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

18

DOWNLOADS
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Top 14,039

in Total Papers Downloads

4,657

SSRN CITATIONS
Rank 9,156

SSRN RANKINGS

Top 9,156

in Total Papers Citations

126

CROSSREF CITATIONS

13

Scholarly Papers (18)

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 1,203 (22,642)
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 547 (65,555)
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: 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 227 (174,987)
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 211 (187,516)
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 99 (344,623)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

5.
Downloads 798 ( 40,550)
Citation 21

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 471 (78,915)
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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 327 (120,215)
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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 344 (114,389)

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hedge funds; upside potential; return predictability

7.

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 227 (175,398)

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hedge funds; timing ability; industry returns

8.

Hot Potatoes: Underpricing of Stocks following Extreme Negative Returns

Number of pages: 58 Posted: 19 Jan 2021 Last Revised: 17 Nov 2021
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 224 (177,588)

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extreme returns, large daily losses, underpricing

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 223 (178,321)
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 153 (248,637)

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herding, hedge funds, industry returns

11.

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: 11 Aug 2021
Mustafa Onur Caglayan, Umut Celiker and Gokhan Sonaer
Florida International University, Cleveland State University - Monte Ahuja College of Business and Duquesne University
Downloads 117 (305,250)

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disagreement, institutional trading, hedge funds

12.

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 83 (381,689)
Citation 1

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mutual fund herding, return comovement, institutional trading

13.

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 74 (407,680)

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

14.

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 64 (440,335)

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analyst recommendations, institutional demand, Regulation FD, hedge funds

15.

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 35 (565,047)

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Idiosyncratic Volatility, Country Risk, Quantile GARCH Model

16.

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

Number of pages: 48 Posted: 11 Oct 2021
Mustafa Onur Caglayan, Yuting Gong and Wenjun Xue
Florida International University, Department of Economics and Finance, SHU-UTS SILC Business School and Florida International University (FIU) - Department of Economics
Downloads 25 (624,716)

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

17.

Compounding Money and Nominal-Price Illusions

Number of pages: 74
Mustafa Onur Caglayan, Diogo Duarte and Xiaomeng Lu
Florida International University, Florida International University (FIU) - College of Business and Florida International University (FIU)
Downloads 3

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

18.

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