Turan G. Bali

Georgetown University - McDonough School of Business

Robert S. Parker Chair Professor of Business Administration

3700 O Street, NW

Washington, DC 20057

United States

https://sites.google.com/a/georgetown.edu/turan-bali

  • Georgetown University - McDonough School of Business

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    • Tel: (202) 687-5388
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SCHOLARLY PAPERS

91

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104,698

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3,355

CROSSREF CITATIONS

1,125

Scholarly Papers (91)

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1.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 6,466 (2,032)
Citation 51

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left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

2.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas, Haim Levy and Avner Wolf
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 6,054 (2,281)
Citation 5

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Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

3.

Option Return Predictability with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3895984
Number of pages: 156 Posted: 18 Aug 2021 Last Revised: 18 Jul 2023
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert
Georgetown University - McDonough School of Business, University of Münster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 4,475 (3,820)
Citation 24

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Machine learning, big data, option return predictability

4.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 4,021 (4,567)
Citation 37

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

5.

Volatility Spreads and Expected Stock Returns

Downloads 4,005 ( 4,592)
Citation 125

Volatility Spreads and Expected Stock Returns

Number of pages: 33 Posted: 12 Nov 2007
Turan G. Bali and Armen Hovakimian
Georgetown University - McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 2,745 (8,332)
Citation 7

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expected returns, implied volatility, realized volatility, volatility spread

Volatility Spreads and Expected Stock Returns

Management Science, Forthcoming
Number of pages: 32 Posted: 04 Aug 2009
Turan G. Bali and Armen Hovakimian
Georgetown University - McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 1,260 (28,067)
Citation 50

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realized volatility, implied volatility, volatility risk, jump risk, stock returns

6.

Predicting Corporate Bond Returns: Merton Meets Machine Learning

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 70 Posted: 17 Sep 2020 Last Revised: 25 Aug 2022
Turan G. Bali, Amit Goyal, Dashan Huang, Fuwei Jiang and Quan Wen
Georgetown University - McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and McDonough School of Business, Georgetown University
Downloads 3,834 (4,950)
Citation 12

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machine learning, big data, corporate bond returns, cross-sectional return predictability

7.

The Joint Cross Section of Stocks and Options

Downloads 3,562 ( 5,630)
Citation 90

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Andrew Ang, Turan G. Bali and Nusret Cakici
BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 1,606 (19,482)
Citation 12

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implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 1,593 (19,728)
Citation 5

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 247 (211,765)
Citation 14

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590
Number of pages: 96 Posted: 01 Nov 2013 Last Revised: 13 Jul 2023
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
San Diego State University - Finance Department, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads 116 (406,892)
Citation 13

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8.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 3,230 (6,616)
Citation 98

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

9.

Investing in Stock Market Anomalies

Downloads 2,766 ( 8,365)
Citation 1

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 15 Mar 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 1,863 (15,480)

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 52 Posted: 10 Apr 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 513 (94,266)
Citation 1

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 01 Feb 2012 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 390 (130,456)
Citation 3

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Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

10.

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Downloads 2,536 ( 9,615)
Citation 190

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 08 Aug 2006
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 1,509 (21,465)
Citation 59

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idiosyncratic risk, expected stock returns, size, book-to-market, liquidity

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Number of pages: 29 Posted: 03 Mar 2006
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 1,027 (37,680)
Citation 5

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idiosyncratic risk, total risk, expected stock returns, size, liquidity

11.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 2,299 (11,319)
Citation 166

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corporate bond, risk factors, downside risk, credit risk, liquidity risk

12.

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Downloads 2,219 (11,973)
Citation 71

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 71 Posted: 22 Mar 2010 Last Revised: 09 Jul 2013
Turan G. Bali and Scott Murray
Georgetown University - McDonough School of Business and Georgia State University
Downloads 1,777 (16,680)
Citation 8

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Cross-Section of Expected Returns, Risk-Neutral Skewness

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 72 Posted: 30 Jan 2012 Last Revised: 25 Apr 2012
Turan G. Bali and Scott Murray
Georgetown University - McDonough School of Business and Georgia State University
Downloads 442 (112,653)
Citation 20

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Cross-Section of Expected Returns, Risk-Neutral Skewness

13.

