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Left-Tail Momentum : Underreaction to Bad News, Costly Arbitrage and Equity Returns
Atilgan, Yigit - 2020
This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...
Persistent link: https://www.econbiz.de/10012853459
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Betting Against Beta or Demand for Lottery
Bali, Turan G. - 2018
Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return of 6.6% per year and they attribute this phenomenon to funding liquidity risk. We demonstrate that...
Persistent link: https://www.econbiz.de/10012937830
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Global Downside Risk and Equity Returns
Atilgan, Yigit - 2019
This paper reexamines the relation between various downside risk measures and future equity returns in a global context that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk and the cross-section of equity returns, and in fact,...
Persistent link: https://www.econbiz.de/10012866319
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Machine Forecast Disagreement
Bali, Turan G.; Kelly, Bryan T.; Moerke, Mathis; … - 2023
We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...
Persistent link: https://www.econbiz.de/10014340974
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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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Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households
Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; … - 2021
, whereas the anomaly disappears for stocks held by non-rich households and institutional investors. We find that skewness …
Persistent link: https://www.econbiz.de/10013240163
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Machine Forecast Disagreement and Equity Returns
Bali, Turan G.; Chang, Ran; Kelly, Bryan T. - 2022
We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...
Persistent link: https://www.econbiz.de/10013298797
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Implied Volatility Spreads and Expected Market Returns
Atilgan, Yigit - 2015
extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the …
Persistent link: https://www.econbiz.de/10013037279
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Growth Options and Related Stock Market Anomalies : Profitability, Distress, Lotteryness, and Volatility
Bali, Turan G. - 2019
profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness …Growth options increase idiosyncratic skewness and reduce risk exposure, and thereby create the appearance of …. To capture these effects, we estimate expected idiosyncratic skewness due to growth options reflecting investors …
Persistent link: https://www.econbiz.de/10012901824