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Liquidity shocks and stock market reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - In: The review of financial studies 27 (2014) 5, pp. 1434-1485
Persistent link: https://www.econbiz.de/10010370791
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Does risk-neutral skewness predict the cross section of equity option portfolio returns?
Bali, Turan G.; Murray, Scott - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1145-1171
Persistent link: https://www.econbiz.de/10010255208
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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
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246
Persistent link: https://www.econbiz.de/10010476900
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The joint cross section of stocks and options
An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret - In: The journal of finance : the journal of the American … 69 (2014) 5, pp. 2279-2337
Persistent link: https://www.econbiz.de/10010489666
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Liquidity shocks and stock market reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013 - This draft: July 03, 2012
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...
Persistent link: https://www.econbiz.de/10009703602
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A generalized measure of riskiness
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1406-1423
Persistent link: https://www.econbiz.de/10009297010
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Predictability of risk measures in international stock markets
Bali, Turan G.; Demirtas, K. Ozgur - In: Stock market volatility, (pp. 313-322). 2009
Persistent link: https://www.econbiz.de/10003830482
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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
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A new look at hedging with derivatives : will firms reduce market risk exposure?
Bali, Turan G.; Hume, Susan R.; Martell, Terrence F. - In: The journal of futures markets 27 (2007) 11, pp. 1053-1083
Persistent link: https://www.econbiz.de/10003627056