Yigit Atilgan

Sabanci University

Orta Mahalle Üniversite Caddesi 27

Istanbul, Orhanli, 34956 Tuzla 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

22

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10,818

SSRN CITATIONS
Rank 21,889

SSRN RANKINGS

Top 21,889

in Total Papers Citations

38

CROSSREF CITATIONS

7

Scholarly Papers (22)

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1.

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
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 5,062 (2,400)
Citation 13

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

2.

Implied Volatility Spreads and Expected Market Returns

Downloads 1,276 ( 22,582)
Citation 6

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 830 (41,182)
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 446 (90,951)
Citation 3

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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 1,112 (27,634)
Citation 4

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

4.

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
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 544 (72,133)

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

5.

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 421 (98,080)
Citation 1

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

6.

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 305 (140,008)

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

7.

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 237 (180,194)
Citation 2

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liquidity, emerging markets, equity returns, asset pricing

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 215 (197,589)

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

9.

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
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 171 (242,047)
Citation 1

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

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 168 (245,603)
Citation 1

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

11.

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 166 (248,098)
Citation 2

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Emerging markets, derivatives, risk management, price discovery

12.

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 165 (249,373)

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

13.

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

Downloads 164 (250,634)
Citation 2

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
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 162 (253,777)
Citation 2

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

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

European Financial Management, Vol. 26, Issue 2, pp. 316-347, 2020
Number of pages: 32 Posted: 19 May 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 2 (912,033)

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asset pricing, downside beta, downside risk, equity returns, tail risk

14.

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, UNC Charlotte, Fordham University - Gabelli School of Business and The University of Texas at Dallas
Downloads 158 (258,685)

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

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 136 (291,344)

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share issues, equity returns, value effect, emerging markets

16.

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
John Goodwin, Yigit Atilgan, Serif Aziz Simsir and Kamran Ahmed
Sabanci University, Sabanci University, Sabanci University and La Trobe Business School, La Trobe University
Downloads 129 (303,232)

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misstatement news, investor reaction, stealth misstatements

17.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 114 (331,453)
Citation 1

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

18.

Mood Seasonality Around The Globe

Number of pages: 41 Posted: 24 Mar 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 113 (333,456)

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

19.

Average Skewness in Global Equity Markets

Number of pages: 48 Posted: 20 Oct 2020 Last Revised: 22 Feb 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 96 (371,494)
Citation 1

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

20.

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 66 (460,350)

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debt covenant; earnings announcement; equity valuation; corporate governance

21.

Momentum and Downside Risk in Emerging Markets

The Journal of Portfolio Management, forthcoming
Posted: 02 May 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
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

22.

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
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (905,643)

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