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Does aggregate uncertainty explain size and value anomalies?
Aboura, Sofiane; Arisoy, Yakup Eser - In: Applied economics 49 (2017) 31/33, pp. 3214-3230
Persistent link: https://www.econbiz.de/10011774674
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - 2015
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011310183
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Volatility risk and the value premium : evidence from the French stock market
Arisoy, Yakup Eser - In: Journal of banking & finance 34 (2010) 5, pp. 975-983
Persistent link: https://www.econbiz.de/10003971321
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Is volatility risk priced in the securities market? : evidence from S&P 500 Index options
Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The journal of futures markets 27 (2007) 7, pp. 617-642
Persistent link: https://www.econbiz.de/10003493123
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011308590
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Aggregate volatility and market jump risk : an option-based explanation to size and value premia
Arisoy, Yakup Eser - In: The journal of futures markets 34 (2014) 1, pp. 34-55
Persistent link: https://www.econbiz.de/10010254958
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Aggregate volatility expectations and threshold CAPM
Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The North American journal of economics and finance : a … 34 (2015), pp. 231-253
Persistent link: https://www.econbiz.de/10011539964
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...
Persistent link: https://www.econbiz.de/10010485488
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Optimal multi-period consumption and investment with short-sale constraints
Arisoy, Yakup Eser; Altay-Salih, Aslihan; Pınar, Mustafa Ç - In: Finance research letters 11 (2014) 1, pp. 16-24
Persistent link: https://www.econbiz.de/10010393634
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Option-implied volatility measures and stock return predictability
Fu, Xi; Arisoy, Yakup Eser; Shackleton, Mark B.; … - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 58-78
Persistent link: https://www.econbiz.de/10011687331