Details about Yakup Eser ARISOY

Access statistics for papers by Yakup Eser ARISOY.

Last updated 2018-08-20. Update your information in the RePEc Author Service.

Short-id: par202

Working Papers

2017

1. Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?
   CEPN Working Papers, HAL
2. Volatility of Aggregate Volatility and Hedge Fund Returns
   Post-Print, HAL View citations (10)
   Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) View citations (4)
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) View citations (5)
   Post-Print, HAL (2015) View citations (3)
   See also Journal Article in Journal of Financial Economics (2017)

2016

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

2015

5. Aggregate Volatility Expectations and Threshold CAPM
   Post-Print, HAL View citations (1)
   See also Journal Article in The North American Journal of Economics and Finance (2015)

2014

6. Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia
   Post-Print, HAL View citations (1)
   See also Journal Article in Journal of Futures Markets (2014)
7. Optimal Multi-Period Consumption and Investment with Short-Sale Constraints
   Post-Print, HAL
   See also Journal Article in Finance Research Letters (2014)

2010

8. Volatility risk and the value premium: evidence from the french stock market
   Post-Print, HAL View citations (8)
   See also Journal Article in Journal of Banking & Finance (2010)

2007

9. 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
   See also Working Paper (2016)
2. Volatility of aggregate volatility and hedge fund returns
   Journal of Financial Economics, 2017, 125, (3), 491-510 View citations (12)
   See also Working Paper (2017)

2015

3. Aggregate volatility expectations and threshold CAPM
   The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 View citations (1)
   See also Working Paper (2015)

2014

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

2010

6. Volatility risk and the value premium: Evidence from the French stock market
   Journal of Banking & Finance, 2010, 34, (5), 975-983 View citations (10)
   See also Working Paper (2010)

2007

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