Details about Mehmet Umutlu

Access statistics for papers by Mehmet Umutlu.

Last updated 2025-01-09. Update your information in the RePEc Author Service.

Short-id: pum28

Working Papers

2016

1. Option-Implied Volatility Measures and Stock Return Predictability
   Post-Print, HAL View citations (6)

2009

2. The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
   Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2009) View citations (2)
   See also Journal Article The degree of financial liberalization and aggregated stock-return volatility in emerging markets, Journal of Banking & Finance, Elsevier (2010) View citations (105) (2010)

Journal Articles

2024

1. Interaction effects in the cross-section of country and industry returns
   Journal of Banking & Finance, 2024, 165, (C)
2. Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis
   Economics Letters, 2024, 244, (C)

2023

3. Are return predictors of industrial equity indexes common across regions?
   Journal of Asset Management, 2023, 24, (5), 396-418
4. Market segmentation and international diversification across country and industry portfolios
   Research in International Business and Finance, 2023, 65, (C) View citations (1)

2022

5. To diversify or not to diversify internationally?
   Finance Research Letters, 2022, 44, (C) View citations (2)

2021

6. Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
   Applied Economics, 2021, 53, (54), 6213-6230

2020

7. Financial Openness and Financial Development: Evidence from Emerging Countries
   Istanbul Business Research, 2020, 49, (2), 316-338 View citations (1)
8. The cross-section of industry equity returns and global tactical asset allocation across regions and industries
   International Review of Financial Analysis, 2020, 72, (C) View citations (10)
9. Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns
   Journal of Banking & Finance, 2020, 121, (C) View citations (19)

2019

10. Alpha momentum and alpha reversal in country and industry equity indexes
    Journal of Empirical Finance, 2019, 53, (C), 144-161 View citations (8)
11. Does idiosyncratic volatility matter at the global level?
    The North American Journal of Economics and Finance, 2019, 47, (C), 252-268 View citations (11)

2018

12. Size matters everywhere: Decomposing the small country and small industry premia
    The North American Journal of Economics and Finance, 2018, 43, (C), 1-18 View citations (6)
13. Strategies can be expensive too! The value spread and asset allocation in global equity markets
    Applied Economics, 2018, 50, (60), 6529-6546 View citations (6)

2015

14. Idiosyncratic Volatility and Expected Returns at the Global Level
    Financial Analysts Journal, 2015, 71, (6), 58-71 View citations (1)
15. Stock-return volatility and daily equity trading by investor groups in Korea
    Pacific-Basin Finance Journal, 2015, 34, (C), 43-70 View citations (11)

2014

16. The Link between Financial System and Economics: Functions of the Financial System, Financial Crises, and Policy Implications
    International Journal of Financial Research, 2014, 5, (4), 52-66

2013

17. Foreign Equity Trading and Average Stock-return Volatility
    The World Economy, 2013, 36, (9), 1209-1228 View citations (9)

2010

18. Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?
    Czech Journal of Economics and Finance (Finance a uver), 2010, 60, (2), 122-137 View citations (7)
19. Firm leverage and investment decisions in an emerging market
    Quality & Quantity: International Journal of Methodology, 2010, 44, (5), 1005-1013 View citations (7)
20. The degree of financial liberalization and aggregated stock-return volatility in emerging markets
    Journal of Banking & Finance, 2010, 34, (3), 509-521 View citations (105)
    See also Working Paper The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets, Discussion Paper (2009) View citations (2) (2009)