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A joint factor model for bonds, stocks, and options
Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023
Persistent link: https://www.econbiz.de/10014483091
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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
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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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Do hedge funds outperform stocks and bonds?
Bali, Turan G.; Brown, Stephen J.; Demirtas, K. Ozgur - In: Management science : journal of the Institute for … 59 (2013) 8, pp. 1887-1903
Persistent link: https://www.econbiz.de/10009788943
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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …
Persistent link: https://www.econbiz.de/10013106751
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Do Hedge Funds Outperform Stocks and Bonds?
Bali, Turan G. - 2012
which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …
Persistent link: https://www.econbiz.de/10013106936
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Is there a risk-return tradeoff in the corporate bond market? : time-series and cross-sectional evidence
Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 142 (2021) 3, pp. 1017-1037
Persistent link: https://www.econbiz.de/10012873314
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Hedge funds and the positive idiosyncratic volatility effect
Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020
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/10012416051
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Common Risk Factors in the Cross-Section of Corporate Bond Returns
Bai, Jennie - 2018
We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest … predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate … bonds -- downside risk, credit risk, and liquidity risk -- and find that these novel bond factors have economically and …
Persistent link: https://www.econbiz.de/10012935758
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Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence
Bai, Jennie - 2019
We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond … market. We find a significantly positive intertemporal relation between expected return and risk in the bond market and the …-section of future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on …
Persistent link: https://www.econbiz.de/10012867896