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Downloads 2,194 (12,184)
Citation 468

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 1,816 (16,127)
Citation 33

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expected stock returns, maximum returns, idiosyncratic volatility, skewness

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NYU Working Paper No. FIN-08-025
Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 259 (201,988)
Citation 67

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NBER Working Paper No. w14804
Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 15 Dec 2022
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 119 (399,332)

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14.

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Downloads 2,118 (12,867)
Citation 38

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 1,396 (24,076)
Citation 5

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56 Posted: 24 Jul 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 722 (61,093)
Citation 30

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

15.

Liquidity Shocks and Stock Market Reactions

Downloads 1,870 (15,658)
Citation 32

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 1,288 (27,124)
Citation 1

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Expected stock returns, liquidity, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Georgetown McDonough School of Business Research Paper No. 2012-02
Number of pages: 108 Posted: 10 May 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 418 (120,325)
Citation 35

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Number of pages: 108 Posted: 15 Mar 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen, Yannan Shen and Yi Tang
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley UniversityCUNY Baruch College and Fordham University - Gabelli School of Business
Downloads 164 (308,777)
Citation 1

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

16.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,779 (16,947)
Citation 33

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

17.

Risk, Uncertainty, and Expected Returns

Downloads 1,693 (12,214)
Citation 34

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 1,400 (23,962)
Citation 30

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Georgetown McDonough School of Business Research Paper No. 1993304
Number of pages: 79 Posted: 30 Jan 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 293 (178,061)
Citation 3

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Sixth Singapore International Conference on Finance 2012 Paper
Posted: 30 Jul 2011 Last Revised: 16 Nov 2022
Turan G. Bali and Hao Zhou
Georgetown University - McDonough School of Business and Tsinghua University - PBC School of Finance

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

18.

Contrarian Investment, New Share Issues and Repurchases

Number of pages: 43 Posted: 15 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 1,644 (19,142)
Citation 1

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Share issues, share repurchases, contrarian investment, expected stock returns, value-to-market ratios

19.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

Downloads 1,622 (19,516)
Citation 21

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

9th Miami Behavioral Finance Conference 2018, Baruch College Zicklin School of Business Research Paper No. 2019-03-01, Georgetown McDonough School of Business Research Paper No. 3343769
Number of pages: 70 Posted: 15 Mar 2019 Last Revised: 10 Dec 2021
Turan G. Bali, David A. Hirshleifer, Lin Peng and Yi Tang
Georgetown University - McDonough School of Business, Marshall School of Business, USC, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 1,589 (19,800)
Citation 21

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lottery stocks, investor attention, social interactions, social network, MAX, skewness, retail investors.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

NBER Working Paper No. w29543
Number of pages: 70 Posted: 07 Dec 2021 Last Revised: 16 Apr 2023
Turan G. Bali, David A. Hirshleifer, Lin Peng and Yi Tang
Georgetown University - McDonough School of Business, Marshall School of Business, USC, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 33 (792,287)
Citation 6

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20.

Testing Mean Reversion in Stock Market Volatility

Journal of Futures Markets, Vol. 28, No. 1, pp. 1-33, 2008
Number of pages: 36 Posted: 17 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 1,611 (19,730)

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reversion, fat-tailed distributions, diffusion, GARCH, stochastic volatility

21.

A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?

Number of pages: 40 Posted: 11 Oct 2006
Turan G. Bali, Susan Hume and Terrence F. Martell
Georgetown University - McDonough School of Business, The College of New Jersey - School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business
Downloads 1,416 (24,010)
Citation 4

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hedging, derivatives use, risk management, risk exposure

22.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Turan G. Bali, Massoud Heidari and Liuren Wu
Georgetown University - McDonough School of Business, Point72 and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,410 (24,168)
Citation 9

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Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

23.

Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing?

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 67 Posted: 12 Mar 2014 Last Revised: 03 Feb 2020
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,388 (24,742)
Citation 3

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dispersion in economic forecasts, mispricing, disagreement risk, cross-section of stock returns, return predictability

24.

