Nusret Cakici

Fordham University

Professor of Finance

Fordham University

Graduate School of Business

New York, NY 10023

United States

  • Fordham University

SCHOLARLY PAPERS

42

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765

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712

Scholarly Papers (42)

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1.

The Joint Cross Section of Stocks and Options

Downloads 3,019 ( 4,856)
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 1,502 (14,747)
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 1,256 (19,419)
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 (184,528)
Citation 19

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

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590
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 59 (441,070)
Citation 13

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2.

The Five-Factor Fama-French Model: International Evidence

Number of pages: 51 Posted: 03 May 2015 Last Revised: 15 Oct 2015
Nusret Cakici
Fordham University
Downloads 2,541 (6,468)
Citation 9

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3.

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Downloads 2,341 ( 7,359)
Citation 155

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 1,338 (17,680)
Citation 23

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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 1,003 (27,123)
Citation 5

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

4.

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

Downloads 1,957 ( 9,865)
Citation 251

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 1,640 (12,861)
Citation 39

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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 235 (159,537)
Citation 115

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

NBER Working Paper No. w14804
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 82 (367,699)

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5.

The Magic Formula: Value, Profitability, and the Cross Section of Global Stock Returns

Number of pages: 39 Posted: 22 Apr 2017 Last Revised: 29 Oct 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham University
Downloads 1,864 (10,660)

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return predictability, profitability, value, magic formula, cross-section of returns

6.

Cross-Sectional Stock Return Predictability in China

Number of pages: 42 Posted: 11 Apr 2012
Nusret Cakici, Kalok Chan and Kudret Topyan
Fordham University, CUHK Business School and Manhattan College - Department of Economics and Finance
Downloads 806 (37,352)
Citation 11

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Chinese stock returns, Stock return predictors, Momentum, Stock Cheapness

7.

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 726 (43,116)
Citation 2

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

8.

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 699 (45,370)
Citation 3

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

9.

Size, Value, and Momentum in Emerging Market Stock Returns

Fordham University Schools of Business Research Paper No. 2070832
Number of pages: 40 Posted: 30 May 2012 Last Revised: 11 Sep 2012
Nusret Cakici, Frank J. Fabozzi and Sinan Tan
Fordham University, EDHEC Business School and Fordham University - Gabelli School of Business
Downloads 641 (50,844)
Citation 14

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10.

Do the Size, Value, and Momentum Factors Drive Stock Returns in Emerging Markets?

Number of pages: 47 Posted: 04 Feb 2016 Last Revised: 06 Jun 2016
Nusret Cakici, Yi Tang and An Yan
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 627 (52,393)
Citation 3

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Emerging markets, cross-sectional stock returns, market comovements

11.

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

Downloads 597 ( 55,759)
Citation 19

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 201 (185,436)

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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?

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 (362,330)

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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 83 (365,006)

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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 (378,858)

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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 (399,854)

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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 (464,216)

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

NBER Working Paper No. w19460
Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 05 Mar 2021
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 27 (597,524)
Citation 7

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12.

Size, Value, and Momentum in Developed Country Equity Returns: Macroeconomic and Liquidity Exposures

Number of pages: 60 Posted: 06 Dec 2013 Last Revised: 07 Dec 2013
Nusret Cakici and Sinan Tan
Fordham University and Fordham University - Gabelli School of Business
Downloads 568 (59,314)
Citation 4

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developed international equity markets, value effect, momentum effect, macroeconomic risk, liquidity risk

13.

Overreaction and the Cross-Section of Returns: International Evidence

Journal of Empirical Finance, Vol. 42, 2017, Gabelli School of Business, Fordham University Research Paper No. 2800188
Number of pages: 40 Posted: 25 Jun 2016 Last Revised: 23 Apr 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham University
Downloads 540 (63,235)
Citation 4

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Return predictability, overreaction, long-term reversals, market efficiency, cross-section of returns, international asset pricing

14.

Alternative Profitability Measures and Cross Section of Expected Stock Returns: International Evidence

Number of pages: 37 Posted: 18 May 2017 Last Revised: 04 Jun 2020
Nusret Cakici, Sris Chatterjee, Yi Tang and Lin Tong
Fordham University, Fordham University - Gabelli School of Business, Fordham University - Gabelli School of Business and Fordham University - Finance Area
Downloads 508 (68,213)
Citation 3

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Profitability, enterprise value, behavioral finance, international asset pricing

15.

