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1

Downside Beta and Equity Returns around the World

Atilgan, Yigit, Bali, Turan G., Demirtas, K. Ozgur, Gunaydin, A. Doruk

Journal:

The Journal of Portfolio Management

Année:

2018

Langue:

english

Fichier:

PDF, 660 KB

english, 2018

2

Maxing out: Stocks as lotteries and the cross-section of expected returns

Turan G. Bali, Nusret Cakici, Robert F. Whitelaw

Journal:

Journal of Financial Economics

Année:

2011

Langue:

english

Fichier:

PDF, 413 KB

english, 2011

3

The intertemporal capital asset pricing model with dynamic conditional correlations

Turan G. Bali, Robert F. Engle

Journal:

Journal of Monetary Economics

Année:

2010

Langue:

english

Fichier:

PDF, 232 KB

english, 2010

4

Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds

Journal:

Journal of Banking & Finance

Année:

2003

Langue:

english

Fichier:

PDF, 414 KB

english, 2003

5

Nonlinear mean reversion in stock prices

Turan G. Bali, K. Ozgur Demirtas, Haim Levy

Journal:

Journal of Banking & Finance

Année:

2008

Langue:

english

Fichier:

PDF, 260 KB

english, 2008

6

Volatility Spreads and Expected Stock Returns

Bali, Turan G., Hovakimian, Armen

Journal:

Management Science

Année:

2009

Langue:

english

Fichier:

PDF, 225 KB

english, 2009

7

Idiosyncratic Volatility and the Cross Section of Expected Returns

Turan G. Bali and Nusret Cakici

Journal:

Journal of Financial and Quantitative Analysis

Année:

2008

Langue:

english

Fichier:

PDF, 2.75 MB

english, 2008

8

A Lottery-Demand-Based Explanation of the Beta Anomaly

Bali, Turan G., Brown, Stephen J., Murray, Scott, Tang, Yi

Journal:

Journal of Financial and Quantitative Analysis

Année:

2017

Langue:

english

Fichier:

PDF, 453 KB

english, 2017

9

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Bali, Turan G., Hu, Jianfeng, Murray, Scott

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 611 KB

english, 2013

10

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Allen, Linda, Bali, Turan G., Tang, Yi

Journal:

Review of Financial Studies

Année:

2012

Langue:

english

Fichier:

PDF, 589 KB

english, 2012

11

Risk, Uncertainty, and Expected Returns

Bali, Turan G., Zhou, Hao

Journal:

Journal of Financial and Quantitative Analysis

Année:

2016

Langue:

english

Fichier:

PDF, 379 KB

english, 2016

12

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Atilgan, Yigit, Bali, Turan G., Demirtas, K. Ozgur, Gunaydin, A. Doruk

Journal:

Journal of Financial Economics

Année:

2019

Langue:

english

Fichier:

PDF, 3.30 MB

english, 2019

13

Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures

Turan G. Bali, K. Ozgur Demirtas

Journal:

Journal of Futures Markets

Année:

2008

Langue:

english

Fichier:

PDF, 416 KB

english, 2008

14

Is there a risk–return trade-off? Evidence from high-frequency data

Turan G. Bali, Lin Peng

Journal:

Journal of Applied Econometrics

Année:

2006

Langue:

english

Fichier:

PDF, 267 KB

english, 2006

15

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Bali, Turan G., Cakici, Nusret, Whitelaw, Robert F.