Implied Volatility Spreads and Expected Market Returns

Downloads 1,384 (24,845)
Citation 10

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 30 Jan 2012 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 912 (44,486)
Citation 6

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expected market returns, volatility spreads, variance risk premia, information based explanation

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 10 Mar 2011 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 472 (104,256)
Citation 3

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expected market return, variance risk premium, implied volatility spreads, conditional skewness

25.

Machine Forecast Disagreement

Downloads 1,367 (25,277)
Citation 1

Machine Forecast Disagreement

Georgetown McDonough School of Business Research Paper No. 4537501
Number of pages: 54 Posted: 14 Aug 2023 Last Revised: 06 Nov 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil A. Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 1,363 (24,971)

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machine forecast disagreement, analyst forecast dispersion, stock returns, costly arbitrage, mispricing

Machine Forecast Disagreement

NBER Working Paper No. w31583
Number of pages: 54 Posted: 21 Aug 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 4 (1,068,481)
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26.

Investigating ICAPM with Dynamic Conditional Correlations

Downloads 1,322 (26,515)
Citation 8

Investigating ICAPM with Dynamic Conditional Correlations

AFA 2009 San Francisco Meetings Paper
Number of pages: 61 Posted: 04 Feb 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 1,062 (35,908)
Citation 9

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

Investigating Icapm with Dynamic Conditional Correlations

NYU Working Paper No. FIN-07-051
Number of pages: 67 Posted: 13 Nov 2008
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 260 (201,178)

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

27.

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 1,263 (28,428)
Citation 38

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Hedge Funds, Return Predictability, Risk Factors

28.

Unusual News Events and the Cross-Section of Stock Returns

Downloads 1,262 (28,469)
Citation 5

Unusual News Events and the Cross-Section of Stock Returns

Number of pages: 66 Posted: 18 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 764 (56,619)
Citation 6

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unusual news events, volatility shocks, differences of opinion

Unusual News Events and the Cross-Section of Stock Returns

UC Davis Graduate School of Management Research Paper No. 10-09
Number of pages: 66 Posted: 27 Jan 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 498 (97,726)
Citation 4

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idiosyncratic volatility shocks, unusual news events, divergence of opinion

29.

Systematic Risk and the Cross-Section of Hedge Fund Returns

Downloads 1,176 (31,519)
Citation 33

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 583 (80,225)
Citation 2

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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 247 (211,765)
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 231 (226,224)
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 115 (409,540)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

30.

Value at Risk and the Cross-Section of Hedge Fund Returns

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 18 Mar 2005
Turan G. Bali, Suleyman Gokcan and Bing Liang
Georgetown University - McDonough School of Business, Citigroup Alternative Investments and University of Massachusetts Amherst - Department of Finance
Downloads 1,175 (31,567)
Citation 7

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hedge funds, value at risk, cross-section of expected returns, liquidity

31.

Cyclicality in Catastrophic and Operational Risk Measurements

Downloads 993 (31,735)
Citation 33

Cyclicality in Catastrophic and Operational Risk Measurements

Number of pages: 51 Posted: 18 Feb 2004
Turan G. Bali and Linda Allen
Georgetown University - McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 794 (53,802)
Citation 23

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution.

Cyclicality in Catastrophic and Operational Risk Measurements

NYU Working Paper No. FIN-04-019
Number of pages: 51 Posted: 03 Nov 2008
Linda Allen and Turan G. Bali
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Georgetown University - McDonough School of Business
Downloads 199 (260,136)

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution

32.

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Downloads 1,165 (32,005)
Citation 4

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 10 Nov 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 573 (82,022)
Citation 4

Abstract:

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G12; G13; C51

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 362 (141,868)
Citation 5

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ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

NYU Working Paper No. FIN-08-037
Number of pages: 56 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 230 (228,135)

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33.

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Downloads 1,161 (32,132)
Citation 81

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Number of pages: 85 Posted: 12 Jun 2010 Last Revised: 07 Jul 2012
Linda Allen, Turan G. Bali and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgetown University - McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 912 (44,486)
Citation 39

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Georgetown McDonough School of Business Research Paper No. 1993312
Number of pages: 85 Posted: 30 Jan 2012 Last Revised: 14 Jul 2015
Turan G. Bali, Linda Allen and Yi Tang
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 249 (210,090)
Citation 49

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

34.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,076 (35,768)
Citation 27

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Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

35.

