K. Ozgur Demirtas

Sabanci University

Chair Professor of Finance

Graduate School of Management

Orhanli Tuzla

İstanbul, 34956

Turkey

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 1,841

SSRN RANKINGS

Top 1,841

in Total Papers Downloads

14,050

CITATIONS
Rank 4,810

SSRN RANKINGS

Top 4,810

in Total Papers Citations

109

Scholarly Papers (29)

1.
Downloads 1,810 ( 6,445)

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 1,210 (12,305)

Abstract:

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 345 (68,878)

Abstract:

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 255 (96,697)

Abstract:

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

2.

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 - Robert Emmett McDonough School of Business, Sabanci University and Baruch College - Zicklin School of Business
Downloads 1,223 (11,358)

Abstract:

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

3.

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 - Robert Emmett McDonough School of Business and Sabanci University
Downloads 1,131 (12,176)
Citation 1

Abstract:

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

4.
Downloads 1,002 ( 16,740)
Citation 33

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 - Robert Emmett McDonough School of Business and Sabanci University
Downloads 616 (33,214)
Citation 33

Abstract:

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 - Robert Emmett McDonough School of Business and Sabanci University
Downloads 386 (60,242)
Citation 33

Abstract:

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

5.

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 - Robert Emmett McDonough School of Business, Sabanci University, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 889 (18,092)
Citation 3

Abstract:

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

6.

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 - Robert Emmett McDonough School of Business, Sabanci University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 752 (23,604)
Citation 18

Abstract:

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

7.

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 - Robert Emmett McDonough School of Business, Sabanci University and Boston College - Department of Finance
Downloads 688 (26,551)
Citation 8

Abstract:

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

8.

Implied Volatility Spreads, Skewness and Expected Market Returns

Georgetown McDonough School of Business Research Paper No. 1511970
Number of pages: 34 Posted: 25 Nov 2009 Last Revised: 02 Jul 2016
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University
Downloads 566 (33,995)
Citation 31

Abstract:

implied volatility spreads, conditional skewness, expected market return, information ‡flow, intertemporal risk-return relation

9.

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 - Robert Emmett McDonough School of Business, Sabanci University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 561 (33,714)
Citation 7

Abstract:

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

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 297 (81,743)

Abstract:

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 260 (94,687)

Abstract:

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

11.

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 - Robert Emmett McDonough School of Business, Sabanci University and Baruch College - Zicklin School of Business
Downloads 549 (35,356)
Citation 4

Abstract:

12.

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 and Citadel
Downloads 499 (41,953)
Citation 1

Abstract:

Small-firm effect, Anomalies, Overreaction, Profitability

13.

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
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University, Baruch College - Zicklin School of Business and College of William and Mary - Mason School of Business
Downloads 332 (66,065)

Abstract:

14.

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 and Citadel
Downloads 304 (75,420)

Abstract:

Small-firm effect, Return anomalies, Overreaction

15.

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 Rodgers Cornaggia
Sabanci University and Pennsylvania State University - Department of Finance
Downloads 266 (77,830)
Citation 3

Abstract:

Credit Ratings, Earnings management, Accruals, Market efficiency

16.

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 - Robert Emmett McDonough School of Business and Sabanci University
Downloads 231 (100,508)

Abstract:

17.

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 - Robert Emmett McDonough School of Business, Sabanci University and CUNY Baruch College - Zicklin School of Business
Downloads 226 (103,972)

Abstract:

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

18.

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 - Robert Emmett McDonough School of Business and Sabanci University
Downloads 209 (110,007)

Abstract:

19.

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
Downloads 206 (110,496)

Abstract:

rates, volatility, nonlinearity, asymmetry, GARCH, diffusions

20.

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 and CUNY Baruch College - Zicklin School of Business
Downloads 193 (110,496)

Abstract:

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

21.

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 and Rollins College - Crummer Graduate School of Business
Downloads 186 (87,166)

Abstract:

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

22.

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
Downloads 129 (159,477)

Abstract:

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

23.

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
Downloads 111 (172,746)

Abstract:

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

24.

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
Downloads 75 (201,714)

Abstract:

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

25.

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 and Sabanci University - Graduate School of Management
Downloads 41 (244,935)

Abstract:

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

26.

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 and Rollins College - Crummer Graduate School of Business
Downloads 21 (236,214)

Abstract:

Emerging markets, derivatives, risk management, price discovery

27.

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 and Sabanci University - Graduate School of Management
Downloads 20 (313,967)

Abstract:

share issues, equity returns, value effect, emerging markets

28.

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 and Sabanci University
Downloads 19 (264,317)

Abstract:

liquidity, emerging markets, equity returns, asset pricing

29.

Downside Beta and Equity Returns Around the World

Georgetown McDonough School of Business Research Paper No. 2798580
Number of pages: 61 Posted: 23 Jun 2016 Last Revised: 28 Sep 2016
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University and Sabanci University
Downloads 0 (124,573)

Abstract:

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