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Bali, Turan G.; Zhou, Hao - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 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/10010610573

Risk, Uncertainty, and Expected Returns

Bali, Turan G.; Zhou, Hao - 2013

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

A new approach to measuring riskiness in the equity market : implications for the risk premium

Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117

Persistent link: https://www.econbiz.de/10011543805

Common risk factors in the cross-section of corporate bond returns

Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642

Persistent link: https://www.econbiz.de/10012133022

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

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

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

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

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 3, pp. 707-735

Persistent link: https://www.econbiz.de/10011610100

Global downside risk and equity returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012140071

Is economic uncertainty priced in the cross-section of stock returns?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489

Persistent link: https://www.econbiz.de/10011818201