Yigit Atilgan

Sabanci University

Orta Mahalle √úniversite Caddesi 27

Istanbul, Orhanli, 34956 Tuzla 34956

Turkey

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 5,190

SSRN RANKINGS

Top 5,190

in Total Papers Downloads

7,664

CITATIONS
Rank 12,030

SSRN RANKINGS

Top 12,030

in Total Papers Citations

33

Scholarly Papers (16)

1.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics, Forthcoming
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 19 Dec 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 3,424 (2,700)

Abstract:

Loading...

left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

2.
Downloads 1,128 ( 16,966)
Citation 33

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 721 (31,933)
Citation 33

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 407 (66,857)
Citation 33

Abstract:

Loading...

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

3.

Volatility Spreads and Earnings Announcement Returns

Journal of Banking and Finance, Vol. 38, No. 1, 2014
Number of pages: 30 Posted: 25 Nov 2009 Last Revised: 28 Jul 2015
Yigit Atilgan
Sabanci University
Downloads 916 (23,134)

Abstract:

Loading...

cross-section of equity returns, volatility spreads, equity options, information flow, put-call parity.

4.

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 332 (85,513)

Abstract:

Loading...

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

5.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7
Number of pages: 54 Posted: 23 Jun 2016 Last Revised: 16 Aug 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 329 (87,264)

Abstract:

Loading...

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

6.

The Cross-Section of Equity Returns in Emerging Markets

Number of pages: 43 Posted: 04 Aug 2018
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 275 (105,391)

Abstract:

Loading...

Equity Risk, Anomalies, Cross-Section of Equity Returns, Emerging Markets

7.

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 188 (152,836)

Abstract:

Loading...

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

8.

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 148 (187,955)

Abstract:

Loading...

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

9.

Cross-Listed Bonds, Information Asymmetry and Rating Conservatism

Journal of Money, Credit, and Banking, Vol. 47, No. 5, 2015
Number of pages: 45 Posted: 02 Sep 2010 Last Revised: 07 Aug 2015
Sabanci University, City University of New York (CUNY) - Baruch College, Fordham University - Gabelli School of Business and The University of Texas at Dallas
Downloads 141 (196,649)

Abstract:

Loading...

cross-listed bonds, credit ratings, rating conservatism, cost of debt

10.

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 136 (201,314)

Abstract:

Loading...

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

11.

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 134 (203,724)

Abstract:

Loading...

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

12.

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 132 (206,147)

Abstract:

Loading...

Emerging markets, derivatives, risk management, price discovery

13.

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
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 127 (212,534)

Abstract:

Loading...

liquidity, emerging markets, equity returns, asset pricing

14.

Investor Reaction to Accounting Misstatements Under IFRS: Australian Evidence

Accounting & Finance, Forthcoming
Number of pages: 51 Posted: 30 Sep 2016 Last Revised: 19 Dec 2018
Sabanci University, Sabanci University, Sabanci University and La Trobe University - School of Accounting
Downloads 107 (240,996)

Abstract:

Loading...

misstatement news, investor reaction, stealth misstatements

15.

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 87 (276,182)

Abstract:

Loading...

share issues, equity returns, value effect, emerging markets

16.

Does Downside Beta Really Matter?

Number of pages: 36 Posted: 20 Sep 2017
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 60 (339,814)

Abstract:

Loading...

Downside Risk, Downside Beta, Equity Returns, Asset Pricing