Frontier Stock Markets: Local vs Global Factors

Gabelli School of Business, Fordham University Research Paper No. 2930491
Number of pages: 39 Posted: 10 Mar 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham University
Downloads 421 (85,554)
Citation 1

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Frontier markets, Cross-section of returns, International asset pricing, Fama-French factors, Momentum, Value premium, Size effect

16.

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

Downloads 378 ( 96,921)
Citation 5

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 (181,952)
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 (211,931)
Citation 1

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

17.

Recency Bias and the Cross-Section of International Stock Returns

Number of pages: 52 Posted: 01 May 2021 Last Revised: 29 Jun 2021
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 251 (150,133)

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chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets; individualism, shareholder protection, market crashes

18.

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 241 (156,182)
Citation 12

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

19.

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
Turan G. Bali, Nusret Cakici, Fousseni Chabi-Yo and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 237 (158,730)
Citation 1

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Risk-Neutral Distribution, Option Returns

20.

Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns

Number of pages: 29 Posted: 01 Jun 2017 Last Revised: 08 Jun 2019
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham University
Downloads 166 (219,454)
Citation 1

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Global return predictability, Cross-section of returns, Book-to-market, Net share issues

21.

Tangible and Intangible Information in Emerging Markets

Number of pages: 56 Posted: 22 Sep 2017 Last Revised: 29 Oct 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham University
Downloads 164 (221,748)

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Book-to-market decomposition, Value effect, Emerging markets, Tangible information, Intangible information, Overreaction

22.

Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence

Number of pages: 60 Posted: 17 Dec 2020 Last Revised: 06 Feb 2021
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 151 (237,546)

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salience theory, probability weighting, microcaps, asset pricing, firm size, return predictability, equity anomalies, international markets, replication

23.

Yield Curve Shifts and the Cross-Section of Global Equity Returns

Number of pages: 54 Posted: 27 Feb 2021 Last Revised: 06 Jul 2021
Adam Zaremba, Nusret Cakici, Robert J. Bianchi and Huaigang Long
Montpellier Business School, Fordham University, Griffith University and Zhejiang University
Downloads 133 (262,860)

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yield curve, government bonds, country equity indexes, interest rates, international markets, asset pricing, return predictability, the cross-section of stock returns

24.

Equity Options During the Short Ban of 2008

Fordham University Schools of Business Research Paper No. 2010-004, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 63 Posted: 27 Aug 2010 Last Revised: 21 Oct 2010
Nusret Cakici, Sinan Tan and Gautam Goswami
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Finance Area
Downloads 112 (297,879)
Citation 1

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Equity Options, Capital Markets, Short Sales

25.

Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?

Journal of Investing, Forthcoming
Number of pages: 36 Posted: 25 May 2021
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 104 (313,451)
Citation 2

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Five-Factor Model, Size, Value, Profitability, Investment, Asset Pricing, International Stock Markets, Small-Minus-Big (SMB), High-Minus-Low (HML), Robust-Minus-Weak (RMW), Conservative-Minus-Aggressive (CMA)

26.

Misery on Main Street, Victory on Wall Street: Economic Discomfort and the Cross-Section of Global Stock Returns

Number of pages: 49 Posted: 17 Dec 2020 Last Revised: 20 Dec 2020
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 102 (317,631)

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Equity Indices, International Markets, Asset Pricing, Equity Anomalies, Return Predictability, the Cross-Section of Stock Returns, the Misery Index, Economic Discomfort Index, Unemployment, Inflation

27.

Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 57 Posted: 20 May 2020 Last Revised: 15 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 98 (325,979)

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pandemic, epidemic, COVID-19, novel coronavirus, pandemic index, asset pricing, the cross-section of stock returns, return predictability

28.

Decomposition of Book-to-Market and the Cross-Section of Returns for Chinese Shares

Number of pages: 42 Posted: 23 Jan 2015
Nusret Cakici, Sris Chatterjee and Kudret Topyan
Fordham University, Fordham University - Gabelli School of Business and Manhattan College - Department of Economics and Finance
Downloads 98 (325,979)
Citation 1

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29.

