Publications

BOOKS

[1] Empirical Asset Pricing: The Cross Section of Stock Returns, Publisher: Wiley, April 2016, (with Robert F. Engle and Scott Murray).

[2] Mathematical Methods for Finance: Tools for Asset and Risk Management, Publisher: Wiley, September 2013, (with Frank J. Fabozzi and Sergio M. Focardi).

[3] Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics, Publisher: Elsevier, July 2013, (with Yigit Atilgan and K. Ozgur Demirtas).

ARTICLES

[1] Investor Regret and Stock Returns, Management Science, forthcoming (with Eser Arisoy and Yi Tang).

[2] Value Uncertainty, Management Science, forthcoming (with Luca Del Viva, Menatalla El Hefnawy, and Lenos Trigeorgis).

[3] Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices Journal of Financial and Quantitative Analysis, forthcoming (with Craig Nichols and David Weinbaum).

[4] Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households, Journal of Financial Economics, November 2023, (with A. Doruk Gunaydin, Thomas Jansson, and Yigitcan Karabulut).

[5] 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).

[6] 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).

[7] 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, Umut Celiker).

[8] 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).

[9] Long-Term Reversals in the Corporate Bond Market, Journal of Financial Economics, February 2021, 139(2), 656-677 (with Avanidhar Subrahmanyam and Quan Wen).

[10] 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).

[11] 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).

[12] 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).

[13] 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).

[14] 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).

[15] 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).

[16] Risk, Uncertainty, and Expected Returns, Journal of Financial and Quantitative Analysis, June 2016, 51(3), 707-735 (with Hao Zhou).

[17] 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).

[18] 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).

[19] The Joint Cross Section of Stocks and Options, Journal of Finance, October 2014, 69(5), 2279-2337 (with Beyong-Je An, Andrew Ang, Nusret Cakici).

[20] Macroeconomic Risk and Hedge Fund Returns, Journal of Financial Economics, October 2014, 114(1), 1-19 (with Stephen J. Brown and Mustafa O. Caglayan).

[21] Liquidity Shocks and Stock Market Reactions, Review of Financial Studies, May 2014, 27(5), 1434-1485 (with Lin Peng, Yannan Shen, and Yi Tang).

[22] Do Hedge Funds Outperform Stocks and Bonds?  Management Science, August 2013, 59(8), 1887-1903 (with Stephen J. Brown and K. Ozgur Demirtas).

[23] 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).

[24] 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).

[25] 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).

[26] A Generalized Measure of Riskiness, Management Science, August 2011, 57(8), 1406-1423 (with Nusret Cakici and Fousseni Chabi-Yo).

[27] 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).

[28] 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).

[29] The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations, Journal of Monetary Economics, May 2010, 57(4), 377-390 (with Robert F. Engle). 

[30] Asymmetric Crime Cycles, Review of Economics and Statistics, November 2010, 92(4), 899-911 (with Naci Mocan).

[31] Corporate Financing Activities and Contrarian Investment, Review of Finance, July 2010, 14(3), 543-584 (with K. Ozgur Demirtas and ArmenHovakimian).

[32] Volatility Spreads and Expected Stock Returns, Management Science, November 2009, 55(11), 1797-1812 (with Armen Hovakimian).

[33] 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).

[34] 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).

[35] 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).

[36] The intertemporal relation between expected returns and risk, Journal of Financial Economics, January 2008, 87(1), 101-131.

[37] Idiosyncratic Volatility and the Cross-Section of Expected Returns, Journal of Financial and Quantitative Analysis, March 2008, 43(1), 29-58 (with Nusret Cakici).

[38] 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).

[39] Risk Measurement Performance of Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437 (with Panayiotis Theodossiou).

[40] An Extreme Value Approach to Estimating Interest Rate Volatility: Pricing Implications for Interest Rate Options, Management Science, February 2007, 53(2), 323-339.

[41] 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).

[42] A Generalized Extreme Value Approach to Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7), 1611-1647.

[43] Does Idiosyncratic Risk Really Matter? Journal of Finance, April 2005, 60(2), 905-929 (with Nusret Cakici, Xuemin Yan, and Zhe Zhang).

[44] An Extreme Value Approach to Estimating Volatility and Value at Risk, Journal of Business, January 2003, 76(1), 83-108.

[45] 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.

ARTICLES in FIELD JOURNALS

[1] Global Downside Risk and Equity Returns, Journal of International Money and Finance, November 2019, Volume 98, 102065 (with Yigit Atilgan, K. Ozgur Demirtas, and A. Doruk Gunaydin).

