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

86

DOWNLOADS
Rank 187

SSRN RANKINGS

Top 187

in Total Papers Downloads

74,553

SSRN CITATIONS
Rank 329

SSRN RANKINGS

Top 329

in Total Papers Citations

1,409

CROSSREF CITATIONS

1,142

Scholarly Papers (86)

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 4,383 (2,437)
Citation 9

Abstract:

Loading...

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

2.
Downloads 3,410 ( 3,692)
Citation 89

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 2,430 (6,465)
Citation 5

Abstract:

Loading...

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 980 (26,859)
Citation 18

Abstract:

Loading...

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

3.

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 3,241 (4,053)
Citation 3

Abstract:

Loading...

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

4.
Downloads 2,981 ( 4,715)
Citation 47

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 1,495 (14,179)
Citation 11

Abstract:

Loading...

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 Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,227 (19,228)
Citation 4

Abstract:

Loading...

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 Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 201 (179,315)
Citation 18

Abstract:

Loading...

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
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 58 (431,636)
Citation 12

Abstract:

Loading...

5.

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 2,884 (4,960)
Citation 36

Abstract:

Loading...

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

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 Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,736 (5,438)
Citation 37

Abstract:

Loading...

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 1,324 (17,134)
Citation 20

Abstract:

Loading...

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 1,002 (25,973)
Citation 5

Abstract:

Loading...

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

8.
Downloads 2,183 ( 7,883)
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 1,439 (15,065)

Abstract:

Loading...

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 412 (83,820)
Citation 1

Abstract:

Loading...

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 332 (107,553)
Citation 3

Abstract:

Loading...

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

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 1,350 (16,642)
Citation 5

Abstract:

Loading...

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 580 (54,950)
Citation 31

Abstract:

Loading...

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

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 1,611 (12,609)
Citation 38

Abstract:

Loading...

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 232 (156,221)
Citation 115

Abstract:

Loading...

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: 07 Jun 2009
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 79 (364,647)

Abstract:

Loading...

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 1,377 (16,128)
Citation 8

Abstract:

Loading...

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 414 (83,357)
Citation 20

Abstract:

Loading...

Cross-Section of Expected Returns, Risk-Neutral Skewness

12.
Downloads 1,640 ( 12,516)
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 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 University and Fordham University - Gabelli School of Business
Downloads 1,208 (19,734)
Citation 1

Abstract:

Loading...

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 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 University and Fordham University - Gabelli School of Business
Downloads 290 (124,386)
Citation 13

Abstract:

Loading...

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 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 University and Fordham University - Gabelli School of Business
Downloads 142 (242,387)

Abstract:

Loading...

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

13.
Downloads 1,572 ( 8,622)
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 Tsinghua University - PBC School of Finance
Downloads 1,326 (17,089)
Citation 18

Abstract:

Loading...

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 Tsinghua University - PBC School of Finance
Downloads 246 (147,575)
Citation 3

Abstract:

Loading...

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 Tsinghua University - PBC School of Finance

Abstract:

Loading...

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

14.

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 1,420 (15,705)
Citation 1

Abstract:

Loading...

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

15.

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 1,391 (16,213)
Citation 3

Abstract:

Loading...

hedging, derivatives use, risk management, risk exposure

16.

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 1,361 (16,751)

Abstract:

Loading...

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

17.

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 Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,297 (18,012)
Citation 33

Abstract:

Loading...

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

18.

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 1,270 (18,591)
Citation 57

Abstract:

Loading...

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

19.
Downloads 1,262 ( 18,777)
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 1,028 (25,039)
Citation 9

Abstract:

Loading...

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 234 (154,928)

Abstract:

Loading...

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

20.

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 1,243 (19,222)
Citation 9

Abstract:

Loading...

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

21.

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 Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,211 (19,968)
Citation 3

Abstract:

Loading...

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

22.
Downloads 1,211 ( 19,968)
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 777 (37,151)
Citation 6

Abstract:

Loading...

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 434 (78,836)

Abstract:

Loading...

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

23.

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 1,190 (20,509)
Citation 27

Abstract:

Loading...

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 699 (42,937)
Citation 5

Abstract:

Loading...

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 461 (73,313)
Citation 5

Abstract:

Loading...

idiosyncratic volatility shocks, unusual news events, divergence of opinion

25.

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 1,142 (21,836)
Citation 7

Abstract:

Loading...

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 530 (61,596)
Citation 1

Abstract:

Loading...

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 225 (160,989)
Citation 2

Abstract:

Loading...

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 205 (176,002)
Citation 1

Abstract:

Loading...

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 97 (320,529)
Citation 15

Abstract:

Loading...

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 526 (62,194)
Citation 4

Abstract:

Loading...

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 314 (114,297)
Citation 5

Abstract:

Loading...

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 (175,156)

Abstract:

Loading...

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 755 (38,692)
Citation 15

Abstract:

Loading...

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 182 (196,230)

Abstract:

Loading...

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

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 823 (34,341)
Citation 26

Abstract:

Loading...

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 217 (166,658)
Citation 30

Abstract:

Loading...

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

30.

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 949 (28,584)

Abstract:

Loading...

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

31.

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 896 (31,035)
Citation 12

Abstract:

Loading...

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

32.

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 883 (31,690)
Citation 5

Abstract:

Loading...

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

33.

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 860 (32,851)
Citation 6

Abstract:

Loading...

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

34.

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 809 (35,667)
Citation 18

Abstract:

Loading...

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

35.

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 796 (36,443)

Abstract:

Loading...

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

36.

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 791 (36,767)
Citation 4

Abstract:

Loading...

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

37.
Downloads 772 ( 38,049)
Citation 20

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 (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 449 (75,714)
Citation 18

Abstract:

Loading...

