Nusret Cakici

Fordham university

113 West 60th Street

New York, NY 10023

United States

SCHOLARLY PAPERS

47

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27,798

SSRN CITATIONS
Rank 521

SSRN RANKINGS

Top 521

in Total Papers Citations

1,605

CROSSREF CITATIONS

708

Scholarly Papers (47)

1.

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 3,602 (5,305)
Citation 14

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2.
Downloads 3,492 ( 5,576)
Citation 79

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 - McDonough School of Business and Fordham university
Downloads 1,587 (19,074)
Citation 11

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implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 1,557 (19,644)
Citation 1

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

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 240 (210,635)
Citation 14

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

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590
Number of pages: 96 Posted: 01 Nov 2013 Last Revised: 13 Jul 2023
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 108 (414,810)
Citation 13

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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 - McDonough School of Business and Fordham university
Downloads 1,489 (21,036)
Citation 57

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idiosyncratic risk, expected stock returns, size, book-to-market, liquidity

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Number of pages: 29 Posted: 03 Mar 2006
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 1,026 (36,330)
Citation 5

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

4.

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

Number of pages: 39 Posted: 22 Apr 2017 Last Revised: 29 Oct 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham university
Downloads 2,183 (11,819)

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return predictability, profitability, value, magic formula, cross-section of 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 - McDonough School of Business, Fordham university and New York University
Downloads 1,798 (15,755)
Citation 33

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expected stock returns, maximum returns, idiosyncratic volatility, skewness

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

NYU Working Paper No. FIN-08-025
Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 258 (196,865)
Citation 68

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

NBER Working Paper No. w14804
Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 15 Dec 2022
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 114 (398,567)

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6.

Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets

Number of pages: 54 Posted: 28 Jun 2022 Last Revised: 16 Mar 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 1,273 (27,125)
Citation 3

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machine learning, return predictability, international stock markets, the cross-section of stock returns, forecast combination, asset pricing, firm size

7.

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 912 (43,524)
Citation 11

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

8.

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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 759 (55,852)
Citation 2

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

9.

Size, Value, and Momentum in Emerging Market Stock Returns

Fordham University Schools of Business Research Paper No. 2070832
Number of pages: 40 Posted: 30 May 2012 Last Revised: 11 Sep 2012
Nusret Cakici, Frank J. Fabozzi and Sinan Tan
Fordham university, EDHEC Business School and Fordham University - Gabelli School of Business
Downloads 747 (57,058)
Citation 14

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10.

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 - McDonough School of Business, Fordham university and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 723 (59,643)
Citation 3

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

11.

Recency Bias and the Cross-Section of International Stock Returns

Number of pages: 61 Posted: 01 May 2021 Last Revised: 28 Nov 2022
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 711 (60,958)
Citation 2

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chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets

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 - McDonough School of Business, Fordham university and New York University
Downloads 224 (225,347)

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tail risk, downside risk, under-diversification, expected stock returns

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

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 95 (453,698)

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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 - McDonough School of Business, Fordham university and New York University
Downloads 95 (453,698)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

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

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 89 (473,471)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

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

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 86 (483,870)

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

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper
Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 69 (551,346)

Abstract:

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

NBER Working Paper No. w19460
Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 05 Mar 2023
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 51 (642,819)
Citation 14

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13.

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 700 (62,260)
Citation 3

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Emerging markets, cross-sectional stock returns, market comovements

14.

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

Number of pages: 60 Posted: 06 Dec 2013 Last Revised: 07 Dec 2013
Nusret Cakici and Sinan Tan
Fordham university and Fordham University - Gabelli School of Business
Downloads 655 (67,787)
Citation 6

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

15.

Overreaction and the Cross-Section of Returns: International Evidence

Journal of Empirical Finance, Vol. 42, 2017, Gabelli School of Business, Fordham University Research Paper No. 2800188
Number of pages: 40 Posted: 25 Jun 2016 Last Revised: 23 Apr 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham university
Downloads 630 (71,272)
Citation 7

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

16.

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

Number of pages: 37 Posted: 18 May 2017 Last Revised: 04 Jun 2020
Nusret Cakici, Sris Chatterjee, Yi Tang and Lin Tong
Fordham university, Fordham University - Gabelli School of Business, Fordham University - Gabelli School of Business and Fordham University - Finance Area
Downloads 587 (77,822)
Citation 7

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Profitability, enterprise value, behavioral finance, international asset pricing

17.

Frontier Stock Markets: Local vs Global Factors

Gabelli School of Business, Fordham University Research Paper No. 2930491
Number of pages: 39 Posted: 10 Mar 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham university
Downloads 485 (98,494)
Citation 1

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

18.

Responsible Investing: ESG Ratings and the Cross-Section of International Stock Returns

Number of pages: 39 Posted: 11 Oct 2021 Last Revised: 10 Jan 2022
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 467 (103,012)
Citation 1

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corporate social responsibility, sustainable investing, environmental, social, and governance ratings, ESG, the cross-section of stock returns, international markets, return predictability, asset pricing, size premium, small firm effect

19.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 17 Dec 2020 Last Revised: 19 Oct 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 450 (107,633)

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

20.

Machine Learning and the Cross-Section of Cryptocurrency Returns

Number of pages: 65 Posted: 11 Dec 2022 Last Revised: 17 May 2023
Fordham university, Montpellier Business School, Poznań University of Economics and Business and Montpellier Business School
Downloads 425 (115,396)

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cryptocurrency markets, machine learning, return predictability, limits to arbitrage, asset pricing, the cross-section of returns

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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 228 (221,561)
Citation 6

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

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

Number of pages: 58 Posted: 12 Apr 2012 Last Revised: 01 May 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 196 (255,183)
Citation 1

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

22.

