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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

The generalized extreme value distribution

Bali, Turan G. - In: Economics letters 79 (2003) 3, pp. 423-427

Persistent link: https://www.econbiz.de/10001755303

An extreme value approach to estimating volatility and value at risk

Bali, Turan G. - In: The journal of business : B 76 (2003) 1, pp. 83-108

Persistent link: https://www.econbiz.de/10001743598

The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR

Bali, Turan G.; Mo, Hengyong; Tang, Yi - In: Journal of banking & finance 32 (2008) 2, pp. 269-282

Persistent link: https://www.econbiz.de/10003647212

Risk measurement performance of alternative distribution functions

Bali, Turan G.; Theodossiou, Panayiotis - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 411-437

Persistent link: https://www.econbiz.de/10003713595

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

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

Bali, Turan G. - 2019

We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...

Persistent link: https://www.econbiz.de/10012891568

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

Bali, Turan G.; Hirshleifer, David; Peng, Lin; Tang, Yi - National Bureau of Economic Research - 2021

We find that among stocks dominated by retail investors, the lottery anomaly is amplified by high investor attention (proxied by high analyst coverage, salient earnings surprises, or recency of extreme positive returns) and intense social interactions (proxied by Facebook social connectedness or...

Persistent link: https://www.econbiz.de/10012794571

The Risk-Neutral Distribution of Option Returns

Bali, Turan G. - 2017

This is the first study on the risk-neutral distribution of option returns. We derive solutions for the risk … further out-of-the-money (in-the-money). The risk-neutral moments of call returns are increasing in the volatility of the … with put return moments. We find that the magnitudes of the risk-neutral and physical moments differ substantially …

Persistent link: https://www.econbiz.de/10012965141

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Bali, Turan G. - 2019

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns...

Persistent link: https://www.econbiz.de/10012905215