K. Ozgur Demirtas

Sabanci University Graduate School of Management

Chair Professor of Finance

Sabanci University, School of Management

Orhanli Tuzla

Orhanlı-Tuzla, Istanbul, 34956

Turkey

  • Sabanci University Graduate School of Management

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    • Tel: (+90) 216-483-9985
    • Fax: (+90) 216-483-9699
SCHOLARLY PAPERS

42

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58,403

TOTAL CITATIONS
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Top 5,984

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166

Scholarly Papers (42)

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1.

Does the Carbon Premium Reflect Risk or Outperformance?

FEB-RN Research Paper No. 03/2024, European Corporate Governance Institute – Finance Working Paper No. 940/2023
Number of pages: 28 Posted: 25 Sep 2023 Last Revised: 01 Nov 2024
Yigit Atilgan, K. Ozgur Demirtas, Alex Edmans and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management, London Business School - Institute of Finance and Accounting and Sabanci University
Downloads 23,419 (249)
Citation 5

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Climate Finance, Socially Responsible Investing, Corporate Social Responsibility, ESG Investing, Carbon Premium

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 7,321 (1,931)
Citation 8

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

3.

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 6,657 (2,266)
Citation 72

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

4.

Investing in Stock Market Anomalies

Downloads 2,900 ( 9,061)
Citation 4

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 1,916 (17,287)

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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 573 (95,022)
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 411 (142,112)
Citation 3

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

5.

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 1,681 (21,555)
Citation 1

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

6.

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 1,670 (21,777)

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

7.

Implied Volatility Spreads and Expected Market Returns

Downloads 1,484 (26,049)
Citation 6

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 987 (46,236)
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 497 (113,316)

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

8.

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 1,113 (39,580)
Citation 33

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

9.

Do Hedge Funds Outperform Stocks and Bonds?

Downloads 995 (46,464)
Citation 7

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 535 (103,515)
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 460 (124,293)
Citation 1

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

10.

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 931 (50,970)

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

11.

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 883 (54,816)
Citation 9

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

12.

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 763 (66,745)
Citation 2

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13.

Nonlinear Asymmetric Models of the Short Term Interest Rate

Journal of Futures Markets, Vol. 26, No. 9, pp. 869-894, 2006
Number of pages: 28 Posted: 18 Jul 2009 Last Revised: 09 Nov 2009
K. Ozgur Demirtas
Sabanci University Graduate School of Management
Downloads 688 (76,291)

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rates, volatility, nonlinearity, asymmetry, GARCH, diffusions

14.

Predicting Equity Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 57, No. 13, 2021
Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 23 Mar 2022
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 675 (78,106)

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tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

15.

Can Overreaction Explain Part of the Size Premium?

International Journal of Revenue Management, 2008, Vol.2, Issue 3.
Number of pages: 28 Posted: 11 Dec 2006 Last Revised: 20 Aug 2008
K. Ozgur Demirtas and A. Burak Guner
Sabanci University Graduate School of Management and Citadel
Downloads 641 (83,407)
Citation 2

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Small-firm effect, Anomalies, Overreaction, Profitability

16.

Studies of Equity Returns in Emerging Markets: A Literature Review

Emerging Markets Finance and Trade, Vol. 51, No. 4, 2015
Number of pages: 29 Posted: 02 Jun 2014 Last Revised: 28 Jul 2015
Yigit Atilgan, K. Ozgur Demirtas and Koray D. Simsek
Sabanci University, Sabanci University Graduate School of Management and Rollins College - Crummer Graduate School of Business
Downloads 471 (122,257)
Citation 1

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risk-return relation, volatility, emerging markets, literature review

17.

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 455 (127,325)

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18.

Initial Credit Ratings and Earnings Management

Review of Financial Economics Vol. 22, No. 4, pp. 135-145.
Number of pages: 45 Posted: 03 Apr 2012 Last Revised: 18 Mar 2014
K. Ozgur Demirtas and Kimberly Cornaggia
Sabanci University Graduate School of Management and Pennsylvania State University - Department of Finance
Downloads 447 (130,050)

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Credit Ratings, Earnings management, Accruals, Market efficiency

19.

What is Wrong with Small Stocks?

Number of pages: 46 Posted: 30 Nov 2006 Last Revised: 20 Aug 2008
K. Ozgur Demirtas and A. Burak Guner
Sabanci University Graduate School of Management and Citadel
Downloads 441 (132,137)

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Small-firm effect, Return anomalies, Overreaction

20.

Downside Risk in Emerging Markets

Emerging Markets Finance and Trade, Vol. 49, No. 3, 2013
Number of pages: 34 Posted: 16 Jan 2012 Last Revised: 28 Jul 2015
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 375 (159,066)

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downside risk, value at risk, risk-return tradeoff, emerging markets

21.

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 47, No. 3, 4-22
Number of pages: 29 Posted: 11 Sep 2010 Last Revised: 12 Dec 2012
K. Ozgur Demirtas and Duygu Zirek
Sabanci University Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 362 (165,366)

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earnings, emerging markets, market returns, predictability, business cycle

22.

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 338 (178,280)

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23.

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 301 (201,641)

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

24.

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 300 (202,361)

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25.

Liquidity and Equity Returns in Borsa Istanbul

Applied Economics, Vol. 48, No. 52, 2016
Number of pages: 32 Posted: 14 May 2015 Last Revised: 19 Sep 2016
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 297 (204,558)
Citation 3

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liquidity, emerging markets, equity returns, asset pricing

26.

