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Nusret Cakici

Fordham University

Professor of Finance

Fordham University

Graduate School of Business

New York, NY 10023

United States

  • Fordham University

SCHOLARLY PAPERS

31

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13,897

CITATIONS
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SSRN RANKINGS

Top 3,779

in Total Papers Citations

144

Scholarly Papers (31)

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1.

The Joint Cross Section of Stocks and Options

Downloads 2,625 ( 3,548)
Citation 17

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 1,370 (10,418)
Citation 17

Abstract:

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 1,046 (15,960)
Citation 17

Abstract:

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 186 (136,247)
Citation 17

Abstract:

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 23 (447,455)
Citation 17

Abstract:

2.

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Downloads 2,191 ( 4,814)
Citation 68

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 1,231 (12,372)
Citation 68

Abstract:

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 960 (18,158)
Citation 68

Abstract:

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

3.

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

Downloads 1,545 ( 8,740)
Citation 44

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 1,297 (11,394)
Citation 44

Abstract:

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 193 (131,504)
Citation 44

Abstract:

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
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 55 (321,320)
Citation 44

Abstract:

4.

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 1,110 (14,834)

Abstract:

5.

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 639 (30,471)
Citation 1

Abstract:

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

6.

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 624 (31,913)
Citation 4

Abstract:

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

7.

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

Downloads 526 ( 42,693)

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 176 (143,270)

Abstract:

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 81 (259,542)

Abstract:

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 78 (265,575)

Abstract:

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 66 (292,598)

Abstract:

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 66 (292,598)

Abstract:

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. 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 50 (336,631)

Abstract:

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
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 9 (528,222)

Abstract:

8.

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 362 (42,933)
Citation 1

Abstract:

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

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 Gabelli School of Business, Fordham University
Downloads 350 (49,352)
Citation 1

Abstract:

10.

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

Downloads 331 ( 75,007)
Citation 1

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 173 (145,533)
Citation 1

Abstract:

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 158 (157,761)
Citation 1

Abstract:

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

11.

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 Gabelli School of Business, Fordham University
Downloads 273 (56,390)

Abstract:

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

12.

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 186 (117,751)
Citation 5

Abstract:

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

13.

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, Gabelli School of Business, Fordham University and Fordham University - Finance Area
Downloads 88 (234,148)
Citation 1

Abstract:

Equity Options, Capital Markets, Short Sales

14.

Equity Options During the Shorting Ban of 2008

Number of pages: 63 Posted: 02 Jun 2010
Gautam Goswami, Nusret Cakici and Sinan Tan
Fordham University - Finance Area, Fordham University and Gabelli School of Business, Fordham University
Downloads 57 (298,576)
Citation 1

Abstract:

15.

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 48 (319,621)

Abstract:

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

16.

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, Gabelli School of Business, Fordham University and Manhattan College - Department of Economics and Finance
Downloads 25 (328,248)

Abstract:

17.

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 11 (316,720)

Abstract:

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

18.

Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information

Number of pages: 55 Posted: 22 Sep 2017
Douglas W. Blackburn and Nusret Cakici
Fordham University and Fordham University
Downloads 0

Abstract:

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

19.

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

Number of pages: 55 Posted: 01 Jun 2017
Douglas W. Blackburn and Nusret Cakici
Fordham University and Fordham University
Downloads 0 (311,323)

Abstract:

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

20.

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

Number of pages: 31 Posted: 18 May 2017
Nusret Cakici, Sris Chatterjee and Yi Tang
Fordham University, Gabelli School of Business, Fordham University and Fordham University - Gabelli School of Business
Downloads 0 (118,867)

Abstract:

Profitability, enterprise value, behavioral finance, international asset pricing

21.

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

Number of pages: 42 Posted: 22 Apr 2017 Last Revised: 05 May 2017
Douglas W. Blackburn and Nusret Cakici
Fordham University and Fordham University
Downloads 0 (21,375)

Abstract:

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

22.

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
Fordham University and Fordham University
Downloads 0 (99,547)

Abstract:

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

23.

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 0 (244,297)

Abstract:

Risk-Neutral Distribution, Option Returns

24.

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
Fordham University and Fordham University
Downloads 0 (71,956)

Abstract:

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

25.

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 0 (51,269)

Abstract:

Emerging markets, cross-sectional stock returns, market comovements

26.

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

Abstract:

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

27.

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 Gabelli School of Business, Fordham University

Abstract:

28.

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:

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

29.

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:

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

30.

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

Abstract:

31.

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

Abstract:

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