TURAN G. BALI
- Robert Parker Chair Professor of Finance McDonough School of Business Georgetown University
- Associate Editor
- Journal of Financial and Quantitative Analysis
- Management Science
Cross-Section of Corporate Bond Returns
Common Risk Factors in the Cross-Section of Corporate Bond Returns, Journal of Financial Economics, March 2019, 131(3), 619-642 (with Jennie Bai and Quan Wen).
Original version of this paper was merged with:
Cross-Section of Equity Returns
Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility, Journal of Financial and Quantitative Analysis, forthcoming (with Luca Del Viva, Neophytos Lambertides, and Lenos Trigeorgis).
Unusual News Flow and the Cross-Section of Stock Returns, Management Science, September 2018, 64(9), 4137-4155 (with Andriy Bodnaruk, Anna Scherbina, and Yi Tang).
Is Economic Uncertainty Priced in the Cross-Section of Stock Returns? Journal of Financial Economics, December 2017, 126(3), 471-489 (with Stephen J. Brown and Yi Tang).
A Lottery Demand-Based Explanation of the Beta Anomaly, Journal of Financial and Quantitative Analysis, December 2017, 52(6), 2369-2397 (with Stephen J. Brown, Scott Murray, and Yi Tang).
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns, Management Science, November 2017, 63(11), 3760-3779 (with Robert F. Engle and Yi Tang).
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? Review of Asset Pricing Studies, December 2014, 4(2), 206-246 (with Nusret Cakici and Robert Whitelaw).
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns, Journal of Financial Economics, February 2011, 99(2), 427-446 (with Nusret Cakici and Robert Whitelaw).
Corporate Financing Activities and Contrarian Investment, Review of Finance, July 2010, 14(3), 543-584 (with K. Ozgur Demirtas and Armen Hovakimian)
Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns, Journal of Financial and Quantitative Analysis, September 2008, 43(3), 657-684 (with K. Ozgur Demirtas and Hassan Tehranian).
Idiosyncratic Volatility and the Cross-Section of Expected Returns, Journal of Financial and Quantitative Analysis, March 2008, 43(1), 29-58 (with Nusret Cakici).
Cross-Section of Stocks and Options
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? Journal of Financial and Quantitative Analysis, August 2013, 48(4), 1145-1171 (with Scott Murray).
Intertemporal Capital Asset Pricing Model
The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations, Journal of Monetary Economics, May 2010, 57(4), 377-390 (with Robert F. Engle) Lead Article.
Is There an Intertemporal Relation Between Downside Risk and Expected Returns? Journal of Financial and Quantitative Analysis, August 2009, 44(4), 883-909 (with K. Ozgur Demirtas and Haim Levy).
The Intertemporal Relation between Expected Returns and Risk, Journal of Financial Economics, January 2008, 87(1), 101-131.
Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data, Journal of Applied Econometrics, December 2006, 21(8), 1169-1198 (with Lin Peng).
Systematic Risk and the Cross-Section of Hedge Fund Returns, Journal of Financial Economics, October 2012, 106(1), 114-131 (with Stephen J. Brown and Mustafa O. Caglayan).
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? Journal of Financial Economics, July 2011, 101(1), 36-68 (with Stephen J. Brown and Mustafa O. Caglayan).
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? Review of Financial Studies, October 2012, 25(10), 3000-3036 (with Linda Allen and Yi Tang).
Risk Measurement Performance of Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437 (with Panayiotis Theodossiou).
A Generalized Extreme Value Approach to Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7), 1611-1647.
A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns, Journal of Economic Dynamics and Control, February 2007, 31(2), 361-397 (with David Weinbaum).
An Extreme Value Approach to Estimating Volatility and Value at Risk, Journal of Business, January 2003, 76(1), 83-108.
Bonds versus Stocks: Investors’ Age and Risk Taking, Journal of Monetary Economics, September 2009, 56(6), 817-830 (with K. Ozgur Demirtas, Haim Levy, and Avner Wolf).
Implied Volatility Spreads and Expected Market Returns, Journal of Business and Economic Statistics, January 2015, 33(1), 87-101 (with Yigit Atilgan and K. Ozgur Demirtas).
Predictability of Interest Rates and Interest Rate Portfolios, Journal of Business and Economic Statistics, October 2009, 27(4), 517-527 (with Massoud Heidari and Liuren Wu).
An Extreme Value Approach to Estimating Interest Rate Volatility: Pricing Implications for Interest Rate Options, Management Science, February 2007, 53(2), 323-339.
Management Science: 2016-Present
Journal of Financial and Quantitative Analysis: 2014-Present
Journal of Banking and Finance: 2008-Present
Financial Management: 2016-Present
Journal of Portfolio Management: 2009-Present
Society for Financial Econometrics: 2008-Present