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

21

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SSRN CITATIONS
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246

CROSSREF CITATIONS

13

Scholarly Papers (21)

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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 University - Columbia Business School, Finance 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 University - Columbia Business School, Finance 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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,237 (26,105)
Citation 27

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Hedge Funds, Return Predictability, Risk Factors

4.

Systematic Risk and the Cross-Section of Hedge Fund Returns

Downloads 1,137 (29,552)
Citation 30

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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 569 (74,287)
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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 235 (200,111)
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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 223 (210,555)
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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 110 (379,380)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

5.

Macroeconomic Risk and Hedge Fund Returns

Downloads 866 (43,320)
Citation 45

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 J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 526 (82,042)
Citation 19

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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 - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 340 (136,804)
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 J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 362 (128,528)

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hedge funds; upside potential; return predictability

7.

Hot Potatoes: Underpricing of Stocks following Extreme Negative Returns

Number of pages: 54 Posted: 19 Jan 2021 Last Revised: 02 Jan 2023
Mustafa Onur Caglayan, Edward R. Lawrence and Robinson Reyes-Peña
Florida International University, Florida International University (FIU) - Department of Finance and Florida International University
Downloads 317 (148,232)

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extreme returns, large daily losses, underpricing

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 - McDonough School of Business, New York University - Stern School of Business, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 260 (181,838)
Citation 1

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hedge funds; timing ability; industry returns

9.

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 239 (197,514)
Citation 5

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emerging market betas, hedge funds, return predictability

10.

Industry Herding by Hedge Funds

The European Journal of Finance, forthcoming
Number of pages: 53 Posted: 09 Oct 2018 Last Revised: 11 Apr 2021
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 179 (257,479)

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herding, hedge funds, industry returns

11.

Macro Sentiment and Hedge Fund Returns

Number of pages: 68 Posted: 06 Apr 2022 Last Revised: 24 Jan 2023
Mustafa Onur Caglayan, Mehmet Canayaz, Timothy T. Simin and Le Zhao
Florida International University, Pennsylvania State University - Smeal College of Business, Pennsylvania State University and California State University, Fresno - Department of Finance and Business Law
Downloads 150 (298,782)

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Hedge funds, macro sentiment, return predictability, risk factors, ICAPM

12.

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

The Financial Review
Number of pages: 56 Posted: 09 Oct 2020 Last Revised: 17 May 2022
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 134 (326,768)

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disagreement, institutional investors, mispricing

13.

Mutual Fund Herding and Return Comovement in Chinese Equities

Number of pages: 43 Posted: 25 Sep 2020 Last Revised: 01 Jun 2021
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 121 (352,513)
Citation 1

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mutual fund herding, return comovement, institutional trading

14.

Are All Short-Term Institutional Investors Informed?

Downloads 91 (428,163)

Are All Short-Term Institutional Investors Informed?

Number of pages: 41 Posted: 06 Apr 2022 Last Revised: 17 Oct 2022
Mustafa Onur Caglayan, Umut Celiker and Mete Tepe
Florida International University, Cleveland State University - Monte Ahuja College of Business and Northern Trust
Downloads 58 (557,018)

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turnover, short-term institutional investors, hedge funds

Are All Short-Term Institutional Investors Informed?

Number of pages: 33 Posted: 23 Feb 2022 Last Revised: 22 Mar 2023
Mustafa Onur Caglayan, Umut Celiker and Mete Tepe
Florida International University, Cleveland State University - Monte Ahuja College of Business and Northern Trust
Downloads 33 (701,262)

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turnover, short-term institutional investors, hedge funds

15.

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

Number of pages: 73 Posted: 29 Sep 2020 Last Revised: 11 Oct 2021
Dallin Alldredge, Mustafa Onur Caglayan and Umut Celiker
Florida International University, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 88 (437,045)

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

16.

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

Financial Review, forthcoming
Number of pages: 52 Posted: 27 Jul 2020 Last Revised: 29 Apr 2021
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 85 (446,423)

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analyst recommendations, institutional demand, Regulation FD, hedge funds

17.

Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility

Number of pages: 59 Posted: 11 Oct 2021 Last Revised: 06 Feb 2023
Mustafa Onur Caglayan, Yuting Gong and Wenjun Xue
Florida International University, SILC Business School, Shanghai University and Florida International University (FIU) - Department of Economics
Downloads 66 (514,133)

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EPU spillovers, country-level idiosyncratic volatility, multivariate quantile model, international asset pricing

18.

Compounding Money and Nominal-Price Illusions

Number of pages: 76 Posted: 01 Mar 2022 Last Revised: 22 Feb 2023
Mustafa Onur Caglayan, Diogo Duarte and Xiaomeng Lu
Florida International University, Florida International University and Georgia College & State University
Downloads 62 (530,672)

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Money Illusion, Nominal-Price Illusion, Inflation, Fed Model

19.

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 55 (566,298)

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Idiosyncratic Volatility, Country Risk, Quantile GARCH Model

20.

Nonlinear Effects of Deviation from Target Leverage

Number of pages: 46 Posted: 01 May 2022 Last Revised: 09 Sep 2022
Mustafa Onur Caglayan, Diogo Duarte and Xiaomeng Lu
Florida International University, Florida International University and Georgia College & State University
Downloads 50 (585,735)

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Target leverage, capital structure, panel regression, portfolio analysis

21.

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