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TURAN G. BALI

·         Robert Parker Chair Professor of Finance

     McDonough School of Business
     Georgetown University

·         Associate Editor

     Journal of Financial and Quantitative Analysis 

·         Research Affiliate

     Volatility Institute, New York University

 

Contents

 

 Publications | Data & Working Papers | Activities | About me | Useful Links

 

 

Books

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Selected Articles


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

·         Link to Elsevier

 

 

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

 

·         Link to Wiley

 

 

 

Risk, Uncertainty, and Expected Returns, Journal of Financial and Quantitative Analysis, forthcoming (with Hao Zhou).

 

·         Online Appendix

 

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? Review of Asset Pricing Studies, forthcoming (with Nusret Cakici and Robert Whitelaw).

 

Implied Volatility Spreads and Expected Market Returns, Journal of Business and Economic Statistics, forthcoming (with Yigit Atilgan and K. Ozgur Demirtas).

 

·         Online Appendix

 

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.

 

·         Online Appendix

 

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).

 

·         Online Appendix

 

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

 

·         Online Appendix

 

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

 

·         Online Appendix

 

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).

 

·         Online Appendix

 

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).

 

·         Online Appendix

 

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).

 

·         Online Appendix

 

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).

 

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).

 

The Intertemporal Relation between Expected Returns and Risk, Journal of Financial Economics, January 2008, 87(1), 101-131.

 

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

 

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.

[previously titled Investigating ICAPM with Dynamic Conditional Correlations].

 

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).

 

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

 

·         Online Appendix

 

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

 

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

 

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

 

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 Volatility and Value at Risk, Journal of Business, January 2003, 76(1), 83-108.

 

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.

 

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

 

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).

 

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).

 

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).

 

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

 

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

 

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

 

Professional Activities

Associate Editor:  Journal of Financial and Quantitative Analysis: 2014-Present

 

                          Review of Financial Economics: 2012-Present

 

                          Journal of Portfolio Management: 2009-Present

 

                          Journal of Banking and Finance: 2008-Present

 

                          Journal of Futures Markets: 2007-Present

 

                                Journal of Risk: 2005-Present

 

 

Research Affiliate:  Volatility Institute,  Stern School of Business,  New York University: 2011-Present

 

 

Founding Member:  Society for Financial Econometrics: 2008-Present

 

 

Referee:  American Economic Review, Annals of Applied Probability, Annals of Applied Statistics, Annals of Operations Research, Economic Inquiry, European Financial Management, European Journal of Finance, European Journal of Operational Research, Financial Analysts Journal, Financial Management, International Review of Economics and Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business, Journal of Business and Economic Statistics, Journal of Business, Finance, and Accounting, Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Economics and Business, Journal of Economics and Finance, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Financial Economics, Journal of Financial Research, Journal of Financial Services Research, Journal of Forecasting, Journal of Futures Markets, Journal of International Money and Finance, Journal of Monetary Economics, Journal of Money, Credit and Banking, Journal of Multinational Financial Management, Journal of Political Economy, Journal of Portfolio Management, Journal of Risk, Journal of Risk and Insurance, Macroeconomic Dynamics, Management Science, Multinational Finance Journal, National Science Foundation, Operations Research, Quantitative Finance, Quarterly Journal of Economics, Quarterly Review of Economics and Finance, Research Grants Council of Hong Kong, Review of Financial Economics, Review of Financial Studies, Review of Quantitative Finance and Accounting, Scientific and Technological Research Council of Turkey, and Social Sciences and Humanities Research Council of Canada.

 

 

 

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