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
Review of Financial Studies
Books
Co-authors: Robert F. Engle and Scott Murray
Co-authors: Yigit Atilgan and K. Ozgur Demirtas
Co-authors: Frank J. Fabozzi and Sergio M. Focardi
Selected Articles
Machine Learning/Big Data
Option Return Predictability with Machine Learning and Big Data, Review of Financial Studies, September 2023, 36(9), 3548-3602 (with Heiner Beckmeyer, Mathis Moerke, and Florian Weigert).
Cross-Section of Corporate Bond Returns
Long-Term Reversals in the Corporate Bond Market, Journal of Financial Economics, February 2021, 139(2), 656-677 (with Avanidhar Subrahmanyam and Quan Wen).
Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence, Journal of Financial Economics, December 2021, 142(3), 1017-1037 (with Jennie Bai and Quan Wen).
The Macroeconomic Uncertainty Premium in the Corporate Bond Market, Journal of Financial and Quantitative Analysis, August 2021, 56(5), 1653–1678 (with Avanidhar Subrahmanyam and Quan Wen).
Cross-Section of Equity Returns
Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households, Journal of Financial Economics, forthcoming (with A. Doruk Gunaydin, Thomas Jansson, and Yigitcan Karabulut).
Value Uncertainty, Management Science, forthcoming (with Luca Del Viva, Menatalla El Hefnawy, and Lenos Trigeorgis).
Investor Regret and Stock Returns, Management Science, forthcoming (with Eser Arisoy and Yi Tang).
Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices, Journal of Financial and Quantitative Analysis, forthcoming (with Craig Nichols and David Weinbaum).
Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns, Journal of Financial Economics, March 2020, 135(3), 725-753 (with Yigit Atilgan, K. Ozgur Demirtas, and A. Doruk Gunaydin).
Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility, Journal of Financial and Quantitative Analysis, November 2020, 55(7), 2150-2180 (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).
Liquidity Shocks and Stock Market Reactions, Review of Financial Studies, May 2014, 27(5), 1434-1485 (with Lin Peng, Yannan Shen, 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
Option Return Predictability with Machine Learning and Big Data, Review of Financial Studies, September 2023, 36(9), 3548-3602 (with Heiner Beckmeyer, Mathis Moerke, and Florian Weigert).
The Joint Cross Section of Stocks and Options, Journal of Finance, October 2014, 69(5), 2279-2337 (with Beyong-Je An, Andrew Ang, and Nusret Cakici).
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).
Volatility Spreads and Expected Stock Returns, Management Science, November 2009, 55(11), 1797-1812 (with Armen Hovakimian).
Intertemporal Capital Asset Pricing Model
Risk, Uncertainty, and Expected Returns, Journal of Financial and Quantitative Analysis, June 2016, 51(3), 707-735 (with Hao Zhou) Lead Article.
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).
Does Idiosyncratic Risk Really Matter? Journal of Finance, April 2005, 60(2), 905-929 (with Nusret Cakici, Xuemin Yan, and Zhe Zhang).
Hedge Funds
Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?, Journal of Financial and Quantitative Analysis, September 2021, 56(6), 2136-2169 (with Stephen J. Brown, Mustafa O. Caglayan, and Umut Celiker)
Macroeconomic Risk and Hedge Fund Returns, Journal of Financial Economics, October 2014, 114(1), 1-19 (with Stephen J. Brown and Mustafa O. Caglayan) Lead Article.
Do Hedge Funds Outperform Stocks and Bonds? Management Science, August 2013, 59(8), 1887-1903 (with Stephen J. Brown and K. Ozgur Demirtas).
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).
Risk Management
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).
A Generalized Measure of Riskiness, Management Science, August 2011, 57(8), 1406-1423 (with Nusret Cakici and Fousseni Chabi-Yo).
Risk Measurement Performance of Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437 (with Panayiotis Theodossiou).
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.
Stochastic Dominance
Do Hedge Funds Outperform Stocks and Bonds?, Management Science, August 2013, 59(8), 1887-1903 (with Stephen J. Brown and K. Ozgur Demirtas).
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).
Financial Economics/Econometrics
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.
Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate, Journal of Financial and Quantitative Analysis, June 2000, 35(2), 191-215.
Professional Activities
Associate Editor
Review of Financial Studies: 2023-Present
Management Science: 2016-Present
Journal of Financial and Quantitative Analysis: 2014-Present
Research Affiliate
Volatility Institute, Stern School of Business, New York University: 2011-Present
Founding Member
Society for Financial Econometrics: 2008-Present