Yakup Eser Arısoy

NEOMA Business School

Professor of Finance

59 rue Pierre Taittinger

Reims, 51100

France

  • NEOMA Business School

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 22,689

in Total Papers Citations

31

CROSSREF CITATIONS

18

Scholarly Papers (13)

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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 1,847 (15,460)
Citation 23

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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 1,124 (32,622)

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

3.

The Pricing of Skewness Over Different Return Horizons

Journal of Banking and Finance, forthcoming
Number of pages: 89 Posted: 11 Sep 2014 Last Revised: 31 Oct 2022
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 901 (44,452)
Citation 4

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

4.

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 880 (45,893)
Citation 1

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Value premium, Volatility risk, Straddle returns

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 (47,961)

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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 805 (51,887)
Citation 1

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

7.

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 776 (54,538)
Citation 1

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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 (61,753)

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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 674 (65,697)
Citation 4

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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: 98 Posted: 19 Jun 2018 Last Revised: 27 Apr 2023
Yakup Eser Arısoy, Turan G. Bali and Yi Tang
NEOMA Business School, Georgetown University - McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 649 (68,946)
Citation 4

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Regret theory, equity returns, investor sophistication, household trading, informational frictions, limits-to-arbitrage, costly arbitrage.

11.

Eponymous Hedge Funds

Number of pages: 63 Posted: 02 Aug 2021 Last Revised: 10 May 2023
Vikas Agarwal, Yakup Eser Arısoy and Tri Trinh
Georgia State University, NEOMA Business School and NEOMA Business School
Downloads 539 (86,905)

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Eponymy, hedge funds, performance, signaling, reputation, trust, ethics, integrity.

12.

Quantile Regression: Estimating Moments of the Stock Return Distribution

Number of pages: 33 Posted: 25 Jul 2023
Yakup Eser Arısoy
NEOMA Business School
Downloads 135 (353,673)

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Quantile regression, stock return distribution, physical moments, risk-neutral moments

13.

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 Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 0 (1,032,307)

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option-implied volatility, volatility skew, return predictability