Regret in Global Equity Markets

Number of pages: 54 Posted: 01 Oct 2024
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Aynur Dilan Tosun
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 284 (215,049)

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regret theory, behavioral finance, equity returns, international finance

27.

Reward-to-Risk Ratios in Turkish Financial Markets

Iktisat Isletme ve Finans, Vol. 28, No. 322, 2013
Number of pages: 33 Posted: 28 Mar 2012 Last Revised: 28 Jul 2015
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 277 (219,919)
Citation 1

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bond markets, equity markets, downside risk, value at risk, risk-return tradeoff

28.

Macroeconomic Factors and Equity Returns in Borsa Istanbul

Iktisat Isletme ve Finans, Vol. 30, No. 349, 2015
Number of pages: 25 Posted: 20 Sep 2014 Last Revised: 28 Jul 2015
Yigit Atilgan, K. Ozgur Demirtas and Alper Erdogan
Sabanci University, Sabanci University Graduate School of Management and Sabanci University - Graduate School of Management
Downloads 259 (235,158)

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asset pricing models, equity returns, arbitrage pricing theory, macroeconomic factors

29.

Derivative Markets in Emerging Economies: A Survey

International Review of Economics & Finance, Vol. 42, 2016
Number of pages: 38 Posted: 04 Sep 2015 Last Revised: 23 Dec 2015
Yigit Atilgan, K. Ozgur Demirtas and Koray D. Simsek
Sabanci University, Sabanci University Graduate School of Management and Rollins College - Crummer Graduate School of Business
Downloads 251 (242,643)
Citation 2

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Emerging markets, derivatives, risk management, price discovery

30.

Mood Seasonality Around The Globe

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 41 Posted: 24 Mar 2022 Last Revised: 09 Oct 2023
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 240 (253,691)

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equity returns, return seasonality, investor mood, mood beta, market efficiency, anomalies, international finance

31.

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 238 (255,773)
Citation 6

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

32.

Risk-Adjusted Performances of World Equity Indices

Emerging Markets Finance and Trade, Vol. 52, No. 3, 2016
Number of pages: 35 Posted: 13 Oct 2012 Last Revised: 24 Mar 2016
Yigit Atilgan and K. Ozgur Demirtas
Sabanci University and Sabanci University Graduate School of Management
Downloads 196 (306,818)

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risk-return relationship, downside risk, value-at-risk, emerging markets, 2008 Financial Crisis

33.

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 195 (308,248)
Citation 2

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Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

34.

Share Issuance and Equity Returns in Borsa Istanbul (BIST)

International Review of Economics & Finance, Vol. 44, 2016
Number of pages: 25 Posted: 23 Jul 2014 Last Revised: 10 Apr 2016
Yigit Atilgan, K. Ozgur Demirtas and Alper Erdogan
Sabanci University, Sabanci University Graduate School of Management and Sabanci University - Graduate School of Management
Downloads 182 (328,217)

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share issues, equity returns, value effect, emerging markets

35.

Performance Implications of Hedging with Industry ETFs

Global Finance Journal, Forthcoming
Number of pages: 25 Posted: 23 Feb 2023 Last Revised: 15 May 2024
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and MUSTAFA OZTEKIN
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 174 (341,581)

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exchange traded funds, risk management, performance evaluation, hedge funds

36.

Average Skewness in Global Equity Markets

International Review of Finance, Vol. 23, No. 2, 2023
Number of pages: 48 Posted: 20 Oct 2020 Last Revised: 31 Jul 2023
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 160 (367,090)
Citation 1

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equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

37.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 157 (372,937)
Citation 1

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value premium, decomposing value, size effect, cross-section of equity returns, international finance

38.

Aggregate Earnings and Global Equity Returns

Downloads 28 (485,695)

Aggregate Earnings and Global Equity Returns

Number of pages: 36 Posted: 25 Jul 2024
K. Ozgur Demirtas, Yigit Atilgan, A. Doruk Gunaydin, Aynur Dilan Tosun and Duygu Zirek
Sabanci University Graduate School of Management, Sabanci University, Sabanci University, Sabanci University and Feliciano School of Business-Montclair State University
Downloads 28 (962,587)

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aggregate earnings, return predictability, price synchronicity, international asset pricing

39.

Price Discovery in Emerging Market ETFs

Applied Economics, Vol. 54, No. 47, 2022
Number of pages: 33 Posted: 20 Oct 2020 Last Revised: 21 Sep 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and MUSTAFA OZTEKIN
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 108 (498,682)

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exchange traded funds, equity markets, price discovery, information efficiency

40.

Pollution Premium: Further Evidence

Downloads 46 (788,051)

Pollution Premium: Further Evidence

Number of pages: 36 Posted: 23 Nov 2024
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 28 (962,587)

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toxic emissions, industrial pollution, environmental risks, asset pricing, cross-section of equity returns

Pollution Premium: Further Evidence

Number of pages: 37 Posted: 14 Oct 2024
K. Ozgur Demirtas, Yigit Atilgan and A. Doruk Gunaydin
Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 18 (1,073,401)

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toxic emissions, industrial pollution, environmental risks, asset pricing, cross-section of equity returns

41.

Momentum and Downside Risk in Emerging Markets

The Journal of Portfolio Management, Vol. 48, No. 8, 2022
Posted: 02 May 2022 Last Revised: 09 Oct 2023
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management

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momentum, downside risk, emerging markets, performance measurement

42.

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 (1,245,354)

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