Turan G. Bali

Georgetown University - Robert Emmett McDonough School of Business

Robert S. Parker Chair Professor of Business Administration

3700 O Street, NW

Washington, DC 20057

United States

https://sites.google.com/a/georgetown.edu/turan-bali

SCHOLARLY PAPERS

89

DOWNLOADS
Rank 236

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Top 236

in Total Papers Downloads

80,732

SSRN CITATIONS
Rank 324

SSRN RANKINGS

Top 324

in Total Papers Citations

1,551

CROSSREF CITATIONS

1,132

Scholarly Papers (89)

1.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 4,581 (2,514)
Citation 13

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left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

2.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas, Haim Levy and Avner Wolf
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 3,865 (3,378)
Citation 3

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Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

3.
Downloads 3,538 ( 3,916)
Citation 90

Volatility Spreads and Expected Stock Returns

Number of pages: 33 Posted: 12 Nov 2007
Turan G. Bali and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 2,504 (6,860)
Citation 5

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expected returns, implied volatility, realized volatility, volatility spread

Volatility Spreads and Expected Stock Returns

Management Science, Forthcoming
Number of pages: 32 Posted: 04 Aug 2009
Turan G. Bali and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 1,034 (27,222)
Citation 20

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realized volatility, implied volatility, volatility risk, jump risk, stock returns

4.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 3,148 (4,793)
Citation 37

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

5.
Downloads 3,066 ( 5,021)
Citation 51

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Andrew Ang, Turan G. Bali and Nusret Cakici
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,513 (15,377)
Citation 11

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implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,289 (19,601)
Citation 4

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 202 (191,789)
Citation 17

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Number of pages: 96 Posted: 01 Nov 2013 Last Revised: 12 Jul 2021
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 62 (445,974)
Citation 13

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6.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,841 (5,679)
Citation 40

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 08 Aug 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,358 (18,134)
Citation 24

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idiosyncratic risk, expected stock returns, size, book-to-market, liquidity

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Number of pages: 29 Posted: 03 Mar 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,005 (28,289)
Citation 5

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idiosyncratic risk, total risk, expected stock returns, size, liquidity

8.
Downloads 2,234 ( 8,367)
Citation 1

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 15 Mar 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 1,465 (16,166)

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 52 Posted: 10 Apr 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 429 (86,480)
Citation 1

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 01 Feb 2012 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 340 (112,935)
Citation 3

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Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 1,676 (13,109)
Citation 36

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expected stock returns, maximum returns, idiosyncratic volatility, skewness

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NYU Working Paper No. FIN-08-025
Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 238 (163,940)
Citation 98

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 14 Jun 2021
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 83 (378,593)

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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 1,366 (17,992)
Citation 5

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56 Posted: 24 Jul 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 610 (56,039)
Citation 30

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 71 Posted: 22 Mar 2010 Last Revised: 09 Jul 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 1,464 (16,200)
Citation 8

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Cross-Section of Expected Returns, Risk-Neutral Skewness

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 72 Posted: 30 Jan 2012 Last Revised: 25 Apr 2012
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 420 (88,620)
Citation 20

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Cross-Section of Expected Returns, Risk-Neutral Skewness

12.
Downloads 1,680 ( 13,292)
Citation 14

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 1,216 (21,429)
Citation 1

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Expected stock returns, liquidity, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Georgetown McDonough School of Business Research Paper No. 2012-02
Number of pages: 108 Posted: 10 May 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 319 (121,115)
Citation 13

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Number of pages: 108 Posted: 15 Mar 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 145 (255,689)

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

13.
Downloads 1,601 ( 9,271)
Citation 22

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and SUSTech Business School
Downloads 1,342 (18,449)
Citation 19

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Georgetown McDonough School of Business Research Paper No. 1993304
Number of pages: 79 Posted: 30 Jan 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and SUSTech Business School
Downloads 259 (150,782)
Citation 3

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Sixth Singapore International Conference on Finance 2012 Paper
Posted: 30 Jul 2011 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and SUSTech Business School

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

14.

