User profiles for Yigit Atilgan
Yigit AtilganProfessor of Finance at Sabanci University Verified email at sabanciuniv.edu Cited by 653 |
Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …
and future returns on individual stocks trading in the US and international countries. We …
Volatility spreads and earnings announcement returns
Y Atilgan - Journal of Banking & Finance, 2014 - Elsevier
Prior research documents that volatility spreads predict stock returns. If the trading activity of
informed investors is an important driver of volatility spreads, then the predictability of stock …
informed investors is an important driver of volatility spreads, then the predictability of stock …
Studies of equity returns in emerging markets: a literature review
We review the literature on empirical asset pricing in emerging markets. This literature is
quite diverse and almost thirty years old. To make this task manageable, we focus on equity …
quite diverse and almost thirty years old. To make this task manageable, we focus on equity …
Global downside risk and equity returns
This paper reexamines the relation between various downside risk measures and future
equity returns in a global context that spans 26 developed markets. We find that there is no …
equity returns in a global context that spans 26 developed markets. We find that there is no …
Derivative markets in emerging economies: A survey
We review the literature on derivatives in emerging markets. This young but booming
literature appears to be concentrated on a few countries, but is quite rich in terms of subject …
literature appears to be concentrated on a few countries, but is quite rich in terms of subject …
Implied volatility spreads and expected market returns
This article investigates the intertemporal relation between volatility spreads and expected
returns on the aggregate stock market. We provide evidence for a significantly negative link …
returns on the aggregate stock market. We provide evidence for a significantly negative link …
Does the carbon premium reflect risk or mispricing?
Prior research has documented a carbon premium in realized returns, which has been
assumed to proxy for expected returns and thus the cost of capital. We find that the carbon …
assumed to proxy for expected returns and thus the cost of capital. We find that the carbon …
Downside risk in emerging markets
Y Atilgan, KO Demirtas - Emerging Markets Finance and Trade, 2013 - Taylor & Francis
This paper investigates the relation between downside risk and expected returns on the
aggregate stock market in an international context. Nonparametric and parametric value at risk …
aggregate stock market in an international context. Nonparametric and parametric value at risk …
Downside beta and equity returns around the world
In this article, the authors investigate the relation between downside beta and stock returns
in a global context using more than 170 million daily return observations. Contrary to the …
in a global context using more than 170 million daily return observations. Contrary to the …
Downside beta and the cross section of equity returns: A decade later
Y Atilgan, KO Demirtas… - European Financial …, 2020 - Wiley Online Library
This study reexamines the relation between downside beta and equity returns in the United
States. First, we replicate the 2006 work of Ang, Chen, and Xing who find a positive relation …
States. First, we replicate the 2006 work of Ang, Chen, and Xing who find a positive relation …