[2] Upside Potential of Hedge Funds as a Predictor of Future Performance, Journal of Banking and Finance, January 2019, 98(1), 212-229 (with Stephen J. Brown and Mustafa O. Caglayan).

[3] Comment on “Nonparametric Tail Risk, Stock Returns and the Macroeconomy” by Almeida, C., K. Ardison, R. Garcia, and J. Vicente, Journal of Financial Econometrics, June 2017, 15(3), 413-417.

[4] A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium, Journal of Banking and Finance, August 2015, 57(8), 101-117 (with Nusret Cakici and Fousseni Chabi-Yo).

[5] World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets, Journal of Banking and Finance, June 2010, 34(6), 1152-1165 (with Nusret Cakici).

[6] The Role of Exchange Rates in Intertemporal Risk-Return Relations, Journal of International Money and Finance, December 2010, 29(8), 1670-1686 (with Liuren Wu).

[7] The Conditional Beta and the Cross-Section of Expected Returns, Financial Management, Spring 2009, 38(1), 103-137 (with Nusret Cakici and Yi Tang).

[8] A Model-Independent Measure of Aggregate Idiosyncratic Risk, Journal of Empirical Finance, December 2008, 15(5), 878-896 (with Nusret Cakici and Haim Levy).

[9] The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR, Journal of Banking and Finance, February 2008, 32(2), 269-282 (with Hengyong Mo and Yi Tang).

[10] Nonlinear Mean Reversion in Stock Prices, Journal of Banking and Finance, May 2008, 32(5), 767-782 (with K. Ozgur Demirtas and Haim Levy).

[11] Testing Mean Reversion in Financial Market Volatility: Evidence from S&P 500 Index Futures, Journal of Futures Markets, January 2008, 28(1), 1-33 (with K. Ozgur Demirtas).

[12] A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure? Journal of Futures Markets, November 2007, 27(11), 1053-1083 (with Susan Hume and Terrence Martell).

[13] Modeling the Dynamics of Interest Rate Volatility with Skewed Fat-Tailed Distributions, Annals of Operations Research, April 2007, 151(1), 151-178.

[14] A Conditional-SGT-VaR Approach with Alternative GARCH Models, Annals of Operations Research, April 2007, 151(1), 241-267 (with Panayiotis Theodossiou).

[15] Cyclicality in Catastrophic and Operational Risk Measurements, Journal of Banking and Finance, April 2007, 31(4), 1191-1235 (with Linda Allen).

[16] Value at Risk and the Cross-Section of Hedge Fund Returns, Journal of Banking and Finance, April 2007, 31(4), 1135-1166 (with Bing Liang and Suleyman Gokcan).

[17] Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data, Journal of Applied Econometrics, December 2006, 21(8), 1169-1198 (with Lin Peng).

[18] Inflation Shoe Leather Costs and Average Inflation Rates Across Countries, Journal of International Money and Finance, November 2006, 25(7), 1103-1129 (with Thom B. Thurston).

[19] A Comprehensive Analysis of the Short-Term Interest Rate Dynamics, Journal of Banking and Finance, April 2006, 30(4), 1269-1290 (with Liuren Wu).

[20] The Empirical Performance of Alternative Extreme-Value Volatility Estimators, Journal of Futures Markets, September 2005, 25(9), 873-892 (with David Weinbaum).

[21] Disturbing Extremal Behavior of Spot Rate Dynamics, Journal of Empirical Finance, September 2003, 10(4), 455-477 (with Salih N. Neftci).

[22] The Generalized Extreme Value Distribution, Economics Letters, June 2003, 79(3), 423-427.

[23] Modeling the Stochastic Behavior of Short Term Interest Rates: Pricing Implications for Discount Bonds, Journal of Banking and Finance, February 2003, 27(2), 201-228.

[24] Excessive Variation in Risk Factor Correlations and Volatilities, Journal of Futures Markets, December 2002, 22(12), 1119-1146 (with Salih N. Neftci).

[25] Empirical Estimates of Inflation Tax Laffer Surfaces: A 30 Country Study, Journal of Development Economics, December 2000, 63(2), 529-546 (with Thom B. Thurston).

[26] Modeling the Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH, and Moving Average Models, Journal of Futures Markets, September 2000, 20(8), 717-751.

