| . |
Cakici, Nusret's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
6,771 |
Total
Citations
140 |
|
|
|
|
|
1.
|
|
Idiosyncratic Volatility and the Cross-Section of Expected Returns
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
Posted:
|
|
03 Mar 06
|
|
Last Revised:
|
|
27 Feb 12
|
|
1,946
(2,960)
|
71
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
1,063
|
71
|
|
| |
|
| |
idiosyncratic risk, expected stock returns, size, book-to-market, liquidity
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
883
|
71
|
|
| |
|
| |
idiosyncratic risk, total risk, expected stock returns, size, liquidity
|
|
|
|
|
|
2.
|
|
The Joint Cross Section of Stocks and Options
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Ang, Andrew
Columbia Business School - Finance and Economics Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
Posted:
|
|
08 Jan 10
|
|
Last Revised:
|
|
01 Nov 12
|
|
1,335
(5,714)
|
14
|
|
|
|
|
Ang, Andrew
Columbia Business School - Finance and Economics Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
| Posted: |
|
22 Feb 12
|
|
Last Revised:
|
|
01 Nov 12
|
|
273
|
14
|
|
| |
|
| |
implied volatility, risk premiums, predictability, short-term momentum
|
|
|
|
|
|
|
Ang, Andrew
Columbia Business School - Finance and Economics Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
| Posted: |
|
08 Jan 10
|
|
Last Revised:
|
|
27 Feb 12
|
|
1,062
|
14
|
|
| |
|
| |
implied volatility, risk premiums, return predictability, momentum
|
|
|
|
|
|
3.
|
|
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
Export Bibliographic Info |
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
Posted:
|
|
03 Sep 08
|
|
Last Revised:
|
|
27 Feb 12
|
|
909
(10,745)
|
41
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
29
|
41
|
|
| |
|
| |
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
| Posted: |
|
09 Mar 09
|
|
Last Revised:
|
|
27 Feb 12
|
|
146
|
41
|
|
| |
|
| |
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
| Posted: |
|
03 Sep 08
|
|
Last Revised:
|
|
27 Feb 12
|
|
734
|
41
|
|
| |
|
| |
expected stock returns, maximum returns, idiosyncratic volatility, skewness
|
|
|
|
|
|
4.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Levy, Haim
Hebrew University of Jerusalem - Jerusalem School of Business Administration
|
| Posted: |
|
16 Mar 05
|
|
Last Revised:
|
|
27 Feb 12
|
|
600
(19,927)
|
4
|
|
| |
|
| |
idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns
|
|
|
5.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Chabi-Yo, Fousseni
Ohio State University (OSU) - Fisher College of Business
|
| Posted: |
|
11 Apr 11
|
|
Last Revised:
|
|
27 Feb 12
|
|
579
(20,914)
|
1
|
|
| |
|
| |
Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns
|
|
|
6.
|
|
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
|
Show Abstracts |
Hide Abstracts |
Versions (5)
|
hide multiple versions |
Export Bibliographic Info |
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
Posted:
|
|
09 Oct 11
|
|
Last Revised:
|
|
15 Mar 12
|
|
351
(39,924)
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
52
|
|
|
| |
|
| |
tail risk, downside risk, under-diversification, expected stock returns
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
56
|
|
|
| |
|
| |
tail risk, downside risk, under-diversification, expected stock returns
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
57
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
65
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Whitelaw, Robert
New York University
|
|
121
|
|
|
| |
|
| |
tail risk, downside risk, under-diversification, expected stock returns
|
|
|
|
|
|
7.
|
|
A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Chabi-Yo, Fousseni
Ohio State University (OSU) - Fisher College of Business
|
|
Posted:
|
|
12 Apr 12
|
|
Last Revised:
|
|
01 May 13
|
|
181
(82,232)
|
1
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Chabi-Yo, Fousseni
Ohio State University (OSU) - Fisher College of Business
|
| Posted: |
|
10 May 12
|
|
Last Revised:
|
|
01 May 13
|
|
71
|
1
|
|
| |
|
| |
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Chabi-Yo, Fousseni
Ohio State University (OSU) - Fisher College of Business
|
| Posted: |
|
12 Apr 12
|
|
Last Revised:
|
|
01 May 13
|
|
110
|
1
|
|
| |
|
| |
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity
|
|
|
|
|
|
8.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Fabozzi, Frank J.
