Yigit Atilgan

Sabanci University

Orta Mahalle Üniversite Caddesi 27

Istanbul, Orhanli, 34956 Tuzla 34956

Turkey

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 1,839

SSRN RANKINGS

Top 1,839

in Total Papers Downloads

28,805

SSRN CITATIONS

105

CROSSREF CITATIONS

5

Scholarly Papers (25)

1.

Does the Carbon Premium Reflect Risk or Mispricing?

European Corporate Governance Institute – Finance Working Paper No. 940/2023
Number of pages: 26 Posted: 25 Sep 2023 Last Revised: 27 Nov 2023
Sabanci University, Sabanci University Graduate School of Management, London Business School - Institute of Finance and Accounting and Sabanci University
Downloads 15,551 (440)

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Carbon Premium, Climate Finance, Socially Responsible Investing, Corporate Social Responsibility, ESG Investing

2.

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

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 6,471 (2,043)
Citation 51

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

3.
Downloads 1,386 (24,873)
Citation 10

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 - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 913 (44,585)
Citation 6

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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 - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 473 (104,339)
Citation 3

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

4.

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 1,153 (32,563)
Citation 4

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

5.

Predicting Equity Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 57, No. 13, 2021
Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 23 Mar 2022
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 652 (70,915)

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tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

6.

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 464 (107,900)
Citation 1

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

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 349 (149,247)

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

8.

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 283 (186,203)
Citation 3

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liquidity, emerging markets, equity returns, asset pricing

9.

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 248 (212,458)

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

10.

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 219 (239,537)
Citation 1

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

11.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 214 (244,810)
Citation 4

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downside risk, tail risk, left-tail momentum, equity returns, international finance

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 205 (254,621)
Citation 2

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Emerging markets, derivatives, risk management, price discovery

13.

Mood Seasonality Around The Globe

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 41 Posted: 24 Mar 2022 Last Revised: 09 Oct 2023
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 200 (260,426)

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equity returns, return seasonality, investor mood, mood beta, market efficiency, anomalies, international finance

14.

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 186 (277,858)
Citation 2

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Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

15.

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 182 (283,202)

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

16.

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, UNC Charlotte, Fordham University - Gabelli School of Business and The University of Texas at Dallas
Downloads 174 (294,654)
Citation 2

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

17.

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 166 (306,679)

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share issues, equity returns, value effect, emerging markets

18.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 140 (352,845)
Citation 1

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value premium, decomposing value, size effect, cross-section of equity returns, international finance

19.

Investor Reaction to Accounting Misstatements Under IFRS: Australian Evidence

Accounting & Finance, Vol. 60, No. 3, 2020
Number of pages: 51 Posted: 30 Sep 2016 Last Revised: 02 Oct 2020
Corvinus University, Sabanci University, Sabanci University and La Trobe Business School, La Trobe University
Downloads 139 (354,829)

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misstatement news, investor reaction, stealth misstatements

20.

Average Skewness in Global Equity Markets

International Review of Finance, Vol. 23, No. 2, 2023
Number of pages: 48 Posted: 20 Oct 2020 Last Revised: 31 Jul 2023
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 135 (362,898)
Citation 1

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equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

21.

Performance Implications of Hedging with Industry ETFs

Number of pages: 25 Posted: 23 Feb 2023 Last Revised: 30 Sep 2023
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 127 (380,120)

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exchange traded funds, risk management, performance evaluation, hedge funds

22.

Price Discovery in Emerging Market ETFs

Applied Economics, Vol. 54, No. 47, 2022
Number of pages: 33 Posted: 20 Oct 2020 Last Revised: 21 Sep 2022
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 81 (516,219)

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exchange traded funds, equity markets, price discovery, information efficiency

23.

The Impact of Debt Covenants on Earnings Announcement Returns

Applied Economics, Vol. 53, No. 50, 2021
Number of pages: 42 Posted: 09 Jul 2019 Last Revised: 23 Mar 2022
Evrim Akdoğu and Yigit Atilgan
Sabanci University and Sabanci University
Downloads 80 (520,022)

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debt covenant; earnings announcement; equity valuation; corporate governance

24.

Momentum and Downside Risk in Emerging Markets

The Journal of Portfolio Management, Vol. 48, No. 8, 2022
Posted: 02 May 2022 Last Revised: 09 Oct 2023
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management

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momentum, downside risk, emerging markets, performance measurement

25.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (1,060,134)

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