Department of Finance

O ce: (646) 312 3484

Zicklin School of Business Baruch College, CUNY

Email-1: ozgur.demirtas@baruch.cuny.edu

One Bernard Baruch Way, Box B10-225

Email-2: kdemirta@stern.nyu.edu

New York, NY 10010

Email-3: ozgurdemirtas@sabanciuniv.edu



Associate Professor of Finance, New York University

Spring 2012


Taught Foundations of Finance, Adjunct, Stern School of Business



Associate Professor of Finance (with tenure), CUNY

September 2007-Present


Baruch College, City University of New York



Assistant Professor of Finance, CUNY

September 2003-September 2007


Baruch College, City University of New York





Ph.D. in Finance



Boston College, Chestnut Hill, Ma



B.S. in Electrical and Electronics Engineering



Bogazici University, Istanbul





\Bond versus Stock: Investors Age and Risk Taking"



(with Turan G. Bali, Haim Levy and Avner Wolf)



Journal of Monetary Economics, September 2009, 56(6), 817-830.






\Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns" (with Turan G. Bali and Hassan Tehranian)

Journal of Financial and Quantitative Analysis,September 2008, 43(3), 657-684.

\Is There an Intertemporal Relation Between Downside Risk and Expected Returns?" (with Turan G. Bali and Haim Levy)

Journal of Financial and Quantitative Analysis, 2009, 44 (4), 883-909.



[26]\Downside Risk in Emerging Markets" (with Yigit Atilgan)

Emerging Markets Finance and Trade, forthcoming

This paper investigates the relation between Value at Risk (VaR) and expected returns on the aggregate stock market in an international context. VaR is used as a measure of downside risk to determine the existence and signi cance of a risk-return tradeo . Using market return data from 27 emerging countries, xed-e ects panel data regressions provide evidence for a signi cantly positive relationship between monthly excess market returns and VaR measures that are constructed based on past daily returns over windows ranging from 5 to 12 months. This result is robust after controlling for aggregate dividend yield, price-to-earnings ratio and price-to-cash ow ratio. The relationship between expected returns and downside risk is much weaker for developed markets. Indeed, it vanishes when control variables are included in the downside risk-return speci cation.

[25]\The Intertemporal Relation between Tail Risk and Fund of Hedge Funds" (with Yigit Atilgan and Turan Bali)

Fund of Hedge Funds: Managing in Turbulent Times, Publisher: Elsevier, Amsterdam. (Lead Article), forthcoming

This chapter investigates how reward-to-risk ratios compare among the fund of hedge funds index and several stock and bond indices. Standard deviation is used to measure total risk and both nonparametric and parametric value at risk is used to measure downside risk when the reward-to- risk ratios are constructed. We nd that the fund of hedge funds index has higher reward-to-risk ratios compared to other benchmarks. This result is especially strong when the risk measures are calculated from the most recent years data and is robust as the measurement window is extended to four years.

[24]\Reward-to-Risk Ratios of Fund of Hedge Funds" (with Yigit Atilgan and Turan Bali) )

Fund of Hedge Funds: Managing in Turbulent Times, Edited by Greg N. Gregoriou, Publisher: El- sevier, Amsterdam.

(Lead Article), forthcoming

This chapter investigates the predictive relation between fund of hedge funds returns and the moments of the return distribution. We nd that the variance calculated from various past return windows has a signi cantly positive relation with one-month ahead hedge fund returns, whereas neither the nonparametric nor the parametric measure of Value at Risk has any predictive power. Skewness and kurtosis do not have a signi cant relation with future fund of hedge funds returns. The positive relation between volatility and future fund returns is robust after controlling for skewness, kurtosis, past fund of hedge fund returns and a large set of macroeconomic variables associated with business cycle uctuations.

