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Momentum and Downside Risk in Emerging Markets

Atilgan, Yigit; Demirtas, K. Ozgur; Gunaydin, A. Doruk; … - 2022

literature. The authors calculate performance measures that scale mean returns by various downside risk metrics and find that the …

Persistent link: https://www.econbiz.de/10013290871

Risk-adjusted performances of world equity indices

Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721

Persistent link: https://www.econbiz.de/10011562564

Average Skewness in Global Equity Markets

Atilgan, Yigit - 2020

This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by Jondeau et al. (2019, JFE) for US market returns in an international setting. First, after confirming the validity of the US results for the sample period...

Persistent link: https://www.econbiz.de/10012822514

Liquidity and equity returns in Borsa Istanbul

Atilgan, Yigit; Demirtas, K. Ozgur; Gunaydin, A. Doruk - In: Applied economics 48 (2016) 52/54, pp. 5075-5092

Persistent link: https://www.econbiz.de/10011644805

Studies of equity returns in emerging markets : a literature review

Atilgan, Yigit; Demirtas, K. Ozgur; Simsek, Koray D. - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 757-773

Persistent link: https://www.econbiz.de/10011404567

Predicting equity returns in emerging markets

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk - In: Emerging markets, finance and trade : EMFT 57 (2021) 13, pp. 3721-3738

Persistent link: https://www.econbiz.de/10012623464

Predicting Equity Returns in Emerging Markets

Atilgan, Yigit - 2020

momentum. We also find evidence that market beta, book-to-market ratio and downside risk metrics predict equity returns … idiosyncratic volatility, lottery-like characteristics and stock-specific downside risk are associated with higher future returns …

Persistent link: https://www.econbiz.de/10012851692

Momentum and downside risk in emerging markets

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: The journal of portfolio management : JPM 48 (2022) 8, pp. 44-58

Persistent link: https://www.econbiz.de/10014232000

Price discovery in emerging market ETFs

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: Applied economics 54 (2022) 47, pp. 5476-5496

Persistent link: https://www.econbiz.de/10013411228

Global downside risk and equity returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012140071