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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

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

Time-varying betas help in asset pricing : the threshold CAPM

Akdeniz, Levent (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 4

Persistent link: https://www.econbiz.de/10001790049

Do time-varying betas help in asset pricing? : evidence from Borsa Istanbul

Yayvak, Berk; Akdeniz, Levent; Altay-Salih, Aslihan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 747-756

Persistent link: https://www.econbiz.de/10011404562

Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

Pınar, Mustafa Ç.; Altay-Salih, Aslihan; Camcı, Ahmet - In: European journal of operational research : EJOR 201 (2010) 3, pp. 770-785

Persistent link: https://www.econbiz.de/10003959847

Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul

Tiniç, Murat; Altay-Salih, Aslihan - In: Applied economics 52 (2020) 13, pp. 1446-1459

Persistent link: https://www.econbiz.de/10012197543

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

Volatility Risk and the Value Premium : Evidence from the French Stock Market

Arisoy, Yakup Eser - 2016

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in the French stock market. Using returns on at-the-money straddles written on the CAC 40 index as a proxy for systematic volatility risk, I document significant differences between...

Persistent link: https://www.econbiz.de/10013008746

The pricing of skewness over different return horizons

Aretz, Kevin; Arisoy, Yakup Eser - In: Journal of banking & finance 148 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248256

Risk and return in a dynamic general equilibrium model

Akdeniz, Levent - In: Journal of economic dynamics & control 24 (2000) 5/7, pp. 1079-1096

Persistent link: https://www.econbiz.de/10001465699