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Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Risk, Uncertainty, and Expected Returns

Bali, Turan G.; Zhou, Hao - 2013

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

Persistent link: https://www.econbiz.de/10010500237

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

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