K. Ozgur Demirtas

Sabanci University Graduate School of Management

Chair Professor of Finance

Sabanci University, School of Management

Orhanli Tuzla

Orhanlı-Tuzla, Istanbul, 34956

Turkey

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 1,530

SSRN RANKINGS

Top 1,530

in Total Papers Downloads

23,298

SSRN CITATIONS
Rank 7,784

SSRN RANKINGS

Top 7,784

in Total Papers Citations

62

CROSSREF CITATIONS

103

Scholarly Papers (34)

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 4,406 (2,448)
Citation 9

Abstract:

Loading...

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 3,379 (3,812)
Citation 3

Abstract:

Loading...

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

3.
Downloads 2,186 ( 7,972)
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 1,441 (15,223)

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 413 (84,423)
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 (108,586)
Citation 3

Abstract:

Loading...

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

4.

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 1,424 (15,819)
Citation 1

Abstract:

Loading...

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

5.

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 1,363 (16,943)

Abstract:

Loading...

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

6.
Downloads 1,213 ( 20,194)
Citation 4

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 779 (37,485)
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 (79,641)
Citation 3

Abstract:

Loading...

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

7.

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 901 (31,169)
Citation 12

Abstract:

Loading...

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

8.

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 798 (36,782)

Abstract:

Loading...

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

9.

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 744 (40,497)

Abstract:

Loading...

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

10.
Downloads 703 ( 43,745)
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 364 (97,797)
Citation 6

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 339 (106,014)

Abstract:

Loading...

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

11.

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 658 (47,847)
Citation 2

Abstract:

Loading...

12.

Can Overreaction Explain Part of the Size Premium?

International Journal of Revenue Management, 2008, Vol.2, Issue 3.
Number of pages: 28 Posted: 11 Dec 2006 Last Revised: 20 Aug 2008
K. Ozgur Demirtas and A. Burak Guner
Sabanci University Graduate School of Management and Citadel
Downloads 562 (58,421)
Citation 2

Abstract:

Loading...

Small-firm effect, Anomalies, Overreaction, Profitability

13.

Predicting Equity Returns in Emerging Markets

Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 01 Sep 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 488 (69,759)

Abstract:

Loading...

tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

14.

Studies of Equity Returns in Emerging Markets: A Literature Review

Emerging Markets Finance and Trade, Vol. 51, No. 4, 2015
Number of pages: 29 Posted: 02 Jun 2014 Last Revised: 28 Jul 2015
Yigit Atilgan, K. Ozgur Demirtas and Koray D. Simsek
Sabanci University, Sabanci University Graduate School of Management and Rollins College - Crummer Graduate School of Business
Downloads 395 (89,669)
Citation 1

Abstract:

Loading...

risk-return relation, volatility, emerging markets, literature review

15.

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 391 (90,719)

Abstract:

Loading...

16.

Initial Credit Ratings and Earnings Management

Review of Financial Economics Vol. 22, No. 4, pp. 135-145.
Number of pages: 45 Posted: 03 Apr 2012 Last Revised: 18 Mar 2014
K. Ozgur Demirtas and Kimberly Rodgers Cornaggia
Sabanci University Graduate School of Management and Pennsylvania State University - Department of Finance
Downloads 363 (98,871)

Abstract:

Loading...

Credit Ratings, Earnings management, Accruals, Market efficiency

17.

What is Wrong with Small Stocks?

Number of pages: 46 Posted: 30 Nov 2006 Last Revised: 20 Aug 2008
K. Ozgur Demirtas and A. Burak Guner
Sabanci University Graduate School of Management and Citadel
Downloads 358 (100,431)

Abstract:

Loading...

Small-firm effect, Return anomalies, Overreaction

18.

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 (134,049)

Abstract:

Loading...

19.

Downside Risk in Emerging Markets

Emerging Markets Finance and Trade, Vol. 49, No. 3, 2013
Number of pages: 34 Posted: 16 Jan 2012 Last Revised: 28 Jul 2015
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 267 (137,703)

Abstract:

Loading...

downside risk, value at risk, risk-return tradeoff, emerging markets

20.