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

Journal of Investing, Forthcoming
Number of pages: 36 Posted: 25 May 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 397 (124,562)

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

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
Georgetown University - McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 376 (132,460)
Citation 1

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Risk-Neutral Distribution, Option Returns

24.

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 - McDonough School of Business and Fordham university
Downloads 275 (184,810)
Citation 16

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

25.

Liquidity and the Cross-Section of International Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 38 Posted: 02 Mar 2020 Last Revised: 20 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 265 (192,526)

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

26.

Tangible and Intangible Information in Emerging Markets

Number of pages: 56 Posted: 22 Sep 2017 Last Revised: 29 Oct 2017
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham university
Downloads 201 (249,878)

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

27.

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

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 17 Dec 2020 Last Revised: 09 Jan 2023
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 198 (253,356)

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equity indices, international markets, asset pricing, equity anomalies, return predictabil-ity, the cross-section of stock returns, the misery index, inflation, unemployment, mar-ket segmentation

28.

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

Number of pages: 50 Posted: 17 Dec 2020 Last Revised: 20 Dec 2020
Adam Zaremba, Nusret Cakici and Ender Demir
Montpellier Business School, Fordham university and Istanbul Medeniyet University
Downloads 196 (255,599)
Citation 3

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

29.

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

Number of pages: 29 Posted: 01 Jun 2017 Last Revised: 08 Jun 2019
Douglas W. Blackburn and Nusret Cakici
JP Morgan Chase and Fordham university
Downloads 189 (264,132)
Citation 1

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

30.

Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time

Journal of Financial Data Science, Forthcoming
Number of pages: 29 Posted: 28 Aug 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 188 (266,724)

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machine learning, return predictability, the cross-section of stock returns, asset pricing, firm size, equity anomalies, long-short portfolios, long-run returns

31.

Equity Options During the Short Ban of 2008

Fordham University Schools of Business Research Paper No. 2010-004, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 63 Posted: 27 Aug 2010 Last Revised: 21 Oct 2010
Nusret Cakici, Sinan Tan and Gautam Goswami
Fordham university, Fordham University - Gabelli School of Business and Fordham University - Finance Area
Downloads 129 (362,164)
Citation 1

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Equity Options, Capital Markets, Short Sales

32.

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

Number of pages: 47 Posted: 10 Mar 2021 Last Revised: 21 Apr 2021
Fordham university, Montpellier Business School, Griffith UniversityGriffith University and Monash University
Downloads 124 (372,997)

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

33.

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

Number of pages: 42 Posted: 23 Jan 2015
Nusret Cakici, Sris Chatterjee and Kudret Topyan
Fordham university, Fordham University - Gabelli School of Business and Manhattan College - Department of Economics and Finance
Downloads 115 (394,118)
Citation 2

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34.

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

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 57 Posted: 20 May 2020 Last Revised: 15 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 113 (399,150)
Citation 3

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

35.

Equity Options During the Shorting Ban of 2008

Number of pages: 31 Posted: 02 Jun 2010 Last Revised: 10 Jun 2019
Nusret Cakici, Gautam Goswami and Sinan Tan
Fordham university, Fordham University - Finance Area and Fordham University - Gabelli School of Business
Downloads 100 (435,322)
Citation 2

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SEC; Shorting Ban; OPRA; Intraday Stock Options

36.

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 93 (456,548)

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

37.

Preference for Positive Skewness and Expected Stock Returns

Number of pages: 36 Posted: 20 Mar 2007
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 87 (475,903)

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

38.

Default Risk and Cross Section of Returns

J. Risk Financial Manag. 2019, 12, 95; doi:10.3390/jrfm12020095
Number of pages: 15 Posted: 17 Jun 2019
Nusret Cakici, Sris Chatterjee and Ren-Raw Chen
Fordham university, Fordham University - Gabelli School of Business and affiliation not provided to SSRN
Downloads 69 (543,875)

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risk management; default risk; option pricing

39.

Do Anomalies Really Predict Market Returns? New Data and New Evidence

Review of Finance, Forthcoming
Number of pages: 48 Posted: 01 Sep 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 64 (565,879)

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equity anomalies, return predictability, machine learning, international stock markets, equity premium

40.

Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation

Review of Pacific Basin Financial Markets and Policies, Vol. 17, No. 02, 1450010 (2014) https://doi.org/10.1142/S0219091514500106
Posted: 10 Jan 2022
Nusret Cakici, Kudret Topyan and Chia-Jane Wang
Fordham university, Manhattan College - Department of Economics and Finance and Rutgers Business School

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Taiwan Stock Exchange, TWSE, Stock return predictors, book-to-market ratio, momentum, stock cheapness

41.

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

Journal of Investment Strategies, Vol. 10, No. 1
Number of pages: 24 Posted: 30 Jun 2021
Adam Zaremba and Nusret Cakici
Montpellier Business School and Fordham university
Downloads 0 (1,026,942)
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illiquidity premium; liquidity; size effect; small-firm premium; January effect; seasonality; international markets; Amihud’s ratio.

42.

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

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

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

43.

Hedge Fund Mergers

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

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44.

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 - McDonough School of Business and Fordham university

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

45.

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 - McDonough School of Business and Fordham university

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

46.

Closed-End Funds and Turnover Restrictions

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

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47.

How to Grow a Smiling Tree

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

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Other Papers (1)

Total Downloads: 361
1.

Interest Rate Changes and the Cross-Section of Global Equity Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 68 Posted: 27 Feb 2021 Last Revised: 09 Jan 2023
Montpellier Business School, Fordham university, Griffith UniversityGriffith University and Zhejiang University
Downloads 361 (165,322)

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