Yakup Eser Arısoy

NEOMA Business School

Professor of Finance

59 rue Pierre Taittinger

Reims, 51100

France

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 8,575

in Total Papers Downloads

10,134

SSRN CITATIONS
Rank 22,698

SSRN RANKINGS

Top 22,698

in Total Papers Citations

39

CROSSREF CITATIONS

18

Scholarly Papers (13)

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 - J. Mack Robinson College of Business, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,855 (17,542)
Citation 26

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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 1,127 (36,918)

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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 907 (50,208)
Citation 6

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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 882 (52,166)
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 855 (54,453)

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

6.

Investor Regret and Stock Returns

Management Science, forthcoming, https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.03389
Number of pages: 98 Posted: 19 Jun 2018 Last Revised: 10 Apr 2024
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 812 (58,355)
Citation 5

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

7.

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 807 (58,879)
Citation 1

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

8.

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 779 (61,795)
Citation 1

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

9.

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 710 (69,727)

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

10.

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 675 (74,372)
Citation 4

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

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 - J. Mack Robinson College of Business, NEOMA Business School and NEOMA Business School
Downloads 555 (95,145)

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

12.

Quantile Regressions: Estimating Moments of the Stock Return Distribution

Number of pages: 31 Posted: 25 Jul 2023 Last Revised: 10 Apr 2024
Yakup Eser Arısoy
NEOMA Business School
Downloads 170 (329,966)

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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 (1,166,545)

Abstract:

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option-implied volatility, volatility skew, return predictability