Long-Term Reversals in the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 17 Mar 2019 Last Revised: 24 Dec 2019
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 1,021 (38,553)
Citation 40

Abstract:

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Corporate bonds, long-term reversal

36.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 1,013 (38,968)
Citation 19

Abstract:

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Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors

37.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 54 Posted: 01 Jun 2017 Last Revised: 06 Apr 2020
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 969 (41,540)
Citation 5

Abstract:

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Economic uncertainty, risk premia, corporate bond returns

38.

A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Turan G. Bali and David Weinbaum
Georgetown University - McDonough School of Business and Syracuse University
Downloads 952 (42,576)

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extreme value, realized volatility, high-frequency returns, GARCH, implied volatility

39.

Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR

Number of pages: 31 Posted: 06 Sep 2006
Turan G. Bali, Henry Mo and Yi Tang
Georgetown University - McDonough School of Business, Credit Suisse - Fixed Income Division and Fordham University - Gabelli School of Business
Downloads 922 (44,469)
Citation 8

Abstract:

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conditional value at risk, GARCH, skewed generalized t distribution, conditional skewness and kurtosis

40.

Macroeconomic Risk and Hedge Fund Returns

Downloads 920 (44,601)
Citation 61

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 568 (82,936)
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 352 (146,322)
Citation 1

Abstract:

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hedge funds, economic uncertainty, risk factors, return predictability

41.

Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data

Number of pages: 39 Posted: 03 Oct 2006
Turan G. Bali and Lin Peng
Georgetown University - McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 915 (44,947)
Citation 10

Abstract:

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ICAPM, intraday data, stock market volatility, stock market returns, risk-return tradeoff

42.

Do Hedge Funds Outperform Stocks and Bonds?

Downloads 912 (45,142)
Citation 14

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 44 Posted: 10 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 483 (101,441)
Citation 6

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 34 Posted: 07 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 429 (116,680)
Citation 1

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM

43.

Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 3, pp. 657-684, 2008
Number of pages: 48 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Hassan Tehranian
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Boston College - Department of Finance
Downloads 898 (46,096)

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earnings, dividends, stock returns, market returns, predictability, business cycle

44.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 863 (48,689)
Citation 4

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mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

45.

The Conditional CAPM Explains the Value Premium

Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of pages: 41 Posted: 18 Nov 2012 Last Revised: 25 Mar 2014
Turan G. Bali and Robert F. Engle
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 850 (49,714)
Citation 4

Abstract:

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Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta

46.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Downloads 774 (56,574)
Citation 12

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Journal of Financial Economics, Forthcoming, Georgetown McDonough School of Business Research Paper No. 3401231
Number of pages: 73 Posted: 21 Jun 2019 Last Revised: 27 Apr 2021
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 738 (59,431)
Citation 2

Abstract:

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corporate bonds, systematic risk, idiosyncratic volatility, risk-return tradeoff.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

NBER Working Paper No. w25995
Number of pages: 63 Posted: 26 Jun 2019 Last Revised: 13 Jul 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 36 (768,542)
Citation 11

Abstract:

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47.

Riskiness Measures and Expected Returns

Number of pages: 51 Posted: 11 Apr 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 764 (57,440)
Citation 2

Abstract:

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Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns

48.

A Factor Model for Stock Returns Based on Option Prices

Number of pages: 68 Posted: 01 Dec 2019 Last Revised: 13 May 2022
Turan G. Bali, Fousseni Chabi-Yo and Scott Murray
Georgetown University - McDonough School of Business, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 757 (58,154)
Citation 1

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Factor model, option prices, cross section of stock returns

49.

Corporate Financing Activities and Contrarian Investment

Review of Finance, Vol. 14, No. 3, pp. 543-584, 2010, Georgetown McDonough School of Business Research Paper
Number of pages: 45 Posted: 18 Jul 2009 Last Revised: 19 Apr 2013
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 741 (59,874)
Citation 2

Abstract:

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50.