Option Return Predictability with Machine Learning and Big Data

Number of pages: 121 Posted: 18 Aug 2021 Last Revised: 19 Nov 2021
Georgetown University - Robert Emmett McDonough School of Business, University of Muenster - Finance Center Muenster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 1,483 (16,199)

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Machine learning, big data, option return predictability

15.

Different Strokes: Return Predictability Across Stocks and Bonds with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 81 Posted: 17 Sep 2020 Last Revised: 19 Feb 2021
Georgetown University - Robert Emmett McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and Georgetown University - Department of Finance
Downloads 1,459 (16,638)
Citation 4

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machine learning, big data, corporate bond returns, cross-sectional return predictability

16.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 1,438 (16,969)
Citation 67

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corporate bond, risk factors, downside risk, credit risk, liquidity risk

17.

Contrarian Investment, New Share Issues and Repurchases

Number of pages: 43 Posted: 15 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 1,432 (17,057)
Citation 1

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Share issues, share repurchases, contrarian investment, expected stock returns, value-to-market ratios

18.

A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?

Number of pages: 40 Posted: 11 Oct 2006
Turan G. Bali, Susan Hume and Terrence F. Martell
Georgetown University - Robert Emmett McDonough School of Business, The College of New Jersey - School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business
Downloads 1,395 (17,718)
Citation 3

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hedging, derivatives use, risk management, risk exposure

19.

Testing Mean Reversion in Stock Market Volatility

Journal of Futures Markets, Vol. 28, No. 1, pp. 1-33, 2008
Number of pages: 36 Posted: 17 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 1,384 (17,963)

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reversion, fat-tailed distributions, diffusion, GARCH, stochastic volatility

20.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,382 (17,999)
Citation 33

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

21.
Downloads 1,271 ( 20,372)
Citation 8

Investigating ICAPM with Dynamic Conditional Correlations

AFA 2009 San Francisco Meetings Paper
Number of pages: 61 Posted: 04 Feb 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 1,032 (27,260)
Citation 9

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

Investigating Icapm with Dynamic Conditional Correlations

NYU Working Paper No. FIN-07-051
Number of pages: 67 Posted: 13 Nov 2008
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 239 (163,227)

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

22.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Turan G. Bali, Massoud Heidari and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,254 (20,791)
Citation 9

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Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

23.

Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing?

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 67 Posted: 12 Mar 2014 Last Revised: 03 Feb 2020
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,240 (21,135)
Citation 3

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dispersion in economic forecasts, mispricing, disagreement risk, cross-section of stock returns, return predictability

24.
Downloads 1,230 ( 21,368)
Citation 5

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 30 Jan 2012 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 794 (39,354)
Citation 6

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expected market returns, volatility spreads, variance risk premia, information based explanation

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 10 Mar 2011 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 436 (84,817)
Citation 3

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expected market return, variance risk premium, implied volatility spreads, conditional skewness

25.

Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?

Number of pages: 66 Posted: 18 Feb 2010 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,199 (22,227)
Citation 27

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Hedge Funds, Return Predictability, Risk Factors

Unusual News Events and the Cross-Section of Stock Returns

Number of pages: 66 Posted: 18 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 714 (45,428)
Citation 5

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unusual news events, volatility shocks, differences of opinion

Unusual News Events and the Cross-Section of Stock Returns

UC Davis Graduate School of Management Research Paper No. 10-09
Number of pages: 66 Posted: 27 Jan 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 466 (78,338)
Citation 5

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idiosyncratic volatility shocks, unusual news events, divergence of opinion

27.

