.
The Journal of Portfolio Management | 2010
Deniz Ozenbas; Michael S. Pagano; Robert A. Schwartz
In equity markets, the opening and closing of trading are particularly stressful periods. Ozenbas, Pagano, and Schwartz investigate the quality of price determination at these times (compared to midday periods) for large-, mid-, and smallcapitalization stocks on the NYSE, NASDAQ, and London Stock Exchange. Using three different metrics, they consistently find lower quality at both the open and the close.The deterioration of market quality at openings is greatest for large-cap stocks, but no systematic association with cap size is observed at the close. Large-cap stocks evidently lead smaller-cap stocks in finding new equilibrium values, and accentuated volatility at the open is in large part attributable to the complexities of price discovery.
Archive | 2011
Deniz Ozenbas; Michael S. Pagano; Robert A. Schwartz
For a simple reason, intra-day volatility is important not only to traders with very short holding periods, but to longer term investors as well: volatility in brief time intervals is a manifestation of the efficiency with which prices are set, and inefficient pricing can lead to unduly high execution costs for the short -run trader and the longer-run investor alike. While short period, intraday volatility has been observed to be high, the reason for its accentuation has not been adequately understood.
Archive | 2007
Luis San Vicente Portes; Deniz Ozenbas
Over the last four decades, the volatility of the firm level component of stock returns has increased relative to the market and industry components. It has also been documented that during the same period, the U.S. economy has experienced a sharp decline in the volatility of GDP growth. Do firms adjust their capital structure in response to higher idiosyncratic risk? And if so, could that affect the performance of the aggregate economy? Using a dynamic general equilibrium model we show that in the presence of larger firm-specific risk, firms shift the composition of their balance sheets towards more self-financing and away from debt. In the presence of financial accelerator-like frictions, larger idiosyncratic risk translates into greater external financing costs, steering firms to borrow less to counteract larger premia. Model simulations suggest that larger idiosyncratic risk dampens the financial accelerator and can lead to reductions in output and investment volatility of up to 10 and 13 percent, respectively; and up to a 36 percent decline in firm leverage.
The Journal of Portfolio Management | 2018
Deniz Ozenbas; Robert A. Schwartz
High-frequency trading (HFT) firms are commonly thought of as the new market makers, although, unlike traditional dealers, they have no affirmative obligation. The authors investigate the quality of HFT-provided liquidity by focusing on whether HFT firms make, with reasonable consistency, two-sided markets. They find that HFT and non-HFT firms contribute approximately equally to liquidity creation, HFT is mostly two-sided, and non-HFT is more one-sided. For the authors’ sample, the two-sided liquidity provision of HFT firms was directed mainly at volatile, large-cap stocks, and it declined sharply during extreme events (i.e., mini flash crashes). Thus, HFT firms appear to be quite selective as market makers.
Economics Letters | 2002
Christos I. Giannikos; Deniz Ozenbas
An agent optimizes over real investment and investment in information acquisition while maximizing a two-period utility that captures his ordinal certainty equivalent (OCE) preferences. Optimal investment is characterized and the impact of risk and time preferences on it is investigated.
International Finance | 2002
Deniz Ozenbas; Robert A. Schwartz; Robert A. Wood
International Business & Economics Research Journal (IBER) | 2011
Deniz Ozenbas
International journal of business and economics | 2015
Christos I. Giannikos; Hany Guirguis; Deniz Ozenbas
International Business & Economics Research Journal (IBER) | 2011
Deniz Ozenbas; Zaman Zamanian
Emerging Markets Review | 2017
A. Can Inci; Deniz Ozenbas