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Number of pages: 56 Posted: 16 Mar 2005
Turan G. Bali and Liuren Wu
Georgetown University - McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 728 (61,275)
Citation 1

Abstract:

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ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance

51.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - McDonough School of Business, Fordham university and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 726 (61,501)
Citation 3

Abstract:

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idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

52.

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Downloads 716 (62,655)
Citation 29

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 09 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 224 (232,907)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 95 (469,527)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Georgetown McDonough School of Business Research Paper No. 1993287
Number of pages: 54 Posted: 30 Jan 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 95 (469,527)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 91 (483,002)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 87 (496,879)

Abstract:

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper
Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 71 (561,621)

Abstract:

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NBER Working Paper No. w19460
Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 05 Mar 2023
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - McDonough School of Business, Fordham university and New York University
Downloads 53 (653,820)
Citation 15

Abstract:

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53.

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Georgetown McDonough School of Business Research Paper No. 3664501
Number of pages: 115 Posted: 12 Aug 2020 Last Revised: 24 May 2023
Turan G. Bali, A. Doruk Gunaydin, Thomas Jansson and Yigitcan Karabulut
Georgetown University - McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 684 (66,608)

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low risk anomalies, individual investors, idiosyncratic volatility, lottery stocks, skewness preference, social status, wealthy investors

54.

Investor Regret and Stock Returns

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 98 Posted: 19 Jun 2018 Last Revised: 27 Apr 2023
Yakup Eser Arısoy, Turan G. Bali and Yi Tang
NEOMA Business School, Georgetown University - McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 653 (70,501)
Citation 4

Abstract:

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Regret theory, equity returns, investor sophistication, household trading, informational frictions, limits-to-arbitrage, costly arbitrage.

55.

A Comprehensive Analysis of the Short-Term Interest Rate Dynamics

Number of pages: 33 Posted: 15 Apr 2005
Turan G. Bali and Liuren Wu
Georgetown University - McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 649 (71,106)
Citation 1

Abstract:

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Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility

56.

Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility

Number of pages: 83 Posted: 27 May 2017 Last Revised: 28 Mar 2019
Turan G. Bali, Luca Del Viva, Neophytos Lambertides and Lenos Trigeorgis
Georgetown University - McDonough School of Business, ESADE Business School, Cyprus University of Technology and University of Cyprus - Department of Public and Business Administration
Downloads 643 (71,959)
Citation 2

Abstract:

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Stock Market Anomalies, Stock Returns, Growth Options, Profitability, Lotteryness, Distress, Idiosyncratic Volatility, Idiosyncratic Skewness

57.

Value Uncertainty

Georgetown McDonough School of Business Research Paper No. 3299582
Number of pages: 91 Posted: 02 Jan 2019 Last Revised: 05 Oct 2020
Turan G. Bali, Luca Del Viva, Menna El Hefnawy and Lenos Trigeorgis
Georgetown University - McDonough School of Business, ESADE Business School, Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF) and University of Cyprus - Department of Public and Business Administration
Downloads 642 (72,097)
Citation 1

Abstract:

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Real Options, value stocks, book-to-market uncertainty, equity returns

58.

Unusual News Flow and the Cross-Section of Stock Returns

Georgetown McDonough School of Business Research Paper No. 2820320, Gabelli School of Business, Fordham University Research Paper No. 2820320
Number of pages: 56 Posted: 12 Aug 2016 Last Revised: 15 Nov 2016
Turan G. Bali, Andriy Bodnaruk, Anna Scherbina and Yi Tang
Georgetown University - McDonough School of Business, University of Illinois at Chicago, Brandeis University and Fordham University - Gabelli School of Business
Downloads 609 (76,926)
Citation 12

Abstract:

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Unusual News Flow, Volatility Shocks, Short Sale Constraints, Market Efficiency

59.

Replication of BBW Factors with WRDS Data

Georgetown McDonough School of Business Research Paper No. 4476612
Number of pages: 27 Posted: 22 Jun 2023 Last Revised: 06 Nov 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 597 (79,203)
Citation 1

Abstract:

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WRDS bond database, corporate bonds, BBW factors

60.