Value at Risk and the Cross-Section of Hedge Fund Returns

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 18 Mar 2005
Turan G. Bali, Suleyman Gokcan and Bing Liang
Georgetown University - Robert Emmett McDonough School of Business, Citigroup Alternative Investments and University of Massachusetts Amherst - Department of Finance
Downloads 1,148 (23,696)
Citation 7

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hedge funds, value at risk, cross-section of expected returns, liquidity

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 38 Posted: 09 Mar 2011 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 542 (64,926)
Citation 1

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 19 Dec 2011
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 226 (172,414)
Citation 1

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hedge funds, systematic risk, residual risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 15 Mar 2011 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 211 (184,096)
Citation 1

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 29 Jan 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 99 (338,450)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 10 Nov 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 537 (65,685)
Citation 4

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G12; G13; C51

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 322 (119,875)
Citation 5

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ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

NYU Working Paper No. FIN-08-037
Number of pages: 56 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 206 (188,250)

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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Number of pages: 85 Posted: 12 Jun 2010 Last Revised: 07 Jul 2012
Linda Allen, Turan G. Bali and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 841 (36,301)
Citation 27

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Georgetown McDonough School of Business Research Paper No. 1993312
Number of pages: 85 Posted: 30 Jan 2012 Last Revised: 14 Jul 2015
Turan G. Bali, Linda Allen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 222 (175,416)
Citation 31

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Cyclicality in Catastrophic and Operational Risk Measurements

Number of pages: 51 Posted: 18 Feb 2004
Turan G. Bali and Linda Allen
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 760 (41,752)
Citation 14

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution.

Cyclicality in Catastrophic and Operational Risk Measurements

NYU Working Paper No. FIN-04-019
Number of pages: 51 Posted: 03 Nov 2008
Linda Allen and Turan G. Bali
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Georgetown University - Robert Emmett McDonough School of Business
Downloads 185 (207,692)

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution

32.

A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Turan G. Bali and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business and Syracuse University
Downloads 951 (31,068)

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extreme value, realized volatility, high-frequency returns, GARCH, implied volatility

33.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 917 (32,726)
Citation 16

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Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

34.

Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR

Number of pages: 31 Posted: 06 Sep 2006
Turan G. Bali, Henry Mo and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Credit Suisse - Fixed Income Division and Fordham University - Gabelli School of Business
Downloads 891 (34,025)
Citation 5

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conditional value at risk, GARCH, skewed generalized t distribution, conditional skewness and kurtosis

35.

Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data

Number of pages: 39 Posted: 03 Oct 2006
Turan G. Bali and Lin Peng
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 868 (35,298)
Citation 5

Abstract:

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ICAPM, intraday data, stock market volatility, stock market returns, risk-return tradeoff

36.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 835 (37,275)
Citation 19

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Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors

37.

Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 3, pp. 657-684, 2008
Number of pages: 48 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Hassan Tehranian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Boston College - Department of Finance
Downloads 812 (38,702)

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earnings, dividends, stock returns, market returns, predictability, business cycle

38.

Long-Term Reversals in the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 17 Mar 2019 Last Revised: 24 Dec 2019
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 807 (39,073)
Citation 15

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Corporate bonds, long-term reversal

39.

The Conditional CAPM Explains the Value Premium

Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of pages: 41 Posted: 18 Nov 2012 Last Revised: 25 Mar 2014
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 798 (39,630)
Citation 4

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Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta

40.
Downloads 795 ( 39,844)
Citation 21

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 23 Oct 2013 Last Revised: 10 Feb 2014
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 468 (77,909)
Citation 19

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hedge funds, mutual funds, macroeconomic risk, economic uncertainty

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 20 Mar 2013 Last Revised: 18 Feb 2014
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 327 (117,932)
Citation 1

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hedge funds, economic uncertainty, risk factors, return predictability

41.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 768 (41,770)

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mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

42.
Downloads 728 ( 44,874)
Citation 7

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 44 Posted: 10 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 379 (99,793)
Citation 6

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 34 Posted: 07 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 349 (109,613)

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM

43.

Riskiness Measures and Expected Returns

Number of pages: 51 Posted: 11 Apr 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 728 (44,874)
Citation 2

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Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns

44.

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Number of pages: 56 Posted: 16 Mar 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 705 (46,837)
Citation 1

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ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance

45.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 700 (47,252)
Citation 3

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idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

46.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 54 Posted: 01 Jun 2017 Last Revised: 06 Apr 2020
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 698 (47,563)
Citation 5

Abstract:

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Economic uncertainty, risk premia, corporate bond returns

47.