[23]\Aggregate Earnings and Expected Stock Returns in Emerging Markets" (with Duygu Zirek)

Emerging Markets Finance and Trade, May/Jun2011, Vol. 47 Issue 3, p4-22. (Lead Article)


This paper examines the time-series predictability of aggregate stock returns in 20 emerging mar- kets. In contrast to the aggregate-level ndings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normaliz- ing variables for stock price but as predictive variables in their own right. Aggregate earnings themselves covary with the market returns, hence it is not just the mean reversion of stock prices that is responsible for the forecasting power of earnings yield. These results are robust across di erent estimation methods and after controlling for small sample bias and macroeconomic vari- ables. We argue that due to high levels of fundamentals co-movement in emerging markets, the information content of rm-level earnings (unsystematic earnings) about future cash ows is not fully diversi ed away at the market level. Relevant literature shows that rm-level earnings are positively correlated with expected returns in US and this positive relationship remains signi cant only at the less diversi ed industry- level but disappears at the highly diversi ed US market level. Emerging markets are signi cantly less diversi ed compared to US. This explains the strong and robust predictive power of aggregate earnings in emerging markets.

[22]\Investigating ICAPM in International Futures Markets" (with Turan Bali and Kishore Tandon)

Review of Futures Markets, forthcoming. (Lead Article)

This paper investigates the signi cance of an intertemporal relation between expected return and risk for the futures markets. The paper not only takes a look at the domestic futures, but the relationship between conditional risk and return is examined in international futures markets as well. We test the signi cance of a daily risk-return tradeo in stock index futures for G8 countries (US, Canada, UK, Germany, France, Italy, Japan, and Australia). We use GARCH modeling with the thin-tailed normal and the fat-tailed Student t, generalized error, and generalized t distributions to simultaneously generate risk measures and forecast expected futures returns.

[21]\International Equity Markets: Risk and Return" (with Yigit Atilgan and Turan Bali)

Oxford University Press, Survey of International Finance, New York and Oxford, forthcoming.

The evidence from studies that focus on U.S. data has been mixed as far as the relation between conditional expected market returns and conditional variance is concerned. This chapter inves- tigates the risk-return trade-o in the international context. Using market return data from 27 emerging countries, pooled panel regressions show that there is a signi cantly positive relation between monthly realized variance and excess market returns when the realized variance measures are based on past daily returns from six to twelve months. The same relation does not hold when the analysis is repeated for 25 developed countries. Stacked time-series and stacked cross- sectional regressions show that the positive risk-return trade-o in emerging countries is driven by a cross-sectional correlation between realized variance and market returns across countries rather than an intertemporal relation. There is a signi cantly positive relation between dividend yield and aggregate returns for emerging countries; however this does not a ect the positive risk-return trade-o .

[20]\Corporate Financing Activities and Contrarian Investment" (with Turan G. Bali and Armen Hovakimian)

Review of Finance, September 2010, 14(3), 543-584.

This paper examines the returns to investment strategies based on the interactions between value- to-market indicators and corporate nancing transactions that increase or decrease the rm's outstanding equity, i.e., equity issues and repurchases. Portfolio-level analyses and rm-level cross-sectional regressions indicate that the well-documented contrarian pro ts soar when value


stocks which repurchase shares (value repurchasers) and growth stocks which issue shares (growth issuers) are considered. The results also show that value-to-market ratios cannot capture the cross-sectional variation in expected stock returns when value issuers and growth repurchasers are considered. Based on various risk measures, we nd that value repurchasers are not riskier than growth issuers. Furthermore, value repurchasers (growth issuers) experience the highest increase (decrease) in future growth rates. Our ndings are consistent with the misvaluation explanation for the superior returns of value stocks.

[19]`Predictability of Risk Measures in International Stock Markets" (with Turan Bali)

Stock Market Volatility, February 2009 edited by Greg N. Gregoriou, , Publisher: Chapman Hall CRC Taylor and Francis, London, UK.

This paper investigates the persistency of variance and value at-risk in international stock market indices. We use daily stock index returns of United States, United Kingdom, Germany, Japan, Canada, France and Italy and create variance and value-at-risk estimates. We nd that for all of the seven countries considered in the paper persistency in variance is signi cantly higher than the one of value-at-risk. Variance of the stock market indices in Germany and Italy has the highest persistence, whereas the persistence is low in US and Canada. We conclude that although second moment of stock return distributions is highly predictable in Germany and Italy, tails of the distribution is more persistent in Japan.

