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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106751
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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...
Persistent link: https://www.econbiz.de/10013106936
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Liquidity shocks and stock market reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013 - This draft: July 03, 2012
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …
Persistent link: https://www.econbiz.de/10009703602
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G. - 2013
We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …
Persistent link: https://www.econbiz.de/10013091046
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G. - 2013
We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …
Persistent link: https://www.econbiz.de/10013091392
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G. - 2013
We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …
Persistent link: https://www.econbiz.de/10013091418
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …
Persistent link: https://www.econbiz.de/10010692947
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Does Aggregate Riskiness Predict Future Economic Downturns?
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - Charles A. Dice Center for Research in Financial … - 2012
Aumann and Serrano (2008) and Foster and Hart (2009) introduce riskiness measures based on the physical return distribution of gambles. This paper proposes model-free options' implied measures of riskiness based on the risk-neutral distribution of financial securities. In addition to introducing...
Persistent link: https://www.econbiz.de/10010551512
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
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The intertemporal relation between expected return and risk on currency
Bali, Turan G.; Yilmaz, Kamil - 2009
risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by …
Persistent link: https://www.econbiz.de/10010277261