Corporate Financing Activities and Contrarian Investment

Review of Finance, Vol. 14, No. 3, pp. 543-584, 2010, Georgetown McDonough School of Business Research Paper
Number of pages: 45 Posted: 18 Jul 2009 Last Revised: 19 Apr 2013
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 669 (50,194)
Citation 2

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48.

A Comprehensive Analysis of the Short-Term Interest Rate Dynamics

Number of pages: 33 Posted: 15 Apr 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 632 (54,123)
Citation 1

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Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 09 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 204 (190,001)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 85 (373,176)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Georgetown McDonough School of Business Research Paper No. 1993287
Number of pages: 54 Posted: 30 Jan 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 84 (375,880)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 78 (392,981)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 71 (414,708)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper
Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 53 (481,105)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 04 Sep 2021
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 31 (592,527)
Citation 7

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50.

Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility

Number of pages: 83 Posted: 27 May 2017 Last Revised: 28 Mar 2019
Georgetown University - Robert Emmett McDonough School of Business, ESADE Business School, Cyprus University of Technology and University of Cyprus - Department of Public and Business Administration
Downloads 570 (61,606)
Citation 2

Abstract:

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Stock Market Anomalies, Stock Returns, Growth Options, Profitability, Lotteryness, Distress, Idiosyncratic Volatility, Idiosyncratic Skewness

51.

Unusual News Flow and the Cross-Section of Stock Returns

Georgetown McDonough School of Business Research Paper No. 2820320, Gabelli School of Business, Fordham University Research Paper No. 2820320
Number of pages: 56 Posted: 12 Aug 2016 Last Revised: 15 Nov 2016
Turan G. Bali, Andriy Bodnaruk, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, University of Illinois at Chicago, Brandeis University and Fordham University - Gabelli School of Business
Downloads 516 (69,898)
Citation 6

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Unusual News Flow, Volatility Shocks, Short Sale Constraints, Market Efficiency

52.

Investor Regret and Stock Returns

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 84 Posted: 19 Jun 2018 Last Revised: 02 Jul 2021
Yakup Eser Arısoy, Turan G. Bali and Yi Tang
NEOMA Business School, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 482 (76,143)
Citation 1

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Regret theory, investor attention, limited attention capacity, investor sophistication, informed trading, informational frictions, limits-to-arbitrage, costly arbitrage, equity returns.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Journal of Financial Economics, Forthcoming, Georgetown McDonough School of Business Research Paper No. 3401231
Number of pages: 73 Posted: 21 Jun 2019 Last Revised: 27 Apr 2021
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 427 (87,196)
Citation 2

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corporate bonds, systematic risk, idiosyncratic volatility, risk-return tradeoff.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Number of pages: 63 Posted: 26 Jun 2019 Last Revised: 19 Nov 2021
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 11 (745,560)
Citation 1

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54.

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Georgetown McDonough School of Business Research Paper No. 3664501
Number of pages: 69 Posted: 12 Aug 2020 Last Revised: 29 Nov 2021
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 406 (92,967)
Citation 1

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low risk anomalies, individual investors, idiosyncratic volatility, lottery stocks, skewness preference, optimism, investor attention

55.

Value Uncertainty

Georgetown McDonough School of Business Research Paper No. 3299582
Number of pages: 91 Posted: 02 Jan 2019 Last Revised: 05 Oct 2020
Georgetown University - Robert Emmett McDonough School of Business, ESADE Business School, Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF) and University of Cyprus - Department of Public and Business Administration
Downloads 398 (95,072)
Citation 1

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Real Options, value stocks, book-to-market uncertainty, equity returns

56.

Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance

Journal of Portfolio Management, Vol. 32, No. 3, pp. 80-92, 2006
Number of pages: 28 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Baruch College - Zicklin School of Business and Raymond A. Mason School of Business - William & Mary
Downloads 396 (95,599)

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A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Fisher College of Business Working Paper No. 2012-03-009, Charles A. Dice Center Working Paper No. 2012-9
Number of pages: 61 Posted: 10 May 2012 Last Revised: 06 Sep 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 205 (189,063)
Citation 5

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Number of pages: 58 Posted: 12 Apr 2012 Last Revised: 01 May 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 173 (220,288)
Citation 1

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity

58.

Upside Potential of Hedge Funds as a Predictor of Future Performance

Georgetown McDonough School of Business Research Paper No. 2661752
Number of pages: 80 Posted: 18 Sep 2015 Last Revised: 08 Nov 2018
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 344 (112,191)

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hedge funds; upside potential; return predictability

59.

The Intertemporal Relation between Expected Return and Risk on Currency

Number of pages: 37 Posted: 13 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Kamil Yilmaz
Georgetown University - Robert Emmett McDonough School of Business and Koc University
Downloads 336 (115,209)
Citation 37

Abstract:

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foreign exchange market, ICAPM, high-frequency data, time-varying risk aversion

60.

Systematic and Idiosyncratic Risk in the Cross-Section of Price Target Expected Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 49 Posted: 14 Nov 2012 Last Revised: 04 Jun 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 326 (119,051)
Citation 1

Abstract:

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Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness

61.

In Search of a Factor Model for Optionable Stocks

Georgetown McDonough School of Business Research Paper No. 3487947
Number of pages: 150 Posted: 01 Dec 2019 Last Revised: 06 Feb 2021
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 319 (121,849)
Citation 1

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Optionable stocks, factor model, cross section of stock returns

62.

Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices

Number of pages: 55 Posted: 25 Jul 2017 Last Revised: 18 May 2020
Turan G. Bali, Craig Nichols and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business, Syracuse University and Syracuse University
Downloads 297 (131,504)

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equity premium; future earnings response coefficients; valuation models

63.

Small Sample Bias in Panel Data

Finance Letters, 2007, 5(2), 17-21
Number of pages: 9 Posted: 18 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 279 (140,306)

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64.

Hedge Funds and the Positive Idiosyncratic Volatility Effect

Georgetown McDonough School of Business Research Paper No. 3292347, University of St.Gallen, School of Finance Research Paper
Number of pages: 64 Posted: 12 Dec 2018 Last Revised: 27 Sep 2021
Turan G. Bali and Florian Weigert
Georgetown University - Robert Emmett McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 278 (141,386)
Citation 1

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Hedge Funds, Idiosyncratic Volatility Puzzle, Equity Portfolio Holdings, Derivatives, Managerial Incentives, Investment Performance

65.

The Risk-Neutral Distribution of Option Returns

Georgetown McDonough School of Business Research Paper No. 2902209
Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 26 Feb 2017
Georgetown University - Robert Emmett McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 265 (148,432)
Citation 1

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Risk-Neutral Distribution, Option Returns

66.

Investigating ICAPM in International Futures Markets

Review of Futures Markets, 2011, 19(3), 195-216
Number of pages: 18 Posted: 15 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali, K. Ozgur Demirtas and Kishore Tandon
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 256 (153,069)

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stock index futures, international futures markets, risk-return tradeoff, GARCH-in-mean.

67.

Predictability of Risk Measures in International Stock Markets

Stock Market Volatility, pp. 313-322, March 2009
Number of pages: 15 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 252 (155,559)

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68.

Private Subsidiaries’ Information Disclosure and the Cross-Sectional Equity Returns of Public Parent Firms

Number of pages: 61 Posted: 18 Nov 2019 Last Revised: 20 Jul 2021
Turan G. Bali, Ran Chang, Zilin Chen and Jun Tu
Georgetown University - Robert Emmett McDonough School of Business, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Southwestern University of Finance and Economics (SWUFE) - School of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 249 (157,399)

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Private subsidiaries; public parent firms; limited attention; limits to arbitrage; return predictability.

69.

Analyst Price Target Expected Returns and Option Implied Risk

Georgetown McDonough School of Business Research Paper No. 2516937
Number of pages: 71 Posted: 01 Nov 2014 Last Revised: 07 Jan 2015
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 246 (159,257)

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

70.

