Mustafa Onur Caglayan

Florida International University

Associate Professor of Finance

College of Business

11200 S.W. 8th St, Ryder Building 223B

Miami, FL 33199

United States

http://https://business.fiu.edu/faculty/expert-guides.cfm?FlagDirectory=Display&EMP=caglayanm

SCHOLARLY PAPERS

11

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3,556

CITATIONS
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in Total Papers Citations

39

Scholarly Papers (11)

Hedge Fund Performance and Manager Skill

Journal of Futures Markets, Forthcoming
Posted: 02 Oct 2001
Franklin R. Edwards and Mustafa Onur Caglayan
Columbia Business School - Finance and Economics and Florida International University

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Hedge Funds, Hedge Fund Performance, Manager Skill

Hedge Funds and Commodity Fund Investments in Bull and Bear Markets

Journal of Portfolio Management, Vol. 27, No. 4, Summer 2001
Posted: 13 Nov 2001
Franklin R. Edwards and Mustafa Onur Caglayan
Columbia Business School - Finance and Economics and Florida International University

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3.

Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?

Number of pages: 66 Posted: 18 Feb 2010 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,156 (16,911)
Citation 8

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Hedge Funds, Return Predictability, Risk Factors

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 38 Posted: 09 Mar 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 501 (53,248)
Citation 28

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 19 Dec 2011
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 217 (137,056)
Citation 28

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hedge funds, systematic risk, residual risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 15 Mar 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 200 (148,194)
Citation 28

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 29 Jan 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 89 (281,876)
Citation 28

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hedge funds, systematic risk, residual risk, return predictability

5.
Downloads 707 ( 34,317)
Citation 2

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 23 Oct 2013 Last Revised: 10 Feb 2014
Turan G. Bali, Stephen Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 399 (70,556)
Citation 2

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hedge funds, mutual funds, macroeconomic risk, economic uncertainty

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 20 Mar 2013 Last Revised: 18 Feb 2014
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 308 (95,220)
Citation 2

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hedge funds, economic uncertainty, risk factors, return predictability

6.

Upside Potential of Hedge Funds as a Predictor of Future Performance

Georgetown McDonough School of Business Research Paper No. 2661752
Number of pages: 80 Posted: 18 Sep 2015 Last Revised: 08 Nov 2018
Turan G. Bali, Stephen Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 318 (92,416)

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hedge funds; upside potential; return predictability

7.

Emerging Market Exposures and the Predictability of Hedge Fund Returns

Forthcoming in Financial Management
Number of pages: 39 Posted: 09 Apr 2012 Last Revised: 20 Dec 2013
Mustafa Onur Caglayan and Sevan Ulutas
Florida International University and Garanti Asset Management
Downloads 217 (137,406)
Citation 1

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emerging market betas, hedge funds, return predictability

8.

Industry Herding by Hedge Funds

Number of pages: 41 Posted: 09 Oct 2018 Last Revised: 17 Apr 2019
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 73 (314,786)

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herding, hedge funds, industry returns

9.

Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?

Number of pages: 62 Posted: 08 Mar 2019 Last Revised: 28 Mar 2019
Turan G. Bali, Stephen J. Brown, Mustafa Onur Caglayan and Umut Celiker
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 60 (348,812)

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hedge funds; timing ability; industry returns

10.

Global Investigation on the Country-Level Idiosyncratic Volatility and its Determinants

Number of pages: 55 Posted: 11 Sep 2018
Mustafa Onur Caglayan, Wenjun Xue and Liwen Zhang
Florida International University, Florida International University (FIU) - Department of Economics and Shanghai University of Finance and Economics
Downloads 18 (521,197)

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Idiosyncratic Volatility, Country Risk, Quantile GARCH Model

11.

Hedge Fund vs. Non-Hedge Fund Institutional Demand and the Book-to-Market Effect

Journal of Banking and Finance, Vol. 92, No. 51-66, 2018
Posted: 07 Nov 2016 Last Revised: 25 Nov 2018
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University

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Book-To-Market Effect; Institutional Demand; Hedge Funds