Labor Market Networks, Fundamentals, and Stock Returns

Georgetown McDonough School of Business Research Paper No. 3951333
Number of pages: 70 Posted: 27 Oct 2021 Last Revised: 01 Dec 2022
Joon Woo Bae, Turan G. Bali, Ali Sharifkhani and Xiaofei Zhao
Case Western Reserve University - Weatherhead School of Management, Georgetown University - McDonough School of Business, Northeastern University and Georgetown University - McDonough School of Business
Downloads 558 (85,865)

Abstract:

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Labor network, labor productivity, asset returns.

61.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 481 (103,041)
Citation 7

Abstract:

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

62.

Firm Growth Potential and Option Returns

Georgetown McDonough School of Business Research Paper No. 3874674
Number of pages: 63 Posted: 25 Apr 2023 Last Revised: 13 Jul 2023
Panayiotis C. Andreou, Turan G. Bali, Anastasios Kagkadis and Neophytos Lambertides
Cyprus University of Technology, Georgetown University - McDonough School of Business, Lancaster University - Department of Accounting and Finance and Cyprus University of Technology
Downloads 453 (110,600)

Abstract:

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Option returns, firm growth potential, growth options, jumps, market beta, volatility risk premium

63.

Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance

Journal of Portfolio Management, Vol. 32, No. 3, pp. 80-92, 2006
Number of pages: 28 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas, Armen Hovakimian and John J. Merrick Jr.
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management, Baruch College - Zicklin School of Business and Raymond A. Mason School of Business - William & Mary
Downloads 441 (114,108)

Abstract:

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64.

Hedge Funds and the Positive Idiosyncratic Volatility Effect

Georgetown McDonough School of Business Research Paper No. 3292347, University of St.Gallen, School of Finance Research Paper
Number of pages: 59 Posted: 12 Dec 2018 Last Revised: 18 Jul 2023
Turan G. Bali and Florian Weigert
Georgetown University - McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 434 (116,260)
Citation 3

Abstract:

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Hedge Funds, Idiosyncratic Volatility Puzzle, Equity Portfolio Holdings, Short-Selling, Managerial Incentives, Investment Performance

65.

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Downloads 431 (117,262)
Citation 7

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Fisher College of Business Working Paper No. 2012-03-009, Charles A. Dice Center Working Paper No. 2012-9
Number of pages: 61 Posted: 10 May 2012 Last Revised: 06 Sep 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 231 (226,224)
Citation 6

Abstract:

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Number of pages: 58 Posted: 12 Apr 2012 Last Revised: 01 May 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 200 (258,938)
Citation 1

Abstract:

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity

66.

Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 70 Posted: 25 Jul 2017 Last Revised: 20 Oct 2022
Turan G. Bali, Craig Nichols and David Weinbaum
Georgetown University - McDonough School of Business, Syracuse University and Syracuse University
Downloads 423 (119,869)

Abstract:

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expected market returns; discount rate news; equity duration

67.

The Risk-Neutral Distribution of Option Returns

Georgetown McDonough School of Business Research Paper No. 2902209
Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 26 Feb 2017
Turan G. Bali, Nusret Cakici, Fousseni Chabi-Yo and Scott Murray
Georgetown University - McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 385 (133,922)
Citation 1

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Risk-Neutral Distribution, Option Returns

68.

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 374 (137,868)

Abstract:

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hedge funds; upside potential; return predictability

69.

The Intertemporal Relation between Expected Return and Risk on Currency

Number of pages: 37 Posted: 13 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Kamil Yilmaz
Georgetown University - McDonough School of Business and Koc University
Downloads 372 (138,716)
Citation 37

Abstract:

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foreign exchange market, ICAPM, high-frequency data, time-varying risk aversion

70.

Systematic and Idiosyncratic Risk in the Cross-Section of Price Target Expected Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 49 Posted: 14 Nov 2012 Last Revised: 04 Jun 2013
Turan G. Bali and Scott Murray
Georgetown University - McDonough School of Business and Georgia State University
Downloads 349 (148,748)
Citation 1

Abstract:

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Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness

71.

Small Sample Bias in Panel Data

Finance Letters, 2007, 5(2), 17-21
Number of pages: 9 Posted: 18 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 317 (164,815)

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72.