[18]\Bond versus Stock: Investors Age and Risk Taking" (with Turan G. Bali, Haim Levy and Avner Wolf)

Journal of Monetary Economics, September 2009, 56(6), 817-830.

This paper examines the proportion of wealth invested in stock and bond portfolios as a function of the investors' age, i.e., investment horizon. It has become increasingly popular to advice investors to relocate their funds from a primarily stock portfolio to a primarily bond portfolio as they get older. However, the existing theory does not support this advice: the well-known decision rules such as Mean-Variance (MV) or Stochastic Dominance (SD) rules are unable to explain this common practice. In this paper, we utilize the recently developed Almost Stochastic Dominance (ASD) and Almost Mean Variance (AMV) approaches and employ various datasets to examine the dominance of stock and bond portfolios as a function of the investment horizon. We nd that, for short investment horizons, all portfolios are e cient. However, for medium and longer horizons, only the portfolios with higher stock proportions are e cient. The results indicate that ASD and AMV rules unambiguously support the popular practice of advising higher stock to bond ratio for long investment horizons. Hence, we provide an explanation to the practitioners' recommendation within the expected utility paradigm.

[17]\Is There an Intertemporal Relation Between Downside Risk and Expected Returns?" (with Turan G. Bali and Haim Levy)

Journal of Financial and Quantitative Analysis, 2009, 44 (4), 883-909.

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to de- termine the existence and signi cance of a risk-return tradeo . We nd a positive and signi cant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared to the traditional risk measures. These results are robust across di erent stock market indices, di erent measures of downside risk, loss probabil- ity levels, and after controlling for macroeconomic variables and volatility over di erent holding periods.


[16]\Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns" (with Turan G. Bali and Hassan Tehranian)

Journal of Financial and Quantitative Analysis,September 2008, 43(3), 657-684.

This paper provides an analysis of the predictability of stock returns using market, industry, andrm-level earnings. Contrary to Lamont (1998), we nd that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables do not have robust predictive power across di erent stock portfolios and sample periods. In contrast to the aggregate-level ndings, earnings yield has signi cant explanatory power for the time- series and cross-sectional variation in rm-level stock returns and 48-industry portfolio returns. It is the mean-reversion of stock prices as well as the earnings' correlation with expected stock returns that are responsible for the forecasting power of earnings yield. These results are robust after controlling for book-to-market, size, price momentum and post-earnings announcement drift. At the aggregate-level, the information content of rm-level earnings about future cash ows is diversi ed away and higher aggregate earnings do not forecast higher returns.

[15]\Nonlinear Mean Reversion in Stock Prices" (with Turan G. Bali and Haim Levy)

Journal of Banking of Finance, May 2008, 32(5), 767-782.

This paper provides new evidence on the time-series predictability of stock market returns by introducing a test of nonlinear mean reversion. The performance of extreme daily returns is evaluated in terms of their power to predict short- and long-horizon returns on various stock market indices and size portfolios. The paper shows that the speed of mean reversion is signi cantly higher during the large falls of the market. The parameter estimates indicate a negative and signi cant relation between the monthly portfolio returns and the extreme daily returns observed over the past one to eight months. This result holds for the value-weighted and equal-weighted stock market indices and for each of the size decile portfolios.

[14]\Testing Mean Reversion in Financial Market Volatility: Evidence from SP 500 Index Futures" (with Turan G. Bali)

Journal of Futures Markets, January 2008, 28(1), 1-33. (Lead Article)

This paper presents a comprehensive study of continuous time GARCH modeling with the thin- tailed normal and the fat-tailed Student-t and generalized error distributions (GED). The paper measures the degree of mean reversion in nancial market volatility based on the relationship between discrete time GARCH and continuous time di usion models. The convergence results based on the aforementioned distribution functions are shown to have similar implications for testing mean reversion in stochastic volatility. Alternative models are compared in terms of their ability to capture mean-reverting behavior of futures market volatility. The empirical evidence obtained from the SP 500 index futures indicates that the conditional variance, log-variance, and standard deviation of futures returns are pulled back to some long-run average level over time. The paper also compares the performance of alternative GARCH models with Normal, Student-t, and GED density in terms of their power to predict one-day-ahead realized volatility of index futures returns and provides some implications for pricing futures options.