EDHEC Business School Tan, Sinan
Fordham University - Finance Area
|
| Posted: |
|
30 May 12
|
|
Last Revised:
|
|
11 Sep 12
|
|
160
(92,244)
|
|
|
| |
|
| |
|
|
|
9.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
150
(98,404)
|
4
|
|
| |
|
| |
international equity returns, country-specific risk, idiosyncratic risk, systematic risk
|
|
|
10.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Chan, Kalok
Hong Kong University of Science & Technology (HKUST) - Department of Finance Topyan, Kudret
Manhattan College - Department of Economics and Finance
|
|
147
(99,530)
|
|
|
| |
|
| |
Chinese stock returns, Stock return predictors, Momentum, Stock Cheapness
|
|
|
11.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business Fabozzi, Frank J.
EDHEC Business School
|
| Posted: |
|
13 Mar 12
|
|
Last Revised:
|
|
19 Mar 12
|
|
138
(105,097)
|
|
|
| |
|
| |
book-to-market ratio, expected returns, international stocks markets, G7 countries
|
|
|
12.
|
|
Equity Options During the Flash Crash of 2010
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Cakici, Nusret
Fordham University - Graduate School of Business Goswami, Gautam
Fordham University - Finance Area Tan, Sinan
Fordham University - Finance Area
|
|
Posted:
|
|
02 Mar 12
|
|
Last Revised:
|
|
09 Jul 12
|
|
117
(120,217)
|
|
|
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Goswami, Gautam
Fordham University - Finance Area Tan, Sinan
Fordham University - Finance Area
|
|
58
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Goswami, Gautam
Fordham University - Finance Area Tan, Sinan
Fordham University - Finance Area
|
| Posted: |
|
02 Mar 12
|
|
Last Revised:
|
|
09 Jul 12
|
|
59
|
|
|
| |
|
| |
|
|
|
|
|
|
13.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Tan, Sinan
Fordham University - Finance Area Goswami, Gautam
Fordham University - Finance Area
|
| Posted: |
|
27 Aug 10
|
|
Last Revised:
|
|
21 Oct 10
|
|
81
(154,907)
|
2
|
|
| |
|
| |
Equity Options, Capital Markets, Short Sales
|
|
|
14.
|
|
|
Goswami, Gautam
Fordham University - Finance Area Cakici, Nusret
Fordham University - Graduate School of Business Tan, Sinan
Fordham University - Finance Area
|
|
48
(203,830)
|
2
|
|
| |
|
| |
|
|
|
15.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Topyan, Kudret
Manhattan College - Department of Economics and Finance
|
|
29
(245,677)
|
|
|
| |
|
| |
Istanbul Securities Exchange, Stock return predictors, Book-to-Market Ratio, Momentum, Stock Cheapness
|
|
|
16.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Chatterjee, Sris
Fordham University Schools of Business
|
|
|
|
|
| |
|
| |
|
|
|
17.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
|
|
|
| |
|
| |
Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns
|
|
|
18.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Cakici, Nusret
Fordham University - Graduate School of Business
|
|
|
|
|
| |
|
| |
Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios
|
|
|
19.
|
|
|
Cakici, Nusret
Fordham University - Graduate School of Business Tessitore, Anthony
City of London Investment Group PLC - Quantitative Management Limited Usmen, Nilufer
Montclair State University - School of Business
|
|
|
|
|
| |
|
| |
|
|
|
20.
|
|
|
Barle, Stanko
Renaissance Technologies Corporation Cakici, Nusret
Fordham University - Graduate School of Business
|
|
|
|
|
| |
|
| |
|
|
