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Bali, Turan G. - 2020

and uncertainty in the exercise of these options. UNC is also associated with information risk, firm inflexibility, and … generates 13% annual risk-adjusted return. UNC premium is driven by outperformance of high-UNC (inflexible) firms facing higher … information risk and is not explained by established risk factors and firm characteristics …

Persistent link: https://www.econbiz.de/10012850671

Investor Regret and Stock Returns

Arısoy, Yakup Eser; Bali, Turan G.; Tang, Yi - 2021

We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. We propose a theoretical framework in which investors experience regret due to not achieving the highest possible return in the same industry with their stock investment,...

Persistent link: https://www.econbiz.de/10013221025

A model-independent measure of aggregate idiosyncratic risk

Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896

Persistent link: https://www.econbiz.de/10003776398

Maxing out : stocks as lotteries and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2009

Persistent link: https://www.econbiz.de/10003823652

Is there a risk-return trade-off? : evidence from high-frequency data

Bali, Turan G.; Peng, Lin - In: Journal of applied econometrics 21 (2006) 8, pp. 1169-1198

Persistent link: https://www.econbiz.de/10003406262

Maxing out : stocks as lotteries and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Journal of financial economics 99 (2011) 2, pp. 427-446

Persistent link: https://www.econbiz.de/10009242335

Do hedge funds exposures to risk factors predict their future returns?

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 101 (2011) 1, pp. 36-68

Persistent link: https://www.econbiz.de/10009242998

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

International equity markets : risk and return

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: International finance : a survey, (pp. 184-209). 2013

Persistent link: https://www.econbiz.de/10009708971

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - 2013 - First Draft: March 2011, This Version: January 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

Persistent link: https://www.econbiz.de/10009710603