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 47, No. 3, 4-22
Number of pages: 29 Posted: 11 Sep 2010 Last Revised: 12 Dec 2012
K. Ozgur Demirtas and Duygu Zirek
Sabanci University Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 261 (140,890)

Abstract:

Loading...

earnings, emerging markets, market returns, predictability, business cycle

21.

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 (144,728)

Abstract:

Loading...

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

22.

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 (146,454)

Abstract:

Loading...

23.

Nonlinear Asymmetric Models of the Short Term Interest Rate

Journal of Futures Markets, Vol. 26, No. 9, pp. 869-894, 2006
Number of pages: 28 Posted: 18 Jul 2009 Last Revised: 09 Nov 2009
K. Ozgur Demirtas
Sabanci University Graduate School of Management
Downloads 244 (150,611)

Abstract:

Loading...

rates, volatility, nonlinearity, asymmetry, GARCH, diffusions

24.

Liquidity and Equity Returns in Borsa Istanbul

Applied Economics, Vol. 48, No. 52, 2016
Number of pages: 32 Posted: 14 May 2015 Last Revised: 19 Sep 2016
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 211 (172,956)
Citation 2

Abstract:

Loading...

liquidity, emerging markets, equity returns, asset pricing

25.

Macroeconomic Factors and Equity Returns in Borsa Istanbul

Iktisat Isletme ve Finans, Vol. 30, No. 349, 2015
Number of pages: 25 Posted: 20 Sep 2014 Last Revised: 28 Jul 2015
Yigit Atilgan, K. Ozgur Demirtas and Alper Erdogan
Sabanci University, Sabanci University Graduate School of Management and Sabanci University - Graduate School of Management
Downloads 186 (194,187)

Abstract:

Loading...

asset pricing models, equity returns, arbitrage pricing theory, macroeconomic factors

26.

Risk-Adjusted Performances of World Equity Indices

Emerging Markets Finance and Trade, Vol. 52, No. 3, 2016
Number of pages: 35 Posted: 13 Oct 2012 Last Revised: 24 Mar 2016
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 158 (223,369)

Abstract:

Loading...

risk-return relationship, downside risk, value-at-risk, emerging markets, 2008 Financial Crisis

27.

Derivative Markets in Emerging Economies: A Survey

International Review of Economics & Finance, Vol. 42, 2016
Number of pages: 38 Posted: 04 Sep 2015 Last Revised: 23 Dec 2015
Yigit Atilgan, K. Ozgur Demirtas and Koray D. Simsek
Sabanci University, Sabanci University Graduate School of Management and Rollins College - Crummer Graduate School of Business
Downloads 157 (224,590)
Citation 2

Abstract:

Loading...

Emerging markets, derivatives, risk management, price discovery

28.

Reward-to-Risk Ratios in Turkish Financial Markets

Iktisat Isletme ve Finans, Vol. 28, No. 322, 2013
Number of pages: 33 Posted: 28 Mar 2012 Last Revised: 28 Jul 2015
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 153 (229,373)
Citation 1

Abstract:

Loading...

bond markets, equity markets, downside risk, value at risk, risk-return tradeoff

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 143 (243,089)
Citation 2

Abstract:

Loading...

Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

Downside Beta and the Cross Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, Issue 2, pp. 316-347, 2020
Number of pages: 32 Posted: 19 May 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 1 (797,222)
  • Add to Cart

Abstract:

Loading...

asset pricing, downside beta, downside risk, equity returns, tail risk

30.

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 143 (242,396)
Citation 1

Abstract:

Loading...

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

31.

Share Issuance and Equity Returns in Borsa Istanbul (BIST)

International Review of Economics & Finance, Vol. 44, 2016
Number of pages: 25 Posted: 23 Jul 2014 Last Revised: 10 Apr 2016
Yigit Atilgan, K. Ozgur Demirtas and Alper Erdogan
Sabanci University, Sabanci University Graduate School of Management and Sabanci University - Graduate School of Management
Downloads 120 (277,229)

Abstract:

Loading...

share issues, equity returns, value effect, emerging markets

32.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 94 (327,334)
Citation 1

Abstract:

Loading...

value premium, decomposing value, size effect, cross-section of equity returns, international finance

33.

Average Skewness in Global Equity Markets

Number of pages: 41 Posted: 20 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 49 (462,058)

Abstract:

Loading...

equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

34.

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 (779,536)

Abstract:

Loading...

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