Mehmet Umutlu

Edinburgh Napier University, The Business School, Accounting and Finance Subject Group

Associate Professor (Reader) in Finance

Craiglockhart Campus

Edinburgh, Scotland EH11 4BN

United Kingdom

  • Edinburgh Napier University, The Business School, Accounting and Finance Subject Group

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 24,828

in Total Papers Citations

27

CROSSREF CITATIONS

11

Scholarly Papers (20)

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1.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Adam Zaremba, Mehmet Umutlu and Andreas Karathanasopoulos
Montpellier Business School, Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and University of Dubai
Downloads 507 (86,962)
Citation 3

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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

2.

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
Montpellier Business School and Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 356 (131,159)
Citation 3

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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

3.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 260 (182,172)
Citation 1

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

4.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 232 (203,626)
Citation 1

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leverage, investment, panel data, emerging markets

5.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 179 (257,953)
Citation 3

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

6.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 150 (299,305)
Citation 6

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

7.

Return range and the cross-section of expected index returns in international stock markets

Quantitative Finance and Economics
Number of pages: 38 Posted: 04 Jun 2021
Mehmet Umutlu and Pelin Bengitoz
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and Yasar University - Deparment of International Trade and Finance
Downloads 117 (361,781)
Citation 1

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portfolio management, international equity investment, asset pricing

8.

To Diversify or Not to Diversify Internationally?

Forthcoming, Finance Research Letters, https://doi.org/10.1016/j.frl.2021.102110
Number of pages: 16 Posted: 23 May 2021
Mehmet Umutlu and Seher Gören Yargi
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and Yasar University
Downloads 114 (368,513)

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International diversification, International portfolio management, Index correlations

9.

Where Have the Profits Gone? Market Efficiency and the Disappearing Equity Anomalies in Country and Industry Returns

Journal of Banking and Finance, Vol. 121, No. 105966, 2020
Number of pages: 52 Posted: 02 Mar 2021
Adam Zaremba, Mehmet Umutlu and Alina Maydybura
Montpellier Business School, Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and University of Dubai
Downloads 104 (395,480)
Citation 3

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equity anomalies, return predictability, international investment, country returns, industry returns, investor learning, market efficiency, value, size, momentum, low-risk, seasonality, long-run reversal, behavioural finance, structural breaks

10.

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
Montpellier Business School and Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 97 (411,566)
Citation 2

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

11.

Decomposing the Earnings-to-Price Ratio and the Cross-section of International Equity-Index Returns

Applied Economics
Number of pages: 33 Posted: 11 Dec 2019 Last Revised: 08 Jun 2021
Mehmet Umutlu, Pelin Bengitoz and Adam Zaremba
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Yasar University - Deparment of International Trade and Finance and Montpellier Business School
Downloads 96 (414,405)

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International Portfolio Management, E/P Decomposition, Value Effect, Equity Anomalies, Index Returns, Return Predictability

12.

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 Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 88 (437,833)

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Financial policy, financial crises, financial system, economic policy

13.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 85 (447,165)

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

14.

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 Yargi and Mehmet Umutlu
Yasar University and Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 80 (463,469)

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

15.

The Cross-section of Industry Equity Returns and Global Tactical Asset Allocation across Regions and Industries

International Review of Financial Analysis, Vol. 72, 2020
Number of pages: 73 Posted: 30 Dec 2020
Mehmet Umutlu and Pelin Bengitoz
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and Yasar University - Deparment of International Trade and Finance
Downloads 77 (473,780)

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International portfolio management, international diversification, global tactical asset allocation, international asset pricing.

16.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and Lancaster University - Department of Accounting and Finance
Downloads 76 (477,344)
Citation 2

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stock-return volatility, trading, investor groups

17.

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 Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 62 (535,791)

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

18.

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
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 30 (704,006)
Citation 3

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

19.

Financial Openness and Financial Development: Evidence from Emerging Countries

Umutlu, M., Gültekin, M., & Özkaya, H. (2020). Financial Openness and Financial Development: Evidence from Emerging Countries. Istanbul Business Research, 49(2), 316-338. http://doi.org/10.26650/ibr.2020.49.0040
Number of pages: 29 Posted: 10 Mar 2021 Last Revised: 02 Jun 2021
Mehmet Umutlu, Melis Gultekin and Hakan Ozkaya
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Yasar University - Deparment of International Trade and Finance and affiliation not provided to SSRN
Downloads 25 (739,950)

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Financial Development, Trade Openness, Capital Account Openness, Stock Market Openness

20.

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 (956,307)

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option-implied volatility, volatility skew, return predictability