[13]\Can Overreaction Explain Part of The Size Premium" (with A. Burak Guner)

International Journal of Revenue Management, 2008, 2(3)

This paper uncovers several empirical regularities in the returns of small stocks. First, within the sample of rms that have low market capitalizations, stocks with low past pro tability (laggers)


bring returns signi cantly higher than those of stocks with high past pro tability (leaders). Second, the size premium is generated largely by small laggers. Moreover, both patterns are particularly pronounced at earnings-announcement dates, suggesting that unexpected earnings growth can explain a portion of the abnormal returns to small stocks. Since these ndings point to market ine ciency, they are especially important for the revenue management of money managers who invest in small stocks.

[12]\Small Sample Bias in Panel Data" (with Turan G. Bali)

Finance Letters, August 2007, 5(2), 17-21.

There exists a small sample bias in predictive regressions, when a rate of return is regressed on a lagged stochastic regressor, and the regression disturbance is correlated with the regressors innovations. Although this bias can be a serious concern in time-series predictive regressions, it is not signi cant in panel data setting. By using simulations and stock level data, we document that as the number of cross sections used in the panel data increases the bias in coe cient estimates becomes negligible.

[11]\Nonlinear Asymmetric Models of the Short Term Interest Rate"

Journal of Futures Markets, 26 (9) 2006.

This paper introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short term interest rates. A new class of models which displays nonlinearity and asymmetry in the drift, and incor- porates the level e ect and stochastic volatility in the di usion function is introduced in discrete time and tested against the popular di usion, GARCH, and Level-GARCH models. Based on the statistical test results, the existing models are strongly rejected in favor of the newly proposed models because of the nonlinear asymmetric drift of the short rate, and the presence of nonlinear- ity, GARCH, and level e ects in its volatility. The empirical results indicate that the nonlinear asymmetric models are better than the existing models in forecasting the future level and volatility of interest rate changes.

[10]\Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Perfor- mance"

(with Turan G. Bali, Armen Hovakimian, and John Merrick)

Journal of Portfolio Management,Spring 2006, 32(3), 80-92 .

Investment bankers focus on narrow, industry-based peer groups for individual stock valuation. And some market-neutral equity hedge fund managers restrict their portfolios to be sector-neutral as well. Yet, academic research into contrarian strategy investment performance has typically invoked full universe valuation and ignored industry e ects. Here, we nd in favor of the bankers and hedge fund managers approach. Industry e ects matter. Narrow industry-based peer groups improve stock valuation precision for three key valuation ratios. While our analysis of the dynamics of these ratios indicates substantial inertia in relative value rankings, we nd that average returns to industry-based contrarian portfolio strategies are positive, statistically signi cant, and persistent. And over a sample that extends through the new economy/old economy and boom/bust period of the late 1990s, contrarian strategies were particularly pro table for NASDAQ-listed stocks. Most importantly, using our full sample of stocks, we show that an industry-neutral strategy is far superior to an industry-exposed, full universe strategy in Sharpe ratio terms over every horizon for each valuation ratio. Thus, contrarian strategy portfolio performance is signi cantly improved in risk-adjusted terms when implemented in its industry-neutral hedging form.



[9]\Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics" (Yigit Atilgan, Turan Bali, and K. Ozgur Demirtas)

accepted for publication and in preperation 2013. Publisher: Elsevier, Amsterdam


[8]\Reward-to-Risk Ratios in Turkish Financial Markets" (with Yigit Atilgan)

Iktisat, Isletme ve Finans, Third Round

This paper investigates how reward-to-risk ratios compare among various government debt secu- rity (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We nd that the GDS indices have higher reward-to-risk ratios compared to the sector indices. GDS indices with longer matu- rities have lower reward-to-risk ratios and this reduction is especially pronounced when the ratios take downside risk into account. The reward-to-risk rankings for the sector indices are similar for each measure and the results are robust to currency conversion.

