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Yigit Atilgan

Sabanci University

Orta Mahalle Üniversite Caddesi 27

Istanbul, Orhanli, 34956 Tuzla 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

15

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4,988

CITATIONS
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Top 12,011

in Total Papers Citations

33

Scholarly Papers (15)

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1.

Implied Volatility Spreads and Expected Market Returns

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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 677 (32,931)
Citation 33

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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 - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 400 (64,786)
Citation 33

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

2.

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 588 (23,126)

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

3.

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 186 (86,738)

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

4.

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 129 (158,618)

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

5.

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
Yigit Atilgan, Al (Aloke) Ghosh, Meng Yan and Jieying Zhang
Sabanci University, City University of New York (CUNY) - Baruch College, Fordham University - Gabelli School of Business and The University of Texas at Dallas
Downloads 113 (192,255)

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

6.

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 111 (184,626)

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

7.

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 75 (208,040)

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

8.

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 41 (218,695)

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

9.

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 21 (220,114)

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Emerging markets, derivatives, risk management, price discovery

10.

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 20 (305,066)

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share issues, equity returns, value effect, emerging markets

11.

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
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 19 (233,422)

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liquidity, emerging markets, equity returns, asset pricing

12.

Left-Tail Momentum: Limited Attention of Individual Investors and Expected Equity Returns

Georgetown McDonough School of Business Research Paper No. 3070777
Number of pages: 71 Posted: 16 Nov 2017 Last Revised: 10 Mar 2018
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (12,276)

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

13.

Does Downside Beta Really Matter?

Number of pages: 36 Posted: 20 Sep 2017
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
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Downside Risk, Downside Beta, Equity Returns, Asset Pricing

14.

Investor Reaction to Accounting Misstatements Under IFRS: Australian Evidence

Number of pages: 51 Posted: 30 Sep 2016 Last Revised: 27 Apr 2018
John Goodwin, Yigit Atilgan, Serif Aziz Simsir and Kamran Ahmed
Sabanci University, Sabanci University, Sabanci University and La Trobe University - School of Accounting
Downloads 0 (243,144)

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misstatement news, investor reaction, stealth misstatements

15.

Downside Beta and Equity Returns around the World

Georgetown McDonough School of Business Research Paper No. 2798580
Number of pages: 54 Posted: 23 Jun 2016 Last Revised: 09 Feb 2018
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (104,770)

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