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Average skewness in global equity markets

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271

Persistent link: https://www.econbiz.de/10014326300

Do the rich gamble in the stock market? : low risk anomalies and wealthy households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - In: Journal of financial economics 150 (2023) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014462604

Implied volatility spreads and expected market returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101

Persistent link: https://www.econbiz.de/10011389785

Testing mean reversion in financial market volatility : evidence from S&P 500 index futures

Bali, Turan G.; Demirtas, K. Ozgur - In: The journal of futures markets 28 (2008) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10003746336

Implied Volatility Spreads and Expected Market Returns

Atilgan, Yigit - 2015

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is...

Persistent link: https://www.econbiz.de/10013038211

Implied Volatility Spreads and Expected Market Returns

Atilgan, Yigit - 2015

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is...

Persistent link: https://www.econbiz.de/10013037279