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TURAN
G. BALI
Robert S. Parker Chair
Professor
of Business Administration
McDonough School of Business
Georgetown University
Between 37th and O Streets
Washington, D.C. 20057
Phone: (202)
687-5388
Fax : (202) 687-4031
E-mail: tgb27@georgetown.edu
http://faculty.msb.edu/tgb27/
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Selected Publications
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Do
Hedge Funds Outperform Stocks and Bonds?, Management
Science, forthcoming (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, forthcoming (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).
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Professional Activities
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Associate Editor: 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
Associate: 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 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
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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