Research
JOURNAL PUBLICATIONS
[28] Regret in Global Equity Markets, International Review of Financial Analysis, 2025, 103, 104198 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Aynur Dilan Tosun)
[27] Aggregate Earnings and Global Equity Returns, Journal of International Financial Markets, Institutions & Money, 2025, 100, 102125 (with K. Ozgur Demirtas, A. Doruk Gunaydin, Aynur Dilan Tosun and Duygu Zirek)
[26] Do Polluters Outperform Non-Polluters?, Applied Economics Letters, forthcoming (with K. Ozgur Demirtas, A. Doruk Gunaydin)
[25] Performance Implications of Hedging with Industry ETFs, Global Finance Journal, 2024, 61, 100990 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Mustafa Öztekin)
[24] Mood Seasonality Around the Globe, Pacific-Basin Finance Journal, 2023, 82, 102171 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)
[23] 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)
[22] Price Discovery in Emerging Market ETFs, Applied Economics, 2022, 54(47), 5476 – 5496 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Mustafa Oztekin)
[21] 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)
[20] The Impact of Debt Covenants on Earnings Announcement Returns, Applied Economics, 2021, 53(50), 5826 – 5842 (with Evrim Akdogu)
[19] Predicting Equity Returns in Emerging Markets, Emerging Markets Finance and Trade, 2021, 57(13), 3721 – 3738 (with K. Ozgur Demirtas and A. Doruk Gunaydin)
[18] 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)
[17] Investor Reaction to Accounting Misstatements under IFRS: Australian Evidence, Accounting & Finance, 2020, 60(3), 2467 – 2512 (with John Goodwin, Aziz Simsir and Kamran Ahmed)
[16] 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)
[15] Decomposing Value Globally, Applied Economics, 2020, 52(42), 4659 – 4676 (with K. Ozgur Demirtas, A. Doruk Gunaydin and Imra Kirli)
[14] 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)
[13] 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)
[12] Liquidity and Equity Returns in Borsa Istanbul, Applied Economics, 2016, 48(52), 5075 – 5092 (with K. Ozgur Demirtas and A. Doruk Gunaydin)
[11] 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)
[10] Derivative Markets in Emerging Economies: A Survey, International Review of Economics and Finance, 2016, 42, 88 – 102 (with K. Ozgur Demirtas and Koray Simsek)
[9] Risk-Adjusted Performances of World Equity Indices, Emerging Markets Finance and Trade, 2016, 52, 706 – 721 (with K. Ozgur Demirtas)
[8] 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)
[7] 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)
[6] 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)
[5] Macroeconomic Factors and Equity Returns in Borsa Istanbul, Iktisat Isletme ve Finans, 2015, 30(349), 9 – 30 (with K. Ozgur Demirtas and Alper Erdoğan)
[4] Volatility Spreads and Earnings Announcement Returns, Journal of Banking and Finance, 2014, 38(1), 205 – 215
[3] Downside Risk in Emerging Markets, Emerging Markets Finance and Trade, 2013, 49(3), 65 – 83 (with K. Ozgur Demirtas)
[2] Reward-to-Risk Ratios in Turkish Financial Markets, Iktisat Isletme ve Finans, 2013, 28(322), 9 – 32 (with K. Ozgur Demirtas)
[1] 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
[1] 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
[4] 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)
[3] 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)
[2] 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)
[1] 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)
[12] Behavioral Anomalies in Borsa Istanbul, 2025. Center of Excellence in Finance (with Aynur Dilan Tosun)
[11] Firm Attributes and Carbon Emissions in Turkey, 2024. Center of Excellence in Finance
[10] Carbon Emissions of Turkish Companies, 2023. Center of Excellence in Finance
[9] Financial Inclusion in Turkey, 2023. Center of Excellence in Finance
[8] Financial Inclusion in the World, 2023. Center of Excellence in Finance
[7] Sectoral Indices in Borsa Istanbul during the Covid-19 Pandemic, 2022. Center of Excellence in Finance
[6] Mood Seasonality in Turkish Equity Markets, 2021. Center of Excellence in Finance (with Imra Kirli)
[5] Market Skewness, Average Skewness and Aggregate Returns in Borsa Istanbul, 2021. Center of Excellence in Finance (with Imra Kirli)
[4] Equity Pricing Factors in Turkish Markets, 2020. Center of Excellence in Finance (with A. Doruk Gunaydin) – Published in Uluslararası Yönetim İktisat ve İşletme Dergisi 17, 2021, 127-145.
[3] Equity Return Anomalies in Turkish Markets, 2019. Center of Excellence in Finance (with A. Doruk Gunaydin) – Published in Journal of Economics, Finance and Accounting 7, 2020, 409-418.
[2] Comparative Performance Analysis of Investment Vehicles in Turkey, 2017. Center of Excellence in Finance (with K. Ozgur Demirtas)
[1] Historical Performance Analysis of Country Equity Indices, 2017. Center of Excellence in Finance (with K. Ozgur Demirtas and A. Doruk Gunaydin)