Mehmet Umutlu

Yasar University - Department of International Trade and Finance

Associate Professor of Finance

Universite Street

Izmir

Turkey

SCHOLARLY PAPERS

14

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3,068

CITATIONS
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SSRN RANKINGS

Top 28,740

in Total Papers Citations

8

Scholarly Papers (14)

1.

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
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,889 (7,671)

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option-implied volatility, volatility skew, return predictability

2.

Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?

Finance a Uver-Czech Journal of Economics and Finance, Forthcoming
Number of pages: 16 Posted: 26 Feb 2007 Last Revised: 23 Apr 2010
Mehmet Umutlu, Aslihan Altay Salih and Levent Akdeniz
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 234 (126,917)
Citation 2

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return volatility; ADR; EGARCH; cross listing; emerging markets

3.

Firm Leverage and Investment Decisions in an Emerging Market

Quality and Quantity: International Journal of Methodology, Forthcoming
Number of pages: 1 Posted: 21 Apr 2010
Mehmet Umutlu
Yasar University - Department of International Trade and Finance
Downloads 207 (142,838)

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leverage, investment, panel data, emerging markets

4.

Idiosyncratic Volatility and Expected Returns at the Global Level

Financial Analysts Journal, vol. 71, no. 6, 58-71 (November/December 2015)
Number of pages: 46 Posted: 04 Feb 2015 Last Revised: 25 Nov 2015
Mehmet Umutlu
Yasar University - Department of International Trade and Finance
Downloads 150 (190,072)

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global idiosyncratic volatility, expected returns, global test assets, global diversification

5.

The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets

CentER Discussion Paper Series No. 2009-67, Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 10 Sep 2009 Last Revised: 07 May 2013
Mehmet Umutlu, Levent Akdeniz and Aslihan Altay Salih
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 125 (219,785)
Citation 6

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return volatility, financial liberalization, market integration, volatility decomposition, emerging markets

6.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Pozna? University of Economics and Business, Yasar University - Department of International Trade and Finance and University of Dubai
Downloads 110 (242,972)

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alpha momentum, alpha reversal, international investment, country momentum, country reversal, industry momentum, industry reversal, asset pricing, the cross-section of returns return predictability, equity anomalies

Foreign Equity Trading and Average Stock-Return Volatility

Number of pages: 1 Posted: 26 Feb 2012 Last Revised: 13 Sep 2013
Mehmet Umutlu, Levent Akdeniz and Aslihan Altay Salih
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 68 (329,245)

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foreign investors, average volatility, foreign equity trading, volatility decomposition, foreign equity flow

Foreign Equity Trading and Average Stock‐Return Volatility

The World Economy, Vol. 36, Issue 9, pp. 1209-1228, 2013
Number of pages: 20 Posted: 07 Sep 2013
Yasar University - Department of International Trade and Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
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8.

Size Matters Everywhere: Decomposing the Small Country and Small Industry Premia

Forthcoming in The North American Journal of Economics and Finance
Number of pages: 67 Posted: 14 Sep 2017
Adam Zaremba and Mehmet Umutlu
Pozna? University of Economics and Business and Yasar University - Department of International Trade and Finance
Downloads 59 (349,627)

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country size effect, industry size effect, small country premium, size premium, asset pricing, international investment, return predictability, decomposition

9.

Stock-Return Volatility and Daily Equity Trading by Investor Groups in Korea

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 54 Posted: 26 Nov 2014 Last Revised: 18 May 2015
Mehmet Umutlu and Mark B. Shackleton
Yasar University - Department of International Trade and Finance and Lancaster University - Department of Accounting and Finance
Downloads 56 (358,697)

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stock-return volatility, trading, investor groups

10.

The Link between Financial System and Economics: Functions of the Financial System, Financial Crises, and Policy Implications

International Journal of Financial Research, Forthcoming
Number of pages: 15 Posted: 23 Apr 2014 Last Revised: 09 Sep 2014
Serpil Akdogu and Mehmet Umutlu
Yasar University - Department of Economics and Yasar University - Department of International Trade and Finance
Downloads 49 (380,840)

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Financial policy, financial crises, financial system, economic policy

11.

Borsa Istanbul’Da Islem Goren Yatirim Ve Emeklilik Fonlarının Fon Giderleri Etkisi Altında Performans Degerlendirmesi (Performance Evaluation of Mutual and Pension Funds Traded on Borsa Istanbul Under the Control of Fund Costs)

Journal of Economics, Finance and Accounting, Volume 2, Issue 4, 603-623, 2015
Number of pages: 21 Posted: 04 Jan 2016
Seher Gören and Mehmet Umutlu
Yasar University and Yasar University - Department of International Trade and Finance
Downloads 45 (394,312)

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Mutual Funds, Pension Funds, Yatırım Fonları, Emeklilik Fonları, SVFM, Fama-French Üç Faktör Modeli, Jensen Alfa

12.

Cesitli Yatirimci Gruplarinin Hisse Senedi Net Alim Islem Hacimleri Ve Pazar Getirisi Arasindaki Etkilesim (Interaction between Equity Trading of Various Investor Types and Market Return)

Ege Academic Review, Vol.16, issue:3, pp:451-460, 2016
Number of pages: 10 Posted: 26 Apr 2016 Last Revised: 30 Sep 2016
Melis Gultekin and Mehmet Umutlu
Yasar University - Deparment of International Trade and Finance and Yasar University - Department of International Trade and Finance
Downloads 41 (408,777)

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Investor Groups, Index Return, Trading, VAR Analysis, KOSPI200, Yatırımcı Grupları, Endeks Getirisi, Net Alim Islem Hacmi, VAR Analizi

13.

Strategies Can Be Expensive Too! The Value Spread and Asset Allocation in Global Equity Markets

Applied Economics, 2018, 50 (60): 6529-6546
Number of pages: 39 Posted: 01 Mar 2019
Adam Zaremba and Mehmet Umutlu
Pozna? University of Economics and Business and Yasar University - Department of International Trade and Finance
Downloads 26 (473,848)

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value spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns

14.

Does Idiosyncratic Volatility Matter at the Global Level?

Forthcoming in North American Journal of Economics and Finance
Number of pages: 48 Posted: 02 Jan 2019 Last Revised: 20 Feb 2019
Mehmet Umutlu
Yasar University - Department of International Trade and Finance
Downloads 9 (569,991)

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global idiosyncratic volatility, aggregate idiosyncratic volatility, world market return, international diversification