User profiles for Nusret Cakici

Nusret Cakici

Fordham University
Verified email at fordham.edu
Cited by 6560

The joint cross section of stocks and options

BJ An, A Ang, TG Bali, N Cakici - The Journal of Finance, 2014 - Wiley Online Library
Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied …

Does idiosyncratic risk really matter?

TG Bali, N Cakici, X Yan, Z Zhang - The journal of finance, 2005 - Wiley Online Library
Goyal and Santa‐Clara (2003) find a significantly positive relation between the equal‐weighted
average stock volatility and the value‐weighted portfolio returns on the NYSE/AMEX/…

Maxing out: Stocks as lotteries and the cross-section of expected returns

TG Bali, N Cakici, RF Whitelaw - Journal of financial economics, 2011 - Elsevier
Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …

Idiosyncratic volatility and the cross section of expected returns

TG Bali, N Cakici - Journal of Financial and Quantitative Analysis, 2008 - cambridge.org
This paper examines the cross-sectional relation between idiosyncratic volatility and expected
stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic …

Size, value, and momentum in emerging market stock returns

N Cakici, FJ Fabozzi, S Tan - Emerging Markets Review, 2013 - Elsevier
In this paper, we examine value and momentum effects in 18 emerging stock markets. Using
stock level data from January 1990 to December 2011, we find strong evidence for the …

Do markets overreact: International evidence

A Baytas, N Cakici - Journal of Banking & Finance, 1999 - Elsevier
In this paper, using the Conrad and Kaul's methodology we test for the overreaction hypothesis
– which maintains that stock prices systematically overshoot and therefore their reversal …

Foreign acquisitions in the United States: Effect on shareholder wealth of foreign acquiring firms

N Cakici, C Hessel, K Tandon - Journal of Banking & Finance, 1996 - Elsevier
This paper examines shareholder wealth gains for 195 foreign firms that acquired US target
firms during 1983–1992. We find that foreign acquirers experience positive and significant …

Value at risk and expected stock returns

TG Bali, N Cakici - Financial Analysts Journal, 2004 - Taylor & Francis
Stock size, liquidity, and value at risk (VAR) can explain the cross-sectional variation in
expected returns, but market beta and total volatility have almost no power to capture the cross-…

World market risk, country-specific risk and expected returns in international stock markets

TG Bali, N Cakici - Journal of Banking & Finance, 2010 - Elsevier
This paper determines whether the world market risk, country-specific total risk, and country-specific
idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). …

Hybrid tail risk and expected stock returns: When does the tail wag the dog?

TG Bali, N Cakici, RF Whitelaw - The Review of Asset Pricing …, 2014 - academic.oup.com
We introduce a new hybrid measure of stock return tail covariance risk, motivated by the
underdiversified portfolio holdings of individual investors, and investigate its cross-sectional …