Research

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JOURNAL PUBLICATIONS

Performance Implications of Hedging with Industry ETFs, Global Finance Journal, forthcoming (with K. Ozgur Demirtas, A. Doruk Gunaydin and Mustafa Öztekin)

Mood Seasonality Around the Globe, Pacific-Basin Finance Journal, 2023, 82, 102171 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)

Average Skewness in Global Equity Markets, International Review of Finance, 2023, 23(2), 245 – 271 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)

Price Discovery in Emerging Market ETFs, Applied Economics, 2022, 54(47), 5476 – 5496 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Mustafa Oztekin)

Momentum and Downside Risk in Emerging Markets, Journal of Portfolio Management, 2022, 48(8), 44 – 58 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)

The Impact of Debt Covenants on Earnings Announcement Returns, Applied Economics, 2021, 53(50), 5826 – 5842 (with Evrim Akdogu)

Predicting Equity Returns in Emerging Markets, Emerging Markets Finance and Trade, 2021, 57(13), 3721 – 3738 (with K. Ozgur Demirtas and A. Doruk Gunaydin)

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns, Journal of Financial Economics, 2020, 135(3), 725 – 753 (with Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin)

Investor Reaction to Accounting Misstatements under IFRS: Australian Evidence, Accounting & Finance, 2020, 60(3), 2467 – 2512 (with John Goodwin, Aziz Simsir and Kamran Ahmed)

Downside Beta and The Cross-Section of Equity Returns: A Decade Later, European Financial Management, 2020, 26(2), 316 – 347 (with K. Ozgur Demirtas and A. Doruk Gunaydin)

Decomposing Value Globally, Applied Economics, 2020, 52(42), 4659 – 4676 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)

Global Downside Risk and Equity Returns, Journal of International Money and Finance, 2019, 98, 102065 (with Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin)

Downside Beta and Equity Returns around the World, Journal of Portfolio Management, 2018, 44(7), 39 – 54, (with Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin)

Liquidity and Equity Returns in Borsa Istanbul, Applied Economics, 2016, 48(52), 5075 – 5092 (with K. Ozgur Demirtas and A. Doruk Gunaydin)

Share Issuance and Equity Returns in Borsa Istanbul, International Review of Economics and Finance, 2016, 43, 320 – 333 (with K. Ozgur Demirtas and Alper Erdogan)

Derivative Markets in Emerging Economies: A Survey, International Review of Economics and Finance, 2016, 42, 88 – 102 (with K. Ozgur Demirtas and Koray Simsek)

Risk-Adjusted Performances of World Equity Indices, Emerging Markets Finance and Trade, 2016, 52, 706 – 721 (with K. Ozgur Demirtas)

Implied Volatility Spreads and Expected Market Returns, Journal of Business & Economic Statistics, 2015, 33(1), 87 – 101 (with Turan G. Bali and K. Ozgur Demirtas)

Cross-Listed Bonds, Information Asymmetry and Conservatism in Credit Ratings, Journal of Money, Credit and Banking, 2015, 47(5), 897 – 929 (with Aloke Ghosh, Meng Yan and Jieying Zhang)

Studies of Equity Returns in Emerging Markets: A Literature Review, Emerging Markets Finance and Trade, 2015, 51(4), 757 – 773 (with K. Ozgur Demirtas and Koray Simsek)

Macroeconomic Factors and Equity Returns in Borsa Istanbul, Iktisat Isletme ve Finans, 2015, 30(349), 9 – 30 (with K. Ozgur Demirtas and Alper Erdoğan)

Volatility Spreads and Earnings Announcement Returns, Journal of Banking and Finance, 2014, 38(1), 205 – 215

Downside Risk in Emerging Markets, Emerging Markets Finance and Trade, 2013, 49(3), 65 – 83 (with K. Ozgur Demirtas)

Reward-to-Risk Ratios in Turkish Financial Markets, Iktisat Isletme ve Finans, 2013, 28(322), 9 – 32 (with K. Ozgur Demirtas)

The Performance of Hedge Fund Indices, Borsa Istanbul Review, 13(3), 30 – 52, Reprinted from “Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics”, 2013, Publisher: Academic Press, Amsterdam (with Turan G. Bali and K. Ozgur Demirtas)

BOOKS

Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics, 2013, Publisher: Academic Press, Amsterdam (with Turan G. Bali and K. Ozgur Demirtas)

BOOK CHAPTERS

Hedge Fund Strategies in the Post-Crisis Era, In Douglas Cumming and Geoffrey Wood (Ed.), The Oxford Handbook of Hedge Funds, 2021, Oxford University Press (with Turan G. Bali and A. Doruk Gunaydin)

Reward-to-Risk Ratios of Funds of Hedge Funds, In G. N. Gregoriou (Ed.), Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence, 2013, 275 – 287, Academic Press (with Turan G. Bali and K. Ozgur Demirtas)

The Intertemporal Relation between Tail Risk and Funds of Hedge Funds Returns, In G. N. Gregoriou (Ed.), Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence, 2013, 381 – 392, Academic Press (with Turan G. Bali and K. Ozgur Demirtas)

International Equity Markets: Risk and Return, In H. Kent Baker and Leigh A. Riddick (Ed.), International Finance: A Survey, 2012, 184 – 209, Oxford University Press (with Turan G. Bali and K. Ozgur Demirtas)

RESEARCH REPORTS (in Turkish)

Firm Attributes and Carbon Emissions in Turkey, 2024. Center of Excellence in Finance

Carbon Emissions of Turkish Companies, 2023. Center of Excellence in Finance

Financial Inclusion in Turkey, 2023. Center of Excellence in Finance

Financial Inclusion in the World, 2023. Center of Excellence in Finance

Sectoral Indices in Borsa Istanbul during the Covid-19 Pandemic, 2022. Center of Excellence in Finance

Mood Seasonality in Turkish Equity Markets, 2021. Center of Excellence in Finance (with Imra Kirli)

Market Skewness, Average Skewness and Aggregate Returns in Borsa Istanbul, 2021. Center of Excellence in Finance (with Imra Kirli)

Equity Pricing Factors in Turkish Markets, 2020. Center of Excellence in Finance (with A. Doruk Gunaydin)

Equity Return Anomalies in Turkish Markets, 2019. Center of Excellence in Finance (with A. Doruk Gunaydin)

Comparative Performance Analysis of Investment Vehicles in Turkey, 2017. Center of Excellence in Finance (with K. Ozgur Demirtas)

Historical Performance Analysis of Country Equity Indices, 2017. Center of Excellence in Finance (with K. Ozgur Demirtas and A. Doruk Gunaydin)