Is there an intertemporal relation between downside risk and expected returns?

TG Bali, KO Demirtas, H Levy - Journal of financial and quantitative …, 2009 - cambridge.org
This paper examines the intertemporal relation between downside risk and expected stock
returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of …

Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns

Y Atilgan, TG Bali, KO Demirtas… - Journal of Financial …, 2020 - Elsevier
This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

Bonds versus stocks: Investors' age and risk taking

TG Bali, KO Demirtas, H Levy, A Wolf - Journal of Monetary Economics, 2009 - Elsevier
It has become increasingly popular to advise investors to relocate their funds from a
primarily stock portfolio to a primarily bond portfolio as they get older. However, the well-known …

Initial credit ratings and earnings management

KO Demirtas, KR Cornaggia - Review of Financial Economics, 2013 - Elsevier
Credit rating agencies assert that they rely on financial information provided by issuers and
that they value rating stability as well as accuracy. In an environment where rating agencies …

Global downside risk and equity returns

Y Atilgan, TG Bali, KO Demirtas… - Journal of International …, 2019 - Elsevier
This paper reexamines the relation between various downside risk measures and future
equity returns in a global context that spans 26 developed markets. We find that there is no …

Do hedge funds outperform stocks and bonds?

TG Bali, SJ Brown, KO Demirtas - Management Science, 2013 - pubsonline.informs.org
Hedge funds' extensive use of derivatives, short selling, and leverage and their dynamic
trading strategies create significant nonnormalities in their return distributions. Hence, the …

Nonlinear mean reversion in stock prices

TG Bali, KO Demirtas, H Levy - Journal of Banking & Finance, 2008 - Elsevier
This paper provides new evidence on the time-series predictability of stock market returns by
introducing a test of nonlinear mean reversion. The performance of extreme daily returns is …

Aggregate earnings, firm-level earnings, and expected stock returns

TG Bali, KO Demirtas, H Tehranian - Journal of Financial and …, 2008 - cambridge.org
… ∗Bali, turan bali@baruch.cuny.edu, and Demirtas, ozgur demirtas@baruch.cuny.edu, …
Bali and Demirtas gratefully acknowledge financial support from the PSC-CUNY Research …

Studies of equity returns in emerging markets: a literature review

Y Atilgan, KO Demirtas, KD Simsek - Emerging Markets Finance …, 2015 - Taylor & Francis
We review the literature on empirical asset pricing in emerging markets. This literature is
quite diverse and almost thirty years old. To make this task manageable, we focus on equity …

Derivative markets in emerging economies: A survey

Y Atilgan, KO Demirtas, KD Simsek - International review of Economics & …, 2016 - Elsevier
We review the literature on derivatives in emerging markets. This young but booming
literature appears to be concentrated on a few countries, but is quite rich in terms of subject …