Nusret Cakici

Fordham University

Professor of Finance

Fordham University

Graduate School of Business

New York, NY 10023

United States

  • Fordham University

SCHOLARLY PAPERS

32

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CITATIONS
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351

Scholarly Papers (32)

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1.

The Joint Cross Section of Stocks and Options

Downloads 2,811 ( 4,034)
Citation 25

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 1,450 (11,884)
Citation 7

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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
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,125 (17,660)
Citation 2

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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
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 196 (153,553)
Citation 2

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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
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 40 (430,694)
Citation 2

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2.

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Downloads 2,245 ( 5,866)
Citation 135

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 1,256 (14,910)
Citation 5

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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 - Robert Emmett McDonough School of Business and Fordham University
Downloads 989 (21,414)
Citation 2

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

3.

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

Downloads 1,768 ( 8,792)
Citation 137

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 1,482 (11,470)
Citation 47

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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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 215 (140,554)
Citation 20

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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: 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 71 (328,357)

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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 1,619 (10,179)
Citation 1

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5.

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 1,537 (11,051)

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

6.

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 701 (35,360)
Citation 2

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

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 682 (36,744)
Citation 4

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

8.

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 678 (37,042)

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

9.

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 564 (47,245)

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Emerging markets, cross-sectional stock returns, market comovements

10.

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 564 (47,245)
Citation 16

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11.

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

Downloads 558 ( 47,899)
Citation 13

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 186 (161,172)

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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?

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 83 (299,235)

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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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 81 (303,756)

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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 70 (331,020)

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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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 69 (333,681)

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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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 53 (382,176)

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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
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 16 (562,380)
Citation 2

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12.

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 499 (55,090)
Citation 1

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

13.

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 469 (59,582)

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

14.

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

Number of pages: 31 Posted: 18 May 2017 Last Revised: 14 May 2018
Nusret Cakici, Sris Chatterjee and Yi Tang
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 407 (70,827)
Citation 1

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Profitability, enterprise value, behavioral finance, international asset pricing

15.

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

Downloads 357 ( 82,462)
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 191 (157,263)
Citation 1

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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 - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 166 (178,435)

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

16.

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 356 (82,723)

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

17.

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 225 (134,861)
Citation 1

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

18.

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 150 (194,242)

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

19.

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 146 (198,549)

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Risk-Neutral Distribution, Option Returns

20.

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 135 (211,580)

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

21.

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 101 (261,680)
Citation 1

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Equity Options, Capital Markets, Short Sales

22.

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 87 (288,078)

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23.

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 74 (317,310)
Citation 1

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SEC; Shorting Ban; OPRA; Intraday Stock Options

24.

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 66 (337,803)

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

25.

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 60 (354,451)

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

26.

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 41 (417,943)

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risk management; default risk; option pricing

27.

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

28.

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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29.

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

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

30.

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

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

31.

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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32.

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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