When Bad News is Good News: Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns

Number of pages: 50 Posted: 17 Dec 2020 Last Revised: 20 Dec 2020
Adam Zaremba, Nusret Cakici and Ender Demir
Montpellier Business School, Fordham University and Istanbul Medeniyet University
Downloads 84 (358,995)

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Geopolitical Risk Index, the Cross-Section of Stock Returns, Emerging Markets, Equity Anomalies, Asset Pricing, Return Predictability, Overreaction, Availability Heuristic, Salience

30.

Liquidity and the Cross-Section of International Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 38 Posted: 02 Mar 2020 Last Revised: 20 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham University and Montpellier Business School
Downloads 84 (358,995)

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illiquidity premium, liquidity effect, international markets, microcaps, Amihud’s measure, turnover ratio, bid-ask spread, zero-return days, asset pricing, return predictability

31.

Equity Options During the Shorting Ban of 2008

Number of pages: 31 Posted: 02 Jun 2010 Last Revised: 10 Jun 2019
Nusret Cakici, Gautam Goswami and Sinan Tan
Fordham University, Fordham University - Finance Area and Fordham University - Gabelli School of Business
Downloads 83 (361,594)
Citation 2

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SEC; Shorting Ban; OPRA; Intraday Stock Options

32.

False Discoveries in the Anomaly Research: New Insights from the Stock Exchange of Melbourne (1927-1987)

Number of pages: 47 Posted: 10 Mar 2021 Last Revised: 21 Apr 2021
Nusret Cakici, Adam Zaremba, Robert J. Bianchi and Nga Pham
Fordham University, Montpellier Business School, Griffith University and Monash University
Downloads 73 (389,176)

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equity anomalies, replication, factor investing, financial history, Australia, Melbourne Stock Exchange, asset pricing, return predictability, cross-section of returns, false discoveries, p-hacking, data mining

33.

Return Predictability of Turkish Stocks: An Empirical Investigation

Number of pages: 36 Posted: 11 Apr 2012
Nusret Cakici and Kudret Topyan
Fordham University and Manhattan College - Department of Economics and Finance
Downloads 71 (395,205)

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Istanbul Securities Exchange, Stock return predictors, Book-to-Market Ratio, Momentum, Stock Cheapness

34.

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 66 (410,909)

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

35.

Default Risk and Cross Section of Returns

J. Risk Financial Manag. 2019, 12, 95; doi:10.3390/jrfm12020095
Number of pages: 15 Posted: 17 Jun 2019
Nusret Cakici, Sris Chatterjee and Ren-Raw Chen
Fordham University, Fordham University - Gabelli School of Business and affiliation not provided to SSRN
Downloads 53 (456,699)

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risk management; default risk; option pricing

36.

What Drives the January Seasonality in the Illiquidity Premium? Evidence from International Stock Markets

Journal of Investment Strategies, Vol. 10, No. 1
Number of pages: 24 Posted: 30 Jun 2021
Adam Zaremba and Nusret Cakici
Montpellier Business School and Fordham University
Downloads 0 (794,000)
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illiquidity premium; liquidity; size effect; small-firm premium; January effect; seasonality; international markets; Amihud’s ratio.

37.

Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs

Journal of Real Estate Finance and Economics, Vol. 48, No. 3, 2014
Posted: 22 Mar 2014
Nusret Cakici, Isil Erol and Dogan Tirtiroglu
Fordham University, Middle East Technical University (METU) - Department of Economics and Kadir Has University

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Idiosyncratic risk; Expected returns; REITs; GFC; REIT maturity era

38.

Hedge Fund Mergers

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Nusret Cakici and Sris Chatterjee
Fordham University and Fordham University - Gabelli School of Business

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39.

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

40.

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

41.

Closed-End Funds and Turnover Restrictions

Financial Analysts Journal, Vol. 58, No. 3, May/June 2002
Posted: 20 Aug 2002
Nusret Cakici, Anthony Tessitore and Nilufer Usmen
Fordham University, City of London Investment Group PLC - Quantitative Management Limited and Montclair State University - School of Business

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42.

How to Grow a Smiling Tree

The Journal of Financial Engineering, Vol. 7, No. 2, June 1998
Posted: 10 Aug 1998
Stanko Barle and Nusret Cakici
Renaissance Technologies Corporation and Fordham University

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