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Decomposition of book-to-market and the cross-section of returns for Chinese shares

Cakici, Nusret; Chatterjee, Sris; Topyan, Kudret - In: Pacific-Basin finance journal 34 (2015), pp. 102-120

Persistent link: https://www.econbiz.de/10011535309

Empirical test of valuation models for options on t-note and t-bond futures

Cakici, Nusret - In: The journal of futures markets 13 (1993) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10001136845

Pricing stock index futures with stochastic interest rates

Cakici, Nusret - In: The journal of futures markets 11 (1991) 4, pp. 441-452

Persistent link: https://www.econbiz.de/10001109935

Market discipline, bank subordinated debt, and interest rate uncertainty

Cakici, Nusret - In: Journal of banking & finance 17 (1993) 4, pp. 747-762

Persistent link: https://www.econbiz.de/10001147048

Momentum and monthly effect : an anomaly within an anomaly!

Cakici, Nusret; Chatterjee, Sris - In: International journal of banking, accounting and finance 2 (2010) 2, pp. 176-192

Persistent link: https://www.econbiz.de/10003985979

Default Risk and Cross Section of Returns

Cakici, Nusret - 2019

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual ﬁrms and concludes that both the size and book-to-market eﬀects are related to default risk. For example, small ﬁrms earn higher return than big ﬁrms only if they have...

Persistent link: https://www.econbiz.de/10012868989

Alternative profitability measures and cross-section of expected stock returns : international evidence

Cakici, Nusret; Chatterjee, Sris; Tang, Yi; Tong, Lin - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 369-391

Persistent link: https://www.econbiz.de/10012432673

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

The GARCH option pricing model : a lattice approach

Cakici, Nusret; Topyan, Kudret - In: The journal of computational finance 3 (2000) 4, pp. 71-85

Persistent link: https://www.econbiz.de/10001517434

Return predictability of Turkish stocks : an empirical investigation

Cakici, Nusret; Topyan, Kudret - In: Emerging markets finance & trade : a journal of the … 49 (2013) 5, pp. 99-119

Persistent link: https://www.econbiz.de/10010258511