Predictability of Risk Measures in International Stock Markets

Stock Market Volatility, pp. 313-322, March 2009
Number of pages: 15 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - McDonough School of Business and Sabanci University Graduate School of Management
Downloads 287 (182,964)

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73.

Investigating ICAPM in International Futures Markets

Review of Futures Markets, 2011, 19(3), 195-216
Number of pages: 18 Posted: 15 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali, K. Ozgur Demirtas and Kishore Tandon
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 287 (182,964)

Abstract:

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stock index futures, international futures markets, risk-return tradeoff, GARCH-in-mean.

74.

Analyst Price Target Expected Returns and Option Implied Risk

Georgetown McDonough School of Business Research Paper No. 2516937
Number of pages: 71 Posted: 01 Nov 2014 Last Revised: 07 Jan 2015
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 278 (188,941)

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

75.

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 276 (190,348)
Citation 2

Abstract:

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hedge funds; timing ability; industry returns

76.

World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets

Number of pages: 46 Posted: 15 Oct 2009
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 276 (190,348)
Citation 17

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international equity returns, country-specific risk, idiosyncratic risk, systematic risk

77.

A Joint Factor Model for Bonds, Stocks, and Options

Swiss Finance Institute Research Paper No. 23-106
Number of pages: 56 Posted: 31 Oct 2023 Last Revised: 17 Nov 2023
Turan G. Bali, Heiner Beckmeyer and Amit Goyal
Georgetown University - McDonough School of Business, University of Münster and University of Lausanne
Downloads 223 (235,654)
Citation 1

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factor model, IPCA, corporate bond, option returns

78.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 212 (246,020)
Citation 4

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downside risk, tail risk, left-tail momentum, equity returns, international finance

79.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Turan G. Bali, Jian Hua, Robert A. Schwartz and Gregory Sipress
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 149 (334,550)

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

80.

Preference for Positive Skewness and Expected Stock Returns

Number of pages: 36 Posted: 20 Mar 2007
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university
Downloads 88 (488,872)

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skewness preference, idiosyncratic skewness, systematic skewness, expected stock returns

81.

Asymmetric Crime Cycles

NBER Working Paper No. w11210
Number of pages: 42 Posted: 26 Apr 2005 Last Revised: 20 Aug 2022
Turan G. Bali and Naci H. Mocan
Georgetown University - McDonough School of Business and Louisiana State University, Baton Rouge - Department of Economics
Downloads 76 (533,617)
Citation 5

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82.

Expected Mispricing

Number of pages: 52 Posted: 01 Dec 2023
Turan G. Bali, Heiner Beckmeyer and Timo Wiedemann
Georgetown University - McDonough School of Business, University of Münster and University of Münster - Finance Center Muenster
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Mispricing, Machine Learning, IPCA

83.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (1,057,334)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance

84.

Aggregate Idiosyncratic Risk and Market Returns

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006
Posted: 29 Nov 2006
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university

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Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns

85.

Value at Risk and Expected Stock Returns

Financial Analysts Journal, Vol. 60, No. 2, pp. 57-73, March/April 2004
Posted: 07 May 2004
Turan G. Bali and Nusret Cakici
Georgetown University - McDonough School of Business and Fordham university

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Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios

86.

An Empirical Comparison of Continuous Time Models of the Short Term Interest Rate

Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - McDonough School of Business

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87.

Modeling the Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH and Moving Average Models

Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - McDonough School of Business

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88.

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Posted: 23 Mar 2001
Turan G. Bali and Salih N. Neftci
Georgetown University - McDonough School of Business and CUNY Baruch College

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Volatility, extremes, term structure of interest rates

89.

Pricing Eurodollar Futures Options Using the Bdt Term Structure Model: The Effect of Yield Curve Smoothing

Posted: 10 Feb 2001
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - McDonough School of Business and Hofstra University, Zarb School of Business

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90.

Implementation of the Bdt Model with Different Volatility Estimators: Applications to Eurodollar Futures Options

Posted: 23 Sep 2000
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - McDonough School of Business and Hofstra University, Zarb School of Business

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91.

Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate

Posted: 10 Jul 2000
Turan G. Bali
Georgetown University - McDonough School of Business

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