TURAN G. BALI
· Robert Parker Chair Professor of Finance
· Associate Editor
Journal of Financial
and Quantitative Analysis
· Associate Editor
Mathematical Methods for Finance: Tools for Asset and Risk Management, September 2013 (with Frank J. Fabozzi and Sergio M. Focardi).
Unusual News Flow and the Cross-Section of Stock Returns, Management Science, forthcoming (with Andriy Bodnaruk, Anna Scherbina, 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
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).
Intertemporal Capital Asset Pricing Model
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].
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).
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).
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).
Risk Measurement Performance of Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437 (with Panayiotis Theodossiou).
A Generalized Extreme Value Approach to Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7), 1611-1647.
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.
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).
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.
Management Science: 2016-Present
Journal of Financial and Quantitative Analysis: 2014-Present
Journal of Banking and Finance: 2008-Present
Financial Management: 2016-Present
Journal of Portfolio Management: 2009-Present
Past Editorial Activities (Associate Editor):
Review of Financial Economics: 2012-2016
Journal of Futures Markets: 2007-2016
Journal of Risk: 2005-2016
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 Finance, 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.