Similar Search Results

Unusual news flow and the cross section of stock returns

Bali, Turan G.; Bodnaruk, Andrij; Scherbina, Anna; Tang, Yi - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4137-4155

Persistent link: https://www.econbiz.de/10011921496

A joint factor model for bonds, stocks, and options

Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023

Persistent link: https://www.econbiz.de/10014483091

World market risk, country-specific risk and expected returns in international stock markets

Bali, Turan G.; Cakici, Nusret - In: Journal of banking & finance 34 (2010) 6, pp. 1152-1165

Persistent link: https://www.econbiz.de/10003977937

Nonlinear mean reversion in stock prices

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of banking & finance 32 (2008) 5, pp. 767-782

Persistent link: https://www.econbiz.de/10003702750

The conditional beta and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Tang, Yi - In: Financial management 38 (2009) 1, pp. 103-137

Persistent link: https://www.econbiz.de/10003851884

A conditional extreme value volatility estimator based on high-frequency returns

Bali, Turan G.; Weinbaum, David - In: Journal of economic dynamics & control 31 (2007) 2, pp. 361-397

Persistent link: https://www.econbiz.de/10003412285

Idiosyncratic volatility and the cross section of expected returns

Bali, Turan G.; Cakici, Nusret - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10003692380

A generalized extreme value approach to financial risk measurement

Bali, Turan G. - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1613-1649

Persistent link: https://www.econbiz.de/10003549211

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

Dynamic conditional beta is alive and well in the cross-section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10009710605