Yakup Eser Arısoy

NEOMA Business School

Associate Professor of Finance

59 rue Pierre Taittinger

Reims, 51100

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 6,011

SSRN RANKINGS

Top 6,011

in Total Papers Downloads

9,040

SSRN CITATIONS
Rank 29,026

SSRN RANKINGS

Top 29,026

in Total Papers Citations

14

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Vikas Agarwal, Yakup Eser Arısoy and Narayan Y. Naik
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,832 (11,170)
Citation 10

Abstract:

Loading...

Uncertainty, volatility of volatility, hedge funds, performance

2.

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
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 1,122 (23,748)

Abstract:

Loading...

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

3.

Volatility Risk and the Value Premium: Evidence from the French Stock Market

Journal of Banking and Finance, Vol. 34, No. 5, 975–983, 2010
Number of pages: 34 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016
Yakup Eser Arısoy
NEOMA Business School
Downloads 877 (33,756)
Citation 1

Abstract:

Loading...

Value premium, Volatility risk, Straddle returns

4.

What Skewness Do Stock Markets Care About?

Number of pages: 85 Posted: 11 Sep 2014 Last Revised: 25 Jun 2021
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 873 (33,984)
Citation 2

Abstract:

Loading...

Asset pricing; physical skewness; realized skewness; quantile regression models

5.

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
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads 853 (35,110)

Abstract:

Loading...

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

6.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Vol. 49, No. 32, 3214-3230, 2017
Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 09 Aug 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 802 (38,212)
Citation 1

Abstract:

Loading...

Uncertainty, vol-of-vol, VVIX, size, value

Can Tail Risk Explain Size, Book-to-Market, Momentum, and Idiosyncratic Volatility Anomalies?

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 66 Posted: 02 Sep 2016 Last Revised: 09 Aug 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 772 (39,732)
Citation 1

Abstract:

Loading...

Tail risk, Size, Value, Momentum, Idiosyncratic volatility, Anomalies

8.

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
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 707 (45,334)

Abstract:

Loading...

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

9.

Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia

Journal of Futures Markets, Vol. 34, No. 1, 34–55, 2014
Number of pages: 22 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016
Yakup Eser Arısoy
NEOMA Business School
Downloads 673 (48,456)
Citation 4

Abstract:

Loading...

volatility risk, jump risk, option returns, value premium, size anomaly

10.

Investor Regret and Stock Returns

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 84 Posted: 19 Jun 2018 Last Revised: 02 Jul 2021
Yakup Eser Arısoy, Turan G. Bali and Yi Tang
NEOMA Business School, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 451 (80,009)
Citation 1

Abstract:

Loading...

Regret theory, investor attention, limited attention capacity, investor sophistication, informed trading, informational frictions, limits-to-arbitrage, costly arbitrage, equity returns.

11.

Eponymous Hedge Funds

Number of pages: 76 Posted: 02 Aug 2021 Last Revised: 04 Aug 2021
Vikas Agarwal, Yakup Eser Arısoy and Tri Trinh
Georgia State University, NEOMA Business School and NEOMA Business School
Downloads 78 (379,617)

Abstract:

Loading...

Eponymy, hedge funds, performance, risk taking, signaling, skill.

12.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Vol. 24, No.1, 58-78, 2016, https://doi.org/10.3905/jod.2016.24.1.058
Posted: 20 May 2019 Last Revised: 09 Aug 2019
Xi Fu, Yakup Eser Arısoy, Mark B. Shackleton and Mehmet Umutlu
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 0 (803,887)

Abstract:

Loading...

option-implied volatility, volatility skew, return predictability