Yakup Eser Arısoy

NEOMA Business School

Associate Professor of Finance

59 rue Pierre Taittinger

Reims, 51100

France

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 4,636

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8,637

SSRN RANKINGS

Top 45,022

in Total Papers Citations

3

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Scholarly Papers (11)

1.

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, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,783 (8,567)

Abstract:

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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 1,117 (17,970)

Abstract:

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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 866 (26,117)

Abstract:

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Value premium, Volatility risk, Straddle returns

4.

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 850 (26,839)

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

5.

Do Stock Markets Really Care About Skewness?

Number of pages: 72 Posted: 11 Sep 2014 Last Revised: 31 Jan 2019
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 845 (27,062)

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Asset pricing; 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 NEOMA Business School
Downloads 790 (29,708)

Abstract:

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

7.

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 704 (34,744)

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

8.

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

Number of pages: 58 Posted: 02 Sep 2016 Last Revised: 03 Mar 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 702 (34,875)

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

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 671 (37,142)

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

10.

Anticipated Regret and Equity Returns

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 84 Posted: 19 Jun 2018 Last Revised: 06 Jun 2019
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 309 (95,974)

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Regret theory, mean-variance investors, cross-section of stock returns.

11.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming, https://doi.org/10.3905/jod.2016.24.1.058
Posted: 20 May 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 (657,341)

Abstract:

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option-implied volatility, volatility skew, return predictability