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

16

DOWNLOADS
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in Total Papers Downloads

4,126

SSRN CITATIONS
Rank 9,107

SSRN RANKINGS

Top 9,107

in Total Papers Citations

122

CROSSREF CITATIONS

12

Scholarly Papers (16)

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 1,188 (19,758)
Citation 27

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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 527 (59,826)
Citation 1

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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 222 (158,488)
Citation 1

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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 201 (173,680)
Citation 1

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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 96 (313,125)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

5.
Downloads 765 ( 37,118)
Citation 19

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 446 (73,678)
Citation 18

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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 319 (108,655)
Citation 1

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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 336 (103,241)

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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 222 (158,243)
Citation 4

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emerging market betas, hedge funds, return predictability

8.

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

Journal of Financial and Quantitative Analysis, forthcoming, NYU Stern School of Business, Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 70 Posted: 08 Mar 2019 Last Revised: 06 Oct 2020
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 175 (196,723)

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hedge funds; timing ability; industry returns

9.

Industry Herding by Hedge Funds

Number of pages: 39 Posted: 09 Oct 2018 Last Revised: 04 May 2020
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 131 (249,709)

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herding, hedge funds, industry returns

10.

Disagreement between Hedge Funds and Other Institutional Investors and the Cross-Section of Expected Stock Returns

Number of pages: 58 Posted: 09 Oct 2020 Last Revised: 16 Jan 2021
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 110 (283,588)

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disagreement, institutional trading, hedge funds

11.

How Do Investors Trade R&D-intensive Stocks? Evidence from Hedge Funds and Other Institutional Investors

Number of pages: 50 Posted: 29 Sep 2020 Last Revised: 30 Oct 2020
Dallin Alldredge, Mustafa Onur Caglayan and Umut Celiker
Florida International University, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 39 (487,365)

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research and development (R&D), institutional trading, hedge funds

12.

Mutual Fund Herding and Return Comovement in Chinese Equities

Number of pages: 36 Posted: 25 Sep 2020
Mustafa Onur Caglayan, Yu Hu and Wenjun Xue
Florida International University, Florida International University, Department of Finance and Florida International University (FIU) - Department of Economics
Downloads 34 (510,813)

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mutual fund herding, return comovement, institutional trading

13.

Sell-side Analyst Recommendation Revisions and Hedge Fund Trading before and after Regulation FD

Number of pages: 52 Posted: 27 Jul 2020 Last Revised: 21 Nov 2020
Mustafa Onur Caglayan, Umut Celiker and Edward R. Lawrence
Florida International University, Cleveland State University - Monte Ahuja College of Business and Florida International University (FIU) - Department of Finance
Downloads 33 (515,864)

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analyst recommendations, institutional demand, Regulation FD, hedge funds

14.

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

Journal of Empirical Finance, Forthcoming
Number of pages: 57 Posted: 11 Sep 2018 Last Revised: 24 Nov 2019
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 28 (542,779)

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Idiosyncratic Volatility, Country Risk, Quantile GARCH Model

15.

Hot Potatoes: Overreaction to Extreme Negative Returns

Number of pages: 44 Posted: 19 Jan 2021
Mustafa Onur Caglayan and Robinson Reyes-Peña
Florida International University and Florida International University
Downloads 19 (612,880)

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extreme returns, maximum daily losses, overreaction

16.

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