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Details about Yakup Eser ARISOY

E-mail:
Homepage:https://sites.google.com/site/eserarisoy/
Phone:+33144054360
Postal address:Université Paris Dauphine DRM Finance Place du Maréchal de Lattre de Tassigny 75775 cedex 16 Paris
Workplace:Centre de Recherches sur la Gestion (CEREG) (Management Research Center), Dauphine Recherches en Management (DRM), Université Paris-Dauphine (Paris IX) (University of Paris 9), (more information at EDIRC)

Access statistics for papers by Yakup Eser ARISOY.

Last updated 2017-11-03. Update your information in the RePEc Author Service.

Short-id: par202


Jump to Journal Articles

Working Papers

2017

  1. Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?
    CEPN Working Papers, HAL

2016

  1. Does Aggregate Uncertainty Explain Size and Value Anomalies?
    Post-Print, HAL
    See also Journal Article in Applied Economics (2017)
  2. Option-Implied Volatility Measures and Stock Return Predictability
    Post-Print, HAL View citations (1)

2015

  1. Volatility of Aggregate Volatility and Hedge Fund Returns
    Post-Print, HAL
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) View citations (2)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) Downloads View citations (2)

    See also Journal Article in Journal of Financial Economics (2017)

2010

  1. Volatility risk and the value premium: evidence from the french stock market
    Post-Print, HAL View citations (7)
    See also Journal Article in Journal of Banking & Finance (2010)

2007

  1. Is volatility risk priced in the securities market ? Evidence from S&P 500 index options
    Post-Print, HAL View citations (2)
    See also Journal Article in Journal of Futures Markets (2007)

Journal Articles

2017

  1. Does aggregate uncertainty explain size and value anomalies?
    Applied Economics, 2017, 49, (32), 3214-3230 Downloads
    See also Working Paper (2016)
  2. Volatility of aggregate volatility and hedge fund returns
    Journal of Financial Economics, 2017, 125, (3), 491-510 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Aggregate volatility expectations and threshold CAPM
    The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 Downloads

2014

  1. Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia
    Journal of Futures Markets, 2014, 34, (1), 34-55 Downloads View citations (1)
  2. Optimal multi-period consumption and investment with short-sale constraints
    Finance Research Letters, 2014, 11, (1), 16-24 Downloads

2010

  1. Volatility risk and the value premium: Evidence from the French stock market
    Journal of Banking & Finance, 2010, 34, (5), 975-983 Downloads View citations (9)
    See also Working Paper (2010)

2007

  1. Is volatility risk priced in the securities market? Evidence from S&P 500 index options
    Journal of Futures Markets, 2007, 27, (7), 617-642 Downloads View citations (1)
    See also Working Paper (2007)
 
Page updated 2017-12-12