[27] Pricing Eurodollar Futures Options Using the BDT Term Structure Model: The Effect of Yield Curve Smoothing, Journal of Futures Markets, March 2000, 20(3), 293-306 (with Ahmet K. Karagozoglu).

[28] An Empirical Comparison of Continuous Time Models of the Short Term Interest Rate, Journal of Futures Markets, October 1999, 19(7), 777-798.

ARTICLES in PRACTITIONER JOURNALS

[1] Downside Beta and Equity Returns around the World, Journal of Portfolio Management, 2018, 344(7), 39-54 (with Yigit Atilgan, K. Ozgur Demirtas, and A. Doruk Gunaydin).

[2] Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets, Journal of Portfolio Management, Winter 2013, 39(2), 101-115 (with Nusret Cakici and Frank J. Fabozzi).

[3] Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance, Journal of Portfolio Management, Spring 2006, 32(3), 80-92 (with K. Ozgur Demirtas, Armen Hovakimian, and John Merrick).

[4] Value at Risk and Expected Stock Returns, Financial Analysts Journal, March 2004, 60(2), 57-73 (with Nusret Cakici).

[5] The Relativity of Volatility, Risk, April 2001, 14(4), 91-94 (with Salih N. Neftci).

[6] Estimating the Term Structure of Interest Rate Volatility in Extreme Values, Journal of Fixed Income, March 2001, 10(4), 7-14 (with Salih N. Neftci).

[7] Implementation of the BDT Model with Different Volatility Estimators: Applications to Eurodollar Futures Options, Journal of Fixed Income, March 1999, 8(4), 24-34 (with Ahmet K. Karagozoglu).

BOOK CHAPTERS

[1] Preference for Lottery-like Securities, Handbook of Financial Decision Making, 2022, (with Quan Wen), Edited by Gilles Hilary and David McLean, Publisher: Edward Edgar Publishing Ltd.

[2] Hedge Fund Strategies in the Post-Crisis Era, The Oxford Handbook of Hedge Funds, 2021, pp. 136-159 (with Yigit Atilgan and A. Doruk Gunaydin), Edited by Douglas Cumming, Sofia Johan, and Geoffrey Wood, Publisher: Oxford Academic.

[3] Empirical Asset Pricing: The Cross Section of Stock Returns: An Overview, Wiley Statsref: Statistics Reference Online, 2017.

[4] The Intertemporal Relation between Expected Return and Risk on Currency, Handbook of Financial Econometrics, 2015 (with Kamil Yilmaz), Edited by Cheng-Few Lee, Publisher: Springer.

[5] The Intertemporal Relation between Tail Risk and Fund of Hedge Funds Returns, Fund of Funds, 2013 (with Yigit Atilgan and K. Ozgur Demirtas), Edited by Greg N. Gregoriou, Publisher: Elsevier.

[6] Reward-to-Risk Ratios of Fund of Hedge Funds, Fund of Funds, 2013 (with Yigit Atilgan and K. Ozgur Demirtas), Edited by Greg N. Gregoriou, Publisher: Elsevier.

[7] International Equity Markets: Risk and Return, Survey of International Finance, 2012 (with Yigit Atilgan and K. Ozgur Demirtas), Edited by H. Kent Baker and Leigh A. Riddick, Publisher: Oxford University Press, New York and Oxford.

[8] Is There a Relation between Discrete Time GARCH and Continuous Time Diffusion Models? Financial Econometrics Handbook, 2011, Edited by Greg N. Gregoriou and Razvan Pascalau, Publisher: Chapman Hall-Taylor and Francis London UK.

[9] Predictability of Risk Measures in International Stock Markets, Stock Market Volatility, March 2009, pp. 313-322, (with K. Ozgur Demirtas), Edited by Greg N. Gregoriou, Publisher: Chapman Hall CRC/Taylor and Francis, London, UK.

[10] The Relativity of Volatility, The Value-at-Risk Reference April 2007, pp. 429-439 (with Salih N. Neftci) Edited by Jon Danielsson, Risk Books.

[11] Cyclicality in the Catastrophic Risk of Financial Institutions, Operational Risk Modelling and Analysis: Theory and Practice, August 2004, pp. 209-246 (with Linda Allen and Yi Tang) Edited by Marcelo Cruz, Risk Books.

[12] Alternative Approaches to Estimating VaR for Hedge Fund Portfolios, Intelligent Hedge Fund Investing April 2004, pp. 253-277 (with Suleyman Gokcan) Edited by Barry Schachter, Risk Books.