Yiğit Atılgan
(Yigit Atilgan)

Personal Details

First Name:	Yigit
Middle Name:
Last Name:	Atilgan
Suffix:
RePEc Short-ID:	pat129
	[This author has chosen not to make the email address public]
	http://myweb.sabanciuniv.edu/yatilgan

Affiliation

Yönetim Bilimleri Fakültesi
Sabancı Üniversitesi

İstanbul, Turkey
http://som.sabanciuniv.edu
RePEc:edi:smsabtr (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. John Goodwin & Yigit Atilgan & Serif Aziz Simsir & Kamran Ahmed, 2020. "Investor reaction to accounting misstatements under IFRS: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2467-2512, September.

   Cited by:

   1. Marie Herly & Nikolaj Niebuhr Lambertsen, 2023. "Restatement costs and reporting bias," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(1-2), pages 91-117, January.
   2. Guilherme Belloque & Martina K Linnenluecke & Mauricio Marrone & Abhay K Singh & Rui Xue, 2021. "55 years of Abacus: Evolution of Research Streams and Future Research Directions," Abacus, Accounting Foundation, University of Sydney, vol. 57(3), pages 593-618, September.

2. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin, 2020. "Downside beta and the cross section of equity returns: A decade later," European Financial Management, European Financial Management Association, vol. 26(2), pages 316-347, March.

   Cited by:

   1. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
   2. Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
   3. Malvika Saraf & Parthajit Kayal, 2022. "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers 2022-215, Madras School of Economics,Chennai,India.

3. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.

   Cited by:

   1. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2021. "Short‐selling costs and asymmetric price response to economic shocks: A transaction cost explanation to price overshooting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1745-1772, April.
   2. Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
   3. Huai-Long Shi & Wei-Xing Zhou, 2019. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," Papers 1910.13115, arXiv.org, revised Oct 2022.
      • Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
   4. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
   5. Shen, Yiran & Liu, Chang & Sun, Xiaolei & Guo, Kun, 2023. "Investor sentiment and the Chinese new energy stock market: A risk–return perspective," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 395-408.
   6. Li, Zhuo & Wen, Fenghua & Huang, Zhijian James, 2023. "Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance," Journal of Corporate Finance, Elsevier, vol. 78(C).
   7. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
   8. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
   9. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
   10. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
   11. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
   12. Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
   13. Milian Bachem & Lerby Ergun & Casper de Vries, 2021. "Covariates Hiding in the Tails," Staff Working Papers 21-45, Bank of Canada.
   14. Wright, Calvin & Swidler, Steve, 2023. "Abnormal trading volume, news and market efficiency: Evidence from the Jamaica Stock Exchange," Research in International Business and Finance, Elsevier, vol. 64(C).
   15. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
   16. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
   17. Chai, Daniel & Chiah, Mardy & Zhong, Angel & Li, Bob, 2022. "Another look at sources of momentum profits," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 310-323.
   18. Xie, Jun & Fang, Yuying & Gao, Bin & Tan, Chunzhi, 2023. "Availability heuristic and expected returns," Finance Research Letters, Elsevier, vol. 51(C).
   19. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
   20. DeLisle, R. Jared & Ferguson, Michael F. & Kassa, Haimanot & Zaynutdinova, Gulnara R., 2021. "Hazard stocks and expected returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
   21. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
   22. Zheng, Yan & Wen, Fenghua & Deng, Hanshi & Zeng, Aiqing, 2022. "The relationship between carbon market attention and the EU CET market: Evidence from different market conditions," Finance Research Letters, Elsevier, vol. 50(C).
   23. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
   24. Zhen, Fang & Ruan, Xinfeng & Zhang, Jin E., 2020. "Left-tail risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
   25. Chen, Bei & Gan, Quan & Vasquez, Aurelio, 2023. "Anticipating jumps: Decomposition of straddle price," Journal of Banking & Finance, Elsevier, vol. 149(C).
   26. Beat Reber & Agnes Gold & Stefan Gold, 2022. "ESG Disclosure and Idiosyncratic Risk in Initial Public Offerings," Journal of Business Ethics, Springer, vol. 179(3), pages 867-886, September.
   27. Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
   28. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
   29. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
   30. Gui, Pingshu & Zhu, Yifeng, 2021. "Value at risk and the cross-section of expected returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
   31. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
   32. Robert W. Faff, 2019. "Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 1-13.
   33. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
   34. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).
   35. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
   36. Sumit Saurav & Sobhesh Kumar Agarwalla & Jayanth R. Varma, 2024. "Role of derivatives market in attenuating underreaction to left‐tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 484-517, March.
   37. Li, Guowen & Jing, Zhongbo & Li, Jingyu & Feng, Yuyao, 2023. "Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective," Economic Modelling, Elsevier, vol. 128(C).
   38. Wang, Jun & Song, Xiuna, 2022. "The effect of limited attention and risk attitude on left-tail reversal: Empirical results from a-share data in China," Finance Research Letters, Elsevier, vol. 46(PA).
   39. Gui, Pingshu & Zhu, Yifeng, 2021. "Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 484-496.
   40. Hertrich, Daniel, 2023. "Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
   41. Yang, Baochen & Ma, Yao, 2021. "Value at risk, mispricing and expected returns," International Review of Financial Analysis, Elsevier, vol. 78(C).
   42. Caglayan, Mustafa O. & Lawrence, Edward & Reyes-Peña, Robinson, 2023. "Hot potatoes: Underpricing of stocks following extreme negative returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
   43. Cornaggia, Kimberly & Hund, John & Nguyen, Giang, 2022. "Investor attention and municipal bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
   44. Eom, Cheoljun & Eom, Yunsung & Park, Jong Won, 2023. "Left-tail momentum and tail properties of return distributions: A case of Korea," International Review of Financial Analysis, Elsevier, vol. 87(C).
   45. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
   46. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
   47. Lei Jiang & Jinyu Liu & Lin Peng & Baolian Wang, 2022. "Investor Attention and Asset Pricing Anomalies [Synchronization risk and delayed arbitrage]," Review of Finance, European Finance Association, vol. 26(3), pages 563-593.
   48. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).

4. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.

   Cited by:

   1. Lee, Kuan-Hui & Yang, Cheol-Won, 2022. "The world price of tail risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
   2. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
   3. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
   4. Rutkowska-Ziarko, Anna & Markowski, Lesław & Pyke, Christopher & Amin, Saqib, 2022. "Conventional and downside CAPM: The case of London stock exchange," Global Finance Journal, Elsevier, vol. 54(C).
   5. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
   6. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
   7. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
   8. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
   9. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
   10. Pelin Bengitöz & Mehmet Umutlu, 2023. "Are return predictors of industrial equity indexes common across regions?," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 396-418, September.
   11. Hussain, Shahzad & Akbar, Muhammad & Malik, Qaisar & Ahmad, Tanveer & Abbas, Nasir, 2021. "Downside Systematic Risk in Pakistani Stock Market: Role of Corporate Governance, Financial Liberalization and Investor Sentiment," CAFE Working Papers 14, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.

5. Yigit Atilgan & K. Ozgur Demirtas, 2016. "Risk-Adjusted Performances of World Equity Indices," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(3), pages 706-721, March.

   Cited by:

   1. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.

6. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin, 2016. "Liquidity and equity returns in Borsa Istanbul," Applied Economics, Taylor & Francis Journals, vol. 48(52), pages 5075-5092, November.

   Cited by:

   1. Alkan, Ulas & Guner, Biliana, 2018. "Preferences for lottery stocks at Borsa Istanbul," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 211-223.

7. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

   Cited by:

   1. Hong Vo, Duc & Van Nguyen, Phuc & Minh Nguyen, Ha & The Vo, Anh & Cong Nguyen, Thang, 2020. "Derivatives market and economic growth nexus: Policy implications for emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
   2. Hassan, M. Kabir & Alshater, Muneer M. & Atayah, Osama F., 2021. "Twenty-nine years of the Journal of International Review of Economics and Finance: A scientometric overview (1992–2020)," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1106-1125.
   3. Duc Hong Vo & Son Van Huynh & Anh The Vo & Dao Thi-Thieu Ha, 2019. "The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies," JRFM, MDPI, vol. 12(1), pages 1-18, February.
   4. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
   5. Fassas, Athanasios P. & Siriopoulos, Costas, 2019. "Intraday price discovery and volatility spillovers in an emerging market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 333-346.
   6. Lin, William T. & Tsai, Shih-Chuan & Zheng, Zhenlong & Qiao, Shuai, 2018. "Retrieving aggregate information from option volume," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 220-232.
   7. Huimin Guo & Zheyao Pan & Gary Gang Tian, 2021. "State ownership and the risk‐reducing effect of corporate derivative use: Evidence from China," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(5-6), pages 1092-1133, May.
   8. Shao, Lili & Shao, Jun & Sun, Zheng & Xu, Huaxin, 2019. "Hedging, speculation, and risk management effect of commodity futures: Evidence from firm voluntary disclosures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
   9. Shailesh Rastogi & Chaitaly Athaley, 2019. "Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective," JRFM, MDPI, vol. 12(2), pages 1-15, June.
   10. Somaiyah Alalmai, 2023. "Derivatives Market: A Survey," International Journal of Economics and Financial Issues, Econjournals, vol. 13(6), pages 101-106, November.
   11. Zhang, Huiming & Watada, Junzo, 2019. "An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 474-489.
   12. Xiongfei Cao & Sohail Chaudhry & Li Xu, 2019. "Electronic markets in emerging markets," Electronic Markets, Springer;IIM University of St. Gallen, vol. 29(2), pages 151-152, June.
   13. Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu, 2019. "Time‐series momentum in China's commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1515-1528, December.

8. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.

   Cited by:

   1. Akturk, Halit, 2014. "Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change," MPRA Paper 64465, University Library of Munich, Germany.
      • Aktürk, Halit, 2016. "Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 230-246.

9. Yigit Atilgan & Turan G. Bali & K. Ozgur Demirtas, 2015. "Implied Volatility Spreads and Expected Market Returns," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 87-101, January.

   Cited by:

   1. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
   2. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
      • Eser Arisoy & Aslihan Altay-Salih & Levent Akdeniz, 2015. "Aggregate Volatility Expectations and Threshold CAPM," Post-Print hal-01634175, HAL.
   3. Ni, Zhongxin & Wang, Linyu & Li, Weishu, 2021. "Do fund managers time implied tail risk? — Evidence from Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
   4. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
   5. Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
   6. Hardeep Singh Mundi, 2023. "Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study," Management Review Quarterly, Springer, vol. 73(1), pages 215-230, February.
   7. Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
   8. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
      • Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
   9. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
   10. Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).
   11. Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
   12. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
   13. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
   14. Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
   15. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
   16. Chen Gu & Xu Guo & Alexander Kurov & Raluca Stan, 2022. "The information content of the volatility index options trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1721-1737, September.
   17. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
   18. Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.

10. Yigit Atilgan & Aloke (Al) Ghosh & Meng Yan & Jieying Zhang, 2015. "Cross‐Listed Bonds, Information Asymmetry, and Conservatism in Credit Ratings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 897-929, August.

    Cited by:

    1. Jan Hendrik Fisch & Bjoern Schmeisser, 2020. "Phasing the operation mode of foreign subsidiaries: Reaping the benefits of multinationality through internal capital markets," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 51(8), pages 1223-1255, October.
    2. Wai Choi Lee & Jianfu Shen & Tsun Se Cheong & Michal Wojewodzki, 2021. "Detecting conflicts of interest in credit rating changes: a distribution dynamics approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
    3. Tao Chen & Sidney Leung & Lingmin Xie, 2021. "Does credit rating conservatism matter for corporate tax avoidance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5681-5730, December.
    4. Lindner, Thomas & Muellner, Jakob & Puck, Jonas, 2016. "Cost of Capital in an International Context: Institutional Distance, Quality, and Dynamics," Journal of International Management, Elsevier, vol. 22(3), pages 234-248.

11. Yiğit ATILGAN & K.Özgür DEMİRTAŞ & Alper ERDOĞAN, 2015. "Macroeconomic factors and equity returns in Borsa İstanbul," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 30(349), pages 09-30.

    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.

12. Yigit Atilgan & K. Ozgur Demirtas & Koray D. Simsek, 2015. "Studies of Equity Returns in Emerging Markets: A Literature Review," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(4), pages 757-773, July.

    Cited by:

    1. Vo, Xuan Vinh, 2017. "Trading of foreign investors and stock returns in an emerging market - Evidence from Vietnam," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 88-93.
    2. Akturk, Halit, 2014. "Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change," MPRA Paper 64465, University Library of Munich, Germany.
       • Aktürk, Halit, 2016. "Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 230-246.
    3. Nazlioglu, Saban & Kucukkaplan, Ilhan & Kilic, Emre & Altuntas, Mehmet, 2022. "Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Bingling Wei & Di Ye & Jinghong Wei, 2019. "Emerging Economies: Institutions and Entrepreneurship in the People’s Republic of China," Journal of Entrepreneurship and Innovation in Emerging Economies, Entrepreneurship Development Institute of India, vol. 5(2), pages 233-244, July.
    5. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
    6. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
    7. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
    8. Belasen, Ariel R. & Kutan, Ali M. & Belasen, Alan T., 2017. "The impact of unsuccessful pirate attacks on financial markets: Evidence in support of Leeson's reputation-building theory," Economic Modelling, Elsevier, vol. 60(C), pages 344-351.
    9. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
    10. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.

13. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.

    Cited by:

    1. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
    2. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
    3. Jonathan A. Milian, 2015. "Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?," Journal of Accounting Research, Wiley Blackwell, vol. 53(1), pages 175-220, March.
    4. Hannes Mohrschladt & Judith C. Schneider, 2021. "Idiosyncratic volatility, option-based measures of informed trading, and investor attention," Review of Derivatives Research, Springer, vol. 24(3), pages 197-220, October.
    5. Lin, Zih-Ying & Chang, Chuang-Chang & Wang, Yaw-Huei, 2018. "The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 152-165.
    6. Scott Fung & Robert Loveland, 2020. "When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1459-1485, October.
    7. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
    8. Khorram, Mehdi & Mo, Haitao & Sanger, Gary C., 2023. "Information flow and credit rating announcements," Journal of Financial Markets, Elsevier, vol. 65(C).
    9. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019. "Implied Volatility Changes and Corporate Bond Returns," Swiss Finance Institute Research Paper Series 19-75, Swiss Finance Institute.
       • Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
    10. Luis Goncalves-Pinto & Bruce D. Grundy & Allaudeen Hameed & Thijs van der Heijden & Yichao Zhu, 2020. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market," Management Science, INFORMS, vol. 66(9), pages 3903-3926, September.
    11. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
    12. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    13. Ersan, Oguz & Alıcı, Aslı, 2016. "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 74-94.
    14. Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
    15. Perico Ortiz, Daniel & Schnaubelt, Matthias & Seifert, Oleg, 2023. "A topic modeling perspective on investor uncertainty," FAU Discussion Papers in Economics 04/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    16. Soniya Mohil & Reena Nayyar & Archana Patro, 2020. "When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 1011-1029, June.
    17. Suresh Govindaraj & Yubin Li & Chen Zhao, 2020. "The effect of option transaction costs on informed trading in the options market around earnings announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(5-6), pages 615-644, May.
    18. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
    19. Ihsan Badshah & Hardjo Koerniadi & James Kolari, 2021. "The Sarbanes‐Oxley act and informed trading in the options market: Evidence from share repurchase announcements," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 645-652, June.
    20. Sumit Agarwal & Wenlan Qian & Xin Zou, 2021. "Disaggregated Sales and Stock Returns," Management Science, INFORMS, vol. 67(11), pages 7167-7183, November.
    21. Koutmos, Dimitrios, 2016. "Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks," Research in International Business and Finance, Elsevier, vol. 37(C), pages 391-405.
    22. Cristhian Mellado & Surendranath R. Jory & Thanh N. Ngo, 2016. "Do Option Traders Target Firms With Poor Earnings Quality," 2016 Papers pme563, Job Market Papers.
    23. Ming‐Yu Liu, 2019. "Improving momentum strategies using residual returns and option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 499-521, April.

14. Yigit Atilgan & K. Ozgur Demirtas, 2013. "Downside Risk in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(3), pages 65-83, May.

    Cited by:

    1. Ali, Heba & Hegazy, Aya Yasser, 2022. "Dividend policy, risk and the cross-section of stock returns: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 169-192.
    2. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    3. Rutkowska-Ziarko, Anna & Markowski, Lesław & Pyke, Christopher & Amin, Saqib, 2022. "Conventional and downside CAPM: The case of London stock exchange," Global Finance Journal, Elsevier, vol. 54(C).
    4. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
    5. Serkan İmişiker & Rasim Özcan & Bedri Kamil Onur Taş, 2015. "Price Manipulation by Intermediaries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(4), pages 788-797, July.
    6. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

15. K. Ozgur DEMİRTAS & Yigit ATILGAN, 2013. "Reward-to-Risk Ratios in Turkish Financial Markets," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(323), pages 9-32.

    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.

16. Yigit Atilgan & Turan G. Bali & K. Ozgur Demirtas, 2013. "The performance of hedge fund indices," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 30-52, September.

    Cited by:

    1. Gerhard Lechner & Rupert Beinhauer, 2018. "Are Commodity Hedge Funds interesting for institutional investors?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    2. Eyup Kadioðluu & Guray Kuçukkocaoglu & Saim Kilic, 2015. "Closing price manipulation in Borsa Istanbul and the impact of call auction sessions," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 213-221, September.

Books

1. Bali, Turan & Atilgan, Yigit & Demirtas, Ozgur, 2013. "Investing in Hedge Funds," Elsevier Monographs, Elsevier, edition 1, number 9780124047310.

   Cited by:

   1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.

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