Aslihan Altay Salih

Bilkent University - Faculty of Business Administration

Assistant Professor

06533 Bilkent, Ankara

Turkey

http://www.bilkent.edu.tr/~asalih

SCHOLARLY PAPERS

9

DOWNLOADS
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4,626

CITATIONS
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SSRN RANKINGS

Top 20,198

in Total Papers Citations

15

Scholarly Papers (9)

1.

A Behavioural Approach to Efficient Portfolio Formation

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 21 Posted: 08 Jun 2002
Yaz Gulnur Muradoglu, Aslihan Altay Salih and Muhammet Mercan
Queen Mary University of London, Bilkent University - Faculty of Business Administration and Yapi Kredi Yatirim - Research Department
Downloads 877 (20,021)

Abstract:

Behavioural finance, subjective forecasts, efficient, portfolio

2.

Aggregate Volatility Expectations and Threshold CAPM

North American Journal of Economics and Finance, Vol. 34, 231–253, 2015 ,
Number of pages: 49 Posted: 28 May 2011 Last Revised: 07 Apr 2016
Yakup Eser Arısoy, Aslihan Altay Salih and Levent Akdeniz
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 699 (29,596)

Abstract:

Aggregate volatility; threshold regression; conditional CAPM; range; VIX

3.

Are Stock Prices Too Volatile to be Justified by the Dividend Discount Model?

Number of pages: 26 Posted: 17 Jun 2006
Aslihan Altay Salih, Suleyman Tulug Ok and Levent Akdeniz
Bilkent University - Faculty of Business Administration, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 328 (71,358)
Citation 2

Abstract:

Asset Pricing, Stock Price Volatility, Divident Discount Models

4.

Time-Varying Betas Help in Asset Pricing: The Threshold CAPM

Studies in Nonlinear Dynamics and Econometrics, Vol. 6, 2003
Number of pages: 24 Posted: 19 Jun 2006
Aslihan Altay Salih, Mehmet Caner and Levent Akdeniz
Bilkent University - Faculty of Business Administration, North Carolina State University - Department of Economics and Bilkent University - Faculty of Business Administration
Downloads 265 (83,808)
Citation 4

Abstract:

Time-Varying Beta, Threshold, Asset Pricing, CAPM

5.

Is Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options

Journal of Futures Markets, Vol. 27, No. 7, 617–642, 2007,
Number of pages: 45 Posted: 14 Jun 2006 Last Revised: 07 Apr 2016
Yakup Eser Arısoy, Aslihan Altay Salih and Levent Akdeniz
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 239 (14,960)
Citation 1

Abstract:

volatility risk, straddle returns, asset pricing, conditional factor models

6.

Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?

Finance a Uver-Czech Journal of Economics and Finance, Forthcoming
Number of pages: 16 Posted: 26 Feb 2007 Last Revised: 23 Apr 2010
Mehmet Umutlu, Aslihan Altay Salih and Levent Akdeniz
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 212 (113,089)
Citation 2

Abstract:

return volatility; ADR; EGARCH; cross listing; emerging markets

7.

The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets

CentER Discussion Paper Series No. 2009-67, Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 10 Sep 2009 Last Revised: 07 May 2013
Mehmet Umutlu, Levent Akdeniz and Aslihan Altay Salih
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 99 (210,219)
Citation 6

Abstract:

return volatility, financial liberalization, market integration, volatility decomposition, emerging markets

Foreign Equity Trading and Average Stock-Return Volatility

Number of pages: 1 Posted: 26 Feb 2012 Last Revised: 13 Sep 2013
Mehmet Umutlu, Levent Akdeniz and Aslihan Altay Salih
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 61 (307,148)

Abstract:

foreign investors, average volatility, foreign equity trading, volatility decomposition, foreign equity flow

9.

Optimal Multi-Period Consumption and Investment With Short-Sale Constraints

Finance Research Letters, Vol. 11, No. 1, 16–24, 2014,
Number of pages: 9 Posted: 11 Jan 2009 Last Revised: 14 Apr 2016
Yakup Eser Arısoy, Aslihan Altay Salih and Mustafa Pinar
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads 0 (22,475)

Abstract:

Options; Optimization; Short-sales; Consumption-based CAPM