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

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 1,517

in Total Papers Downloads

18,726

CITATIONS
Rank 6,340

SSRN RANKINGS

Top 6,340

in Total Papers Citations

78

Scholarly Papers (31)

1.

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

Journal of Financial Economics, Forthcoming
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 19 Dec 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 3,415 (2,707)

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

2.
Downloads 2,017 ( 6,606)

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 Graduate School of Management
Downloads 1,352 (12,593)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 366 (75,647)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 299 (95,794)

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

3.

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 Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 1,364 (12,673)

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

4.

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 Graduate School of Management
Downloads 1,303 (13,582)
Citation 1

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

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 Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 1,246 (14,549)
Citation 3

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

6.
Downloads 1,127 ( 16,997)
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 Graduate School of Management
Downloads 720 (32,001)
Citation 33

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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 - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 407 (66,769)
Citation 33

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

7.

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 Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 833 (26,558)
Citation 18

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

8.

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 Graduate School of Management and Boston College - Department of Finance
Downloads 756 (30,349)
Citation 7

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

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 Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 672 (35,653)
Citation 7

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

10.

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 Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 620 (39,629)
Citation 5

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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 Graduate School of Management
Downloads 325 (87,179)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 294 (97,600)

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

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 Graduate School of Management and Citadel
Downloads 536 (47,838)
Citation 1

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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 Graduate School of Management, Baruch College - Zicklin School of Business and College of William and Mary - Mason School of Business
Downloads 375 (74,181)

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14.

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 Graduate School of Management and Pennsylvania State University - Department of Finance
Downloads 343 (82,263)
Citation 3

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Credit Ratings, Earnings management, Accruals, Market efficiency

15.

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 332 (85,714)

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

16.

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 332 (85,401)

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Small-firm effect, Return anomalies, Overreaction

17.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7
Number of pages: 54 Posted: 23 Jun 2016 Last Revised: 16 Aug 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 325 (87,760)

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

18.

The Cross-Section of Equity Returns in Emerging Markets

Number of pages: 43 Posted: 04 Aug 2018
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 274 (105,260)

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Equity Risk, Anomalies, Cross-Section of Equity Returns, Emerging Markets

19.

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 Graduate School of Management
Downloads 263 (109,931)

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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 Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 250 (115,941)

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

21.

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 Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 243 (119,333)

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

22.

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 Graduate School of Management
Downloads 237 (122,304)

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23.

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 234 (123,902)

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rates, volatility, nonlinearity, asymmetry, GARCH, diffusions

24.

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 188 (153,372)

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

25.

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 148 (188,720)

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

26.

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 136 (203,440)

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

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 134 (204,601)

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

28.

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 131 (207,094)

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Emerging markets, derivatives, risk management, price discovery

29.

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 127 (214,785)

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liquidity, emerging markets, equity returns, asset pricing

30.

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 87 (277,712)

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share issues, equity returns, value effect, emerging markets

31.

Does Downside Beta Really Matter?

Number of pages: 36 Posted: 20 Sep 2017
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 59 (341,997)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing