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K Ozgur Demirtas - Publications

Affiliations: 
Economics City University of New York, New York, NY, United States 
Area:
Finance, General Economics
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29 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Atilgan Y, Bali TG, Demirtas KO, Gunaydin AD. Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns Journal of Financial Economics. 135: 725-753. DOI: 10.2139/Ssrn.3070777  0.772
2020 Atilgan Y, Demirtas KO, Gunaydin AD. Downside beta and the cross section of equity returns: A decade later European Financial Management. 26: 316-347. DOI: 10.1111/Eufm.12258  0.697
2020 Atilgan Y, Demirtas KO, Gunaydin AD, Kirli I. Decomposing value globally Applied Economics. 52: 4659-4676. DOI: 10.1080/00036846.2020.1739614  0.778
2019 Atilgan Y, Bali TG, Demirtas KO, Gunaydin AD. Global downside risk and equity returns Journal of International Money and Finance. 98: 102065. DOI: 10.1016/J.Jimonfin.2019.102065  0.796
2018 Atilgan Y, Bali TG, Demirtas KO, Gunaydin AD. Downside Beta and Equity Returns around the World The Journal of Portfolio Management. 44: 39-54. DOI: 10.3905/Jpm.2018.1.080  0.746
2016 Atilgan Y, Demirtas KO, Simsek KD. Derivative markets in emerging economies: A survey International Review of Economics and Finance. 42: 88-102. DOI: 10.2139/Ssrn.2655554  0.776
2016 Atilgan Y, Demirtas KO, Gunaydin AD. Liquidity and equity returns in Borsa Istanbul Applied Economics. 1-18. DOI: 10.2139/Ssrn.2605791  0.813
2016 Atilgan Y, Demirtas KO. Risk-Adjusted Performances of World Equity Indices Emerging Markets Finance and Trade. 52: 706-721. DOI: 10.2139/Ssrn.2160773  0.825
2016 Atilgan Y, Demirtas KO, Erdogan A. Share issuance and equity returns in Borsa Istanbul International Review of Economics and Finance. 43: 320-333. DOI: 10.1016/J.Iref.2015.12.005  0.8
2015 Atilgan Y, Demirtas KO, Erdogan A. Macroeconomic Factors and Equity Returns in Borsa Istanbul Iktisat Isletme Ve Finans. 30: 9-30. DOI: 10.2139/Ssrn.2498031  0.776
2015 Atilgan Y, Demirtas KO, Simsek KD. Studies of equity returns in emerging markets: A literature review Emerging Markets Finance and Trade. 51: 757-773. DOI: 10.2139/Ssrn.2441823  0.774
2015 Atilgan Y, Bali TG, Demirtas KO. Implied Volatility Spreads and Expected Market Returns Journal of Business and Economic Statistics. 33: 87-101. DOI: 10.2139/Ssrn.1993289  0.805
2013 Atilgan Y, Demirtas KO. Reward-to-Risk Ratios in Turkish Financial Markets Iktisat Isletme Ve Finans. 28: 9-32. DOI: 10.2139/Ssrn.2030019  0.774
2013 Atilgan Y, Demirtas KO. Downside Risk in Emerging Markets Emerging Markets Finance and Trade. 49: 65-83. DOI: 10.2139/Ssrn.1986137  0.827
2013 Bali TG, Brown SJ, Demirtas KO. Do hedge funds outperform stocks and bonds? Management Science. 59: 1887-1903. DOI: 10.1287/mnsc.1120.1689  0.465
2013 Demirtas KO, Rodgers Cornaggia K. Initial credit ratings and earnings management Review of Financial Economics. 22: 135-145. DOI: 10.1016/J.Rfe.2013.05.003  0.375
2013 Atilgan Y, Bali TG, Demirtas KO. The performance of hedge fund indices Borsa Istanbul Review. 13: 30-52. DOI: 10.1016/J.Bir.2013.10.007  0.792
2013 Atilgan Y, Bali TG, Demirtas KO. The Intertemporal Relation between Tail Risk and Funds of Hedge Funds Returns Reconsidering Funds of Hedge Funds. 381-392. DOI: 10.1016/B978-0-12-401699-6.00023-X  0.768
2013 Atilgan Y, Bali TG, Demirtas KO. Reward-to-Risk Ratios of Funds of Hedge Funds Reconsidering Funds of Hedge Funds. 275-287. DOI: 10.1016/B978-0-12-401699-6.00017-4  0.734
2013 Bali TG, Atilgan Y, Demirtas KO. Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics Investing in Hedge Funds: a Guide to Measuring Risk and Return Characteristics. 1-177.  0.759
2011 Demirtas KO, Zirek D. Aggregate earnings and expected stock returns in emerging markets Emerging Markets Finance and Trade. 47: 4-22. DOI: 10.2139/Ssrn.1674645  0.785
2010 Bali TG, Demirtas KO, Hovakimian A. Corporate financing activities and contrarian investment Review of Finance. 14: 543-584. DOI: 10.1093/Rof/Rfp012  0.538
2009 Bali TG, Demirtas KO, Levy H. Is there an intertemporal relation between downside risk and expected returns? Journal of Financial and Quantitative Analysis. 44: 883-909. DOI: 10.1017/S0022109009990159  0.564
2009 Bali TG, Demirtas KO, Levy H, Wolf A. Bonds versus stocks: Investors' age and risk taking Journal of Monetary Economics. 56: 817-830. DOI: 10.1016/J.Jmoneco.2009.06.015  0.401
2008 Demirtas KO, Guner AB. Can Overreaction Explain Part of the Size Premium International Journal of Revenue Management. 2: 234-253. DOI: 10.2139/Ssrn.950136  0.546
2008 Bali TG, Demirtas KO, Tehranian H. Aggregate earnings, firm-level earnings, and expected stock returns Journal of Financial and Quantitative Analysis. 43: 657-684. DOI: 10.1017/S0022109000004245  0.571
2008 Bali TG, Demirtas KO, Levy H. Nonlinear mean reversion in stock prices Journal of Banking and Finance. 32: 767-782. DOI: 10.1016/J.Jbankfin.2007.05.013  0.589
2008 Bali TG, Demirtas KO. Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures Journal of Futures Markets. 28: 1-33. DOI: 10.1002/Fut.20273  0.509
2006 Bali TG, Demirtas KO, Hovakimian A, Merrick JJ. Peer pressure Journal of Portfolio Management. 32.  0.312
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