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Option-implied volatility measures and stock return predictability

Fu, Xi; Arisoy, Yakup Eser; Shackleton, Mark B.; … - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 58-78

Persistent link: https://www.econbiz.de/10011687331

Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures

Fu, Xi; Sandri, Matteo; Shackleton, Mark B. - In: The journal of futures markets 36 (2016) 11, pp. 1029-1056

Persistent link: https://www.econbiz.de/10011569013

Volatility risk and the value premium : evidence from the French stock market

Arisoy, Yakup Eser - In: Journal of banking & finance 34 (2010) 5, pp. 975-983

Persistent link: https://www.econbiz.de/10003971321

Aggregate volatility and market jump risk : an option-based explanation to size and value premia

Arisoy, Yakup Eser - In: The journal of futures markets 34 (2014) 1, pp. 34-55

Persistent link: https://www.econbiz.de/10010254958

Investor regret and stock returns

Arisoy, Yakup Eser; Bali, Turan G.; Tang, Yi - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7537-7558

Persistent link: https://www.econbiz.de/10015144204

Optimal multi-period consumption and investment with short-sale constraints

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Pınar, Mustafa Ç - In: Finance research letters 11 (2014) 1, pp. 16-24

Persistent link: https://www.econbiz.de/10010393634

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015

This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...

Persistent link: https://www.econbiz.de/10010485488

Is volatility risk priced in the securities market? : evidence from S&P 500 Index options

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The journal of futures markets 27 (2007) 7, pp. 617-642

Persistent link: https://www.econbiz.de/10003493123

Aggregate volatility expectations and threshold CAPM

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The North American journal of economics and finance : a … 34 (2015), pp. 231-253

Persistent link: https://www.econbiz.de/10011539964

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015

This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...

Persistent link: https://www.econbiz.de/10011308590