Yakup Eser Arısoy

Université Paris Dauphine - DRM Finance

Associate Professor

Place du Maréchal de Lattre de Tassigny

Cedex 16

Paris, 75775

France

View CV
SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN RANKINGS

Top 2,981

in Total Papers Downloads

9,963

CITATIONS
Rank 45,236

SSRN RANKINGS

Top 45,236

in Total Papers Citations

3

Scholarly Papers (10)

1.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 698 (28,363)

Abstract:

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

2.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming
Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016
Xi Fu, Yakup Eser Arısoy, Mark B. Shackleton and Mehmet Umutlu
University of Liverpool, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 527 (6,372)

Abstract:

option-implied volatility, volatility skew, return predictability

3.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 29 Jul 2016
Vikas Agarwal, Yakup Eser Arısoy and Narayan Y. Naik
Georgia State University, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting
Downloads 438 (7,070)

Abstract:

Uncertainty, volatility of volatility, hedge funds, performance

4.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 239 (14,279)
Citation 1

Abstract:

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

5.

Do Stock Markets Price Expected Stock Skewness? New Evidence from Quantile Regression Skewness Forecasts

Number of pages: 48 Posted: 11 Sep 2014 Last Revised: 17 Dec 2016
Kevin Aretz and Yakup Eser Arısoy
Manchester Business School and Université Paris Dauphine - DRM Finance
Downloads 101 (23,252)

Abstract:

Asset pricing; ex-ante physical skewness; realized skewness; quantile regression models

6.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Forthcoming
Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 03 Nov 2016
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance
Downloads 97 (24,371)

Abstract:

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

7.

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

Number of pages: 26 Posted: 02 Sep 2016 Last Revised: 10 Nov 2016
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance
Downloads 0 (29,994)

Abstract:

Tail risk, Idiosyncratic volatility, Size, Value, Anomalies

8.

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
Université Paris Dauphine - DRM Finance
Downloads 0 (21,039)
Citation 2

Abstract:

Value premium, Volatility risk, Straddle returns

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
Université Paris Dauphine - DRM Finance
Downloads 0 (30,497)

Abstract:

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

10.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads 0 (21,480)

Abstract:

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