World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets

Number of pages: 46 Posted: 15 Oct 2009
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 242 (161,798)
Citation 12

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international equity returns, country-specific risk, idiosyncratic risk, systematic risk

71.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 227 (172,838)
Citation 8

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

72.

Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?

Journal of Financial and Quantitative Analysis, forthcoming, NYU Stern School of Business, Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 70 Posted: 08 Mar 2019 Last Revised: 06 Oct 2020
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 217 (179,589)

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hedge funds; timing ability; industry returns

73.

Firm Growth Potential and Option Returns

Number of pages: 61 Posted: 14 Jul 2021
Cyprus University of Technology, Georgetown University - Robert Emmett McDonough School of Business, Lancaster University - Department of Accounting and Finance and Cyprus University of Technology
Downloads 160 (236,433)

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Option returns, Growth potential, Growth options, Idiosyncratic skewness, Skewness preference

74.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 151 (246,782)
Citation 1

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downside risk, tail risk, left-tail momentum, equity returns, international finance

75.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 134 (271,404)

Abstract:

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

76.

Labor Market Networks and Asset Returns

Number of pages: 59 Posted: 27 Oct 2021
Georgetown University - Robert Emmett McDonough School of Business, Case Western Reserve University - Weatherhead School of Management, Northeastern University and Georgetown University - Robert Emmett McDonough School of Business
Downloads 121 (296,227)

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Labor network, labor productivity, cross section of stock returns.

77.

Preference for Positive Skewness and Expected Stock Returns

Number of pages: 36 Posted: 20 Mar 2007
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 67 (422,778)

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skewness preference, idiosyncratic skewness, systematic skewness, expected stock returns

78.

Asymmetric Crime Cycles

Number of pages: 42 Posted: 26 Apr 2005 Last Revised: 20 Aug 2021
Turan G. Bali and Naci H. Mocan
Georgetown University - Robert Emmett McDonough School of Business and Louisiana State University, Baton Rouge - Department of Economics
Downloads 54 (469,406)
Citation 5

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79.

Risk Measurement Performance of Alternative Distribution Functions

Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 411-437, June 2008
Number of pages: 27 Posted: 08 May 2008
Turan G. Bali and Panayiotis Theodossiou
Georgetown University - Robert Emmett McDonough School of Business and Cyprus University of Technology
Downloads 3 (780,679)
Citation 1
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80.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

9th Miami Behavioral Finance Conference 2018, Baruch College Zicklin School of Business Research Paper No. 2019-03-01, Georgetown McDonough School of Business Research Paper No. 3343769
Number of pages: 69 Posted: 15 Mar 2019
Georgetown University - Robert Emmett McDonough School of Business, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 997

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lottery stocks, investor attention, social interactions, social network, MAX, skewness, retail investors.

81.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (819,021)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance

82.

Aggregate Idiosyncratic Risk and Market Returns

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006
Posted: 29 Nov 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university

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Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns

83.

Value at Risk and Expected Stock Returns

Financial Analysts Journal, Vol. 60, No. 2, pp. 57-73, March/April 2004
Posted: 07 May 2004
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham university

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Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios

84.

An Empirical Comparison of Continuous Time Models of the Short Term Interest Rate

Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

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85.

Modeling the Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH and Moving Average Models

Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

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86.

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Posted: 23 Mar 2001
Turan G. Bali and Salih N. Neftci
Georgetown University - Robert Emmett McDonough School of Business and CUNY Baruch College

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Volatility, extremes, term structure of interest rates

87.

Pricing Eurodollar Futures Options Using the Bdt Term Structure Model: The Effect of Yield Curve Smoothing

Posted: 10 Feb 2001
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

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88.

Implementation of the Bdt Model with Different Volatility Estimators: Applications to Eurodollar Futures Options

Posted: 23 Sep 2000
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

Abstract:

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89.

Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate

Posted: 10 Jul 2000
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

Abstract:

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