Search Results - "Arisoy, Y. Eser"

The Pricing of Skewness Over Different Return Horizons by Aretz, Kevin, Eser Arisoy, Y.

“…While recent theoretical and empirical work suggests that the physical skewness of a stock’s future discrete return distribution prices stocks, it does not…”
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Can tail risk explain size, book‐to‐market, momentum, and idiosyncratic volatility anomalies? by Aboura, Sofiane, Arisoy, Y. Eser

“…We examine the impact of tail risk on the return dynamics of size, book‐to‐market ratio, momentum and idiosyncratic volatility sorted portfolios. Our…”
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Volatility of aggregate volatility and hedge fund returns by Agarwal, Vikas, Arisoy, Y. Eser, Naik, Narayan Y.

“…This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over…”
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Does aggregate uncertainty explain size and value anomalies? by Aboura, Sofiane, Arisoy, Y. Eser

“…This paper examines the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for…”
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Option-Implied Volatility Measures and Stock Return Predictability by Fu, Xi, Arisoy, Y. Eser, Shackleton, Mark B., Umutlu, Mehmet

“…Do changes in implied volatilities (IVs) or differences among options at different spots on the volatility surface contain predictive information for future…”
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Investor Regret and Stock Returns by Arisoy, Y. Eser, Bali, Turan G., Tang, Yi

“…We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. According to our regret-based…”
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