Journal:

Review of Asset Pricing Studies

Année:

2014

Langue:

english

Fichier:

PDF, 363 KB

english, 2014

16

The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR

Turan G. Bali, Hengyong Mo, Yi Tang

Journal:

Journal of Banking & Finance

Année:

2008

Langue:

english

Fichier:

PDF, 264 KB

english, 2008

17

World market risk, country-specific risk and expected returns in international stock markets

Turan G. Bali, Nusret Cakici

Journal:

Journal of Banking & Finance

Année:

2010

Langue:

english

Fichier:

PDF, 318 KB

english, 2010

18

The Joint Cross Section of Stocks and Options

AN, BYEONG-JE, ANG, ANDREW, BALI, TURAN G., CAKICI, NUSRET

Journal:

The Journal of Finance

Année:

2014

Langue:

english

Fichier:

PDF, 815 KB

english, 2014

19

Value at risk and the cross-section of hedge fund returns

Turan G. Bali, Suleyman Gokcan, Bing Liang

Journal:

Journal of Banking & Finance

Année:

2007

Langue:

english

Fichier:

PDF, 272 KB

english, 2007

20

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Bali, Turan G., Engle, Robert F.

Journal:

SSRN Electronic Journal

Année:

2010

Langue:

english

Fichier:

PDF, 447 KB

english, 2010

21

Testing Mean Reversion in Stock Market Volatility

Bali, Turan G., Demirtas, K. Ozgur

Journal:

SSRN Electronic Journal

Année:

2006

Langue:

english

Fichier:

PDF, 292 KB

english, 2006

22

The intertemporal relation between expected returns and risk

Journal:

Journal of Financial Economics

Année:

2008

Langue:

english

Fichier:

PDF, 718 KB

english, 2008

23

Bonds versus stocks: Investors’ age and risk taking

Turan G. Bali, K. Ozgur Demirtas, Haim Levy, Avner Wolf

Journal:

Journal of Monetary Economics

Année:

2009

Langue:

english

Fichier:

PDF, 741 KB

english, 2009

24

Value at Risk and Expected Stock Returns

Turan G. Bali and Nusret Cakici

Journal:

Financial Analysts Journal

Année:

2004

Langue:

english

Fichier:

PDF, 3.18 MB

english, 2004

25

Implied Volatility Spreads and Expected Market Returns

Atilgan, Yigit, Bali, Turan G., Demirtas, K. Ozgur

Journal:

Journal of Business and Economic Statistics

Année:

2015

Langue:

english

Fichier:

PDF, 205 KB

english, 2015

26

A new approach to measuring riskiness in the equity market: Implications for the risk premium

Bali, Turan G., Cakici, Nusret, Chabi-Yo, Fousseni

Journal:

Journal of Banking & Finance

Année:

2015

Langue:

english

Fichier:

PDF, 498 KB

english, 2015

27

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Bali, Turan G., Demirtas, K. Ozgur, Levy, Haim

Journal:

Journal of Financial and Quantitative Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 189 KB

english, 2009

28

Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns

Bali, Turan G., Demirtas, K. Ozgur, Tehranian, Hassan

Journal:

Journal of Financial and Quantitative Analysis

Année:

2008

Langue:

english

Fichier:

PDF, 252 KB

english, 2008

29

Value at Risk and Expected Stock Returns

Bali, Turan G., Cakici, Nusret

Journal:

Financial Analysts Journal

Année:

2004

Langue:

english

Fichier:

PDF, 173 KB

english, 2004

30

The Conditional CAPM Explains the Value Premium

Bali, Turan G., Engle, Robert F.

Journal:

SSRN Electronic Journal

Année:

2012

Langue:

english

Fichier:

PDF, 502 KB

english, 2012

31

Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility

Bali, Turan G., Del Viva, Luca, Lambertides, Neophytos, Trigeorgis, Lenos

Journal:

Journal of Financial and Quantitative Analysis

Année:

2019

Langue:

english

Fichier:

PDF, 804 KB

english, 2019

32

Excessive variation in risk-factor correlations and volatilities

Turan G. Bali, Hans Genberg, Salih N. Neftci

Journal:

Journal of Futures Markets

Année:

2002

Langue:

english

Fichier:

PDF, 447 KB

english, 2002

33

A new look at hedging with derivatives: Will firms reduce market risk exposure?

