Search Results - "Arısoy, Yakup Eser"

Aggregate volatility expectations and threshold CAPM by Arısoy, Yakup Eser, Altay-Salih, Aslıhan, Akdeniz, Levent

“…•We model asset prices in which betas change due to uncertainty about volatility.•We use the range of VIX index to proxy uncertainty about aggregate…”
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Is volatility risk priced in the securities market? Evidence from S&P 500 index options by Arisoy, Yakup Eser, Salih, Aslihan, Akdeniz, Levent

“…The authors examine whether volatility risk is a priced risk factor in securities returns. Zero‐beta at‐the‐money straddle returns of the S&P 500 index are…”
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Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia by Arisoy, Yakup Eser

“…It is well documented that stock returns have different sensitivities to changes in aggregate volatility, however less is known about their sensitivity to…”
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Volatility risk and the value premium: Evidence from the French stock market by Arisoy, Yakup Eser

“…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…”
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Asset Pricing in a Multiperiod Securities Market with Nonnegative Wealth Constraints by Arısoy, Yakup Eser

“…According to Black-Scholes option pricing model, options are redundant securities, therefore have no importance for the allocation of wealth in the economy…”
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Optimal multi-period consumption and investment with short-sale constraints by Arisoy, Yakup Eser, Altay-Salih, Aslihan, Pinar, Mustafa Ç

“…•We examine agents’ consumption-investment problem under short-sale constraints.•Agents hold short-lived options written on aggregate consumption at each…”
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