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 323 (110,872)
Citation 1

Abstract:

Loading...

hedge funds, economic uncertainty, risk factors, return predictability

38.

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: 67 Posted: 15 Mar 2019 Last Revised: 15 Jul 2019
Turan G. Bali, David A. Hirshleifer, Lin Peng and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, University 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 771 (38,180)
Citation 21

Abstract:

Loading...

Preference for lottery-like stocks, investor attention, social interactions, social network, MAX, skewness, retail investors

39.

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 762 (39,102)
Citation 5

Abstract:

Loading...

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

40.

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 749 (39,683)
Citation 14

Abstract:

Loading...

Corporate bonds, long-term reversal

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 741 (40,223)

Abstract:

Loading...

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

42.

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 719 (41,946)
Citation 2

Abstract:

Loading...

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

43.

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 700 (43,463)
Citation 1

Abstract:

Loading...

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

44.

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 697 (43,715)
Citation 3

Abstract:

Loading...

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

45.
Downloads 692 ( 44,168)
Citation 6

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 358 (98,708)
Citation 7

Abstract:

Loading...

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 334 (106,820)

Abstract:

Loading...

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

46.

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 654 (47,648)
Citation 2

Abstract:

Loading...

47.

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 630 (49,974)
Citation 1

Abstract:

Loading...

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

48.

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 594 (53,967)
Citation 5

Abstract:

Loading...

Economic uncertainty, risk premia, corporate bond returns

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 199 (180,947)

Abstract:

Loading...

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 (351,400)

Abstract:

Loading...

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 (353,934)

Abstract:

Loading...

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 77 (370,239)

Abstract:

Loading...

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 (387,866)

Abstract:

Loading...

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 (450,563)

Abstract:

Loading...

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 23 (607,726)
Citation 6

Abstract:

Loading...

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 547 (59,877)
Citation 2

Abstract:

Loading...

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 498 (67,323)
Citation 7

Abstract:

Loading...

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

52.

Regret and the Cross-Section of Expected Returns

Georgetown McDonough School of Business Research Paper No. 3195191, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 90 Posted: 19 Jun 2018 Last Revised: 14 Dec 2020
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 405 (86,537)
Citation 1

Abstract:

Loading...

Regret theory; mean-variance investors; Sharpe ratio; cross-section of stock returns

53.

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 389 (90,368)

Abstract:

Loading...

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 202 (178,426)
Citation 5

Abstract:

Loading...

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 172 (206,221)
Citation 1

Abstract:

Loading...

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

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 369 (96,051)
Citation 1

Abstract:

Loading...

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

56.

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 (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 336 (106,776)

Abstract:

Loading...

hedge funds; upside potential; return predictability

57.

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 330 (108,985)
Citation 36

Abstract:

Loading...

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

58.

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 325 (110,817)
Citation 1

Abstract:

Loading...

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

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: 06 Nov 2020
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 280 (129,141)
Citation 1

Abstract:

Loading...

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

NBER Working Paper No. w25995
Number of pages: 63 Posted: 26 Jun 2019
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 9 (715,281)
  • Add to Cart

Abstract:

Loading...

60.

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: 88 Posted: 12 Aug 2020 Last Revised: 15 Mar 2021
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 278 (131,258)
Citation 1

Abstract:

Loading...

low risk anomalies, individual investors, market beta, idiosyncratic volatility, lottery stocks, cross-sectional return predictability

61.

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 274 (132,836)

Abstract:

Loading...

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 273 (133,324)

Abstract:

Loading...

equity premium; future earnings response coefficients; valuation models

63.

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 254 (143,465)

Abstract:

Loading...

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

64.

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 251 (145,183)

Abstract:

Loading...

65.

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 239 (152,276)
Citation 12

Abstract:

Loading...

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

66.

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 236 (154,115)

Abstract:

Loading...

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

67.

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: 60 Posted: 12 Dec 2018 Last Revised: 18 Dec 2020
Turan G. Bali and Florian Weigert
Georgetown University - Robert Emmett McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 227 (160,004)
Citation 1

Abstract:

Loading...

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

68.

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 218 (166,361)
Citation 1

Abstract:

Loading...

Risk-Neutral Distribution, Option Returns

69.

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 210 (173,078)
Citation 1

Abstract:

Loading...

Optionable stocks, factor model, cross section of stock returns

70.

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

Number of pages: 61 Posted: 18 Nov 2019 Last Revised: 30 Dec 2020
Turan G. Bali, Zilin Chen, Jun Tu and Ran Zhang
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 197 (182,798)

Abstract:

Loading...

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

71.

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 186 (192,528)

Abstract:

Loading...

hedge funds; timing ability; industry returns

72.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 166 (213,422)
Citation 8

Abstract:

Loading...

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

73.

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 139 (245,899)
Citation 1

Abstract:

Loading...

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

74.

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 131 (257,532)

Abstract:

Loading...

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

75.

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 65 (401,852)

Abstract:

Loading...

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

76.

Asymmetric Crime Cycles

NBER Working Paper No. w11210
Number of pages: 42 Posted: 26 Apr 2005 Last Revised: 18 Feb 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 52 (446,970)
Citation 5

Abstract:

Loading...

77.

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 (733,376)
Citation 1
  • Add to Cart

Abstract:

Loading...

78.

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 (773,710)

Abstract:

Loading...

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

79.

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

Abstract:

Loading...

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

80.

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

Abstract:

Loading...

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

81.

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

Abstract:

Loading...

82.

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

Abstract:

Loading...

83.

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

Abstract:

Loading...

Volatility, extremes, term structure of interest rates

84.

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

Abstract:

Loading...

85.

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:

Loading...

86.

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:

Loading...