Turan G. Bali, Susan R. Hume, Terrence F. Martell

Journal:

Journal of Futures Markets

Année:

2007

Langue:

english

Fichier:

PDF, 183 KB

english, 2007

34

A conditional extreme value volatility estimator based on high-frequency returns

Turan G. Bali, David Weinbaum

Journal:

Journal of Economic Dynamics and Control

Année:

2007

Langue:

english

Fichier:

PDF, 890 KB

english, 2007

35

Does Idiosyncratic Risk Really Matter?

TURAN G. BALI, NUSRET CAKICI, XUEMIN (STERLING) YAN, ZHE ZHANG

Journal:

The Journal of Finance

Année:

2005

Langue:

english

Fichier:

PDF, 142 KB

english, 2005

36

Do hedge funds' exposures to risk factors predict their future returns?

Turan G. Bali, Stephen J. Brown, Mustafa Onur Caglayan

Journal:

Journal of Financial Economics

Année:

2011

Langue:

english

Fichier:

PDF, 540 KB

english, 2011

37

A comprehensive analysis of the short-term interest-rate dynamics

Turan G. Bali, Liuren Wu

Journal:

Journal of Banking & Finance

Année:

2006

Langue:

english

Fichier:

PDF, 292 KB

english, 2006

38

Cyclicality in catastrophic and operational risk measurements

Linda Allen, Turan G. Bali

Journal:

Journal of Banking & Finance

Année:

2007

Langue:

english

Fichier:

PDF, 703 KB

english, 2007

39

Systematic risk and the cross section of hedge fund returns

Turan G. Bali, Stephen J. Brown, Mustafa Onur Caglayan

Journal:

Journal of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 415 KB

english, 2012

40

Liquidity Shocks and Stock Market Reactions

Bali, Turan G., Peng, Lin, Shen, Yannan, Tang, Yi

Journal:

Review of Financial Studies

Année:

2014

Langue:

english

Fichier:

PDF, 457 KB

english, 2014

41

Idiosyncratic Volatility and the Cross Section of Expected Returns

Bali, Turan G., Cakici, Nusret

Journal:

Journal of Financial and Quantitative Analysis

Année:

2008

Langue:

english

Fichier:

PDF, 277 KB

english, 2008

42

Risk Measurement Performance of Alternative Distribution Functions

Turan G. Bali and Panayiotis Theodossiou

Journal:

Journal of Risk and Insurance

Année:

2008

Langue:

english

Fichier:

PDF, 3.12 MB

english, 2008

43

Macroeconomic risk and hedge fund returns

Bali, Turan G., Brown, Stephen J., Caglayan, Mustafa O.

Journal:

Journal of Financial Economics

Année:

2014

Langue:

english

Fichier:

PDF, 658 KB

english, 2014

44

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Bali, Turan G, Neftci, Salih N

Journal:

The Journal of Fixed Income

Année:

2001

Langue:

english

Fichier:

PDF, 76 KB

english, 2001

45

A Generalized Extreme Value Approach to Financial Risk Measurement

Journal:

Journal of Money, Credit and Banking

Année:

2007

Langue:

english

Fichier:

PDF, 3.69 MB

english, 2007

46

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Turan G. Bali, K. Ozgur Demirtas and Haim Levy

Journal:

Journal of Financial and Quantitative Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 2.23 MB

english, 2009

47

Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns

Bali, Turan G., Engle, Robert F., Tang, Yi

Journal:

Management Science

Année:

2016

Langue:

english

Fichier:

PDF, 314 KB

english, 2016

48

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Bali, Turan G., Brown, Stephen J., Tang, Yi

Journal:

Journal of Financial Economics

Année:

2017

Langue:

english

Fichier:

PDF, 3.61 MB

english, 2017

49

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Bai, Jennie, Bali, Turan G., Wen, Quan

Journal:

Journal of Financial Economics

Année:

2018

Langue:

english

Fichier:

PDF, 3.15 MB

english, 2018

50

Betting Against Beta or Demand for Lottery

Bali, Turan G., Brown, Stephen, Murray, Scott, Tang, Yi

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 772 KB

english, 2014