Yigit Atilgan

Sabanci University

Orta Mahalle Üniversite Caddesi 27

Istanbul, Orhanli, 34956 Tuzla 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

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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
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 3,615 (2,638)
Citation 1

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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 1,152 ( 17,539)
Citation 2

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 739 (32,662)
Citation 4

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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 413 (69,429)
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 949 (23,380)
Citation 2

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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

Number of pages: 41 Posted: 04 Aug 2018 Last Revised: 03 Jun 2019
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 386 (75,875)

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Equity Risk, Tail Risk, 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 348 (85,582)

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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 198 (153,287)

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

7.

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 150 (195,562)

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

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
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 148 (197,700)

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liquidity, emerging markets, equity returns, asset pricing

9.

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 (197,700)

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

10.

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 143 (203,313)

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

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 140 (206,807)

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Emerging markets, derivatives, risk management, price discovery

12.

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 137 (210,525)

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

13.

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
John Goodwin, Yigit Atilgan, Serif Aziz Simsir and Kamran Ahmed
Sabanci University, Sabanci University, Sabanci University and La Trobe University - School of Accounting
Downloads 112 (245,105)

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misstatement news, investor reaction, stealth misstatements

14.

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

European Financial Management, Forthcoming
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 19 May 2019
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 95 (274,288)
Citation 1

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

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 91 (281,938)

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share issues, equity returns, value effect, emerging markets

16.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019
Number of pages: 58 Posted: 19 Jul 2019
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 24 (499,336)

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

17.

Decomposing Value Globally

Number of pages: 35 Posted: 26 Jun 2019
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 17 (540,103)

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

18.

The Impact of Debt Covenants on Earnings Announcement Returns

Number of pages: 38 Posted: 09 Jul 2019
Yigit Atilgan and Evrim Akdogu
Sabanci University and Sabanci University
Downloads 12 (570,434)

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debt covenant; earnings announcement; equity valuation; corporate governance

19.

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 - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (670,354)

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