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

  • Florida International University

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    • Tel: (305) 348-8430
SCHOLARLY PAPERS

11

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CITATIONS
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Top 21,532

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30

Scholarly Papers (11)

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1.

Hedge Fund Performance and Manager Skill

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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

2.

Hedge Funds and Commodity Fund Investments in Bull and Bear Markets

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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 1,161 (17,200)
Citation 2

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Hedge Funds, Return Predictability, Risk Factors

4.

Systematic Risk and the Cross-Section of Hedge Fund Returns

Downloads 1,013 ( 21,073)
Citation 8

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 505 (53,694)
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 218 (138,842)
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 200 (150,744)
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 90 (284,523)
Citation 2

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hedge funds, systematic risk, residual risk, return predictability

5.

Macroeconomic Risk and Hedge Fund Returns

Downloads 713 ( 34,586)
Citation 3

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 405 (70,704)
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 (96,868)

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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 319 (93,700)

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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 (139,823)
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 76 (312,807)

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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?

Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 62 Posted: 08 Mar 2019 Last Revised: 15 Jul 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 71 (324,983)

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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 19 (525,076)

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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