[7]\Initial Credit Ratings and Earnings Management" (with Kimberly Rodgers Cornaggia)

Review of Financial Economics, Third Round

Credit rating agencies assert that they rely on nancial information provided by issuers and that they value rating stability as well as accuracy. In an environment where rating agencies depend on issuer-reported information and are reluctant to adjust ratings promptly, managers of issuing rms can utilize the discretion a orded by GAAP to obtain the most favorable credit ratings. Consistent with our expectations, we nd that current accruals are unusually positive and high around initial credit ratings. The increase in abnormally high accruals leading up to the initial credit rating year is followed by a reversal in the subsequent years. Multivariate regression analyses suggest that accounting accruals, abnormal current accruals in particular, are signi cantly positively related to initial credit ratings after controlling for several issue- and issuer-related characteristics indicative of default risk. Our results are robust to additional tests that account for endogeneity between credit ratings and earnings management, adjust for performance, and account for rms issuing debt and equity simultaneously.

[6]\Investing in Stock Market Anomalies" (with Turan Bali and Stephen J. Brown)

This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Each year hundreds of billions of dollars are invested in portfolios based on several stock market anomalies which identify certain undervalued assets (with high expected returns) and certain overvalued assets (with low expected returns). We investigate whether the zero invesment portfolios that invest in high and low return assets create e cient investment alternatives. We focus on most popular ve anomalies: Value Premium, Momentum, Size Premium, Short-Term Reversal, and Long-Term Reversal. We show that the classical selection rules do not identify a


preference for high return assets creating an inconsistency between the market practitioners asset allocation and the decision rules in modern portfolio theory. Therefore, we utilize newly proposed almost dominance decision rules to examine the practice of investing in stock market anomalies. We document that popular investment choices such as value stocks and small stocks do not dominate growth stocks and big stocks even when the almost decision rules are used. However, the results for the long-term reversal, short-term reversal and momentum are signi cantly di erent. For an investor, who has just 6-month investment horizon, momentum winners and short-term losers dominate momentum losers and short-term winners, respectively. Hence, short-term reversal, momentum and long-term reversal easily create e cient investment alternatives. These ndings are robust to simulated series that takes fatter tails into consideration, and to limiting the analysis to recessionary periods associated with high marginal utilities.

[5]\Implied Volatility Spreads, Skewness and Expected Market Returns" (with Yigit Atilgan and Turan Bali)

This paper investigates the intertemporal relation between implied volatility spreads and expected returns on the aggregate stock market. The results show a signi cantly negative link between expected future returns and the spread between the implied volatilities of out-of-the-money put and at-the-money call options written on the SP 500 index. We argue that this relation is driven by information ow from option markets to stock markets rather than volatility spreads acting as a proxy for skewness. First, neither physical nor risk-neutral skewness can predict expected aggregate returns. Second, the relation between volatility spreads and expected market returns is signi cantly stronger for the periods that SP 500 constituent rms announce their earnings and for the periods that consumer sentiment index is extremely high or low. The intertemporal relation between volatility spreads and expected market returns remains strongly negative after controlling for various measures of conditional volatility, a large set of macroeconomic variables, small sample biases, and distributional assumptions.

[4]\Identifying a Preference between Emerging and Developed Markets" (with Turan Bali and Stephen J. Brown)

Despite an admirable performance of equity markets in emerging economies, the classical portfolio selection rules cannot identify a preference between emerging and developed markets creating an inconsistency between investors asset allocation decision and modern portfolio theory. This paper utilizes the newly proposed almost dominance rules to explain the phenomena of investing in emerging market equity indices. Nonparametric tests indicate almost dominance of emerging markets over developed countries at short and long term investment horizons. These results are veri ed by simulated return series and they are robust across di erent sample periods including the recent nancial crisis. Similar ndings are obtained when the return distributions of G7 countries and emerging markets are compared. Stronger performance of emerging economies is magni ed when the time-varying conditional distributions of emerging and developed markets are considered.

[3]\Stock Price Synchronicity, Diversication and Expected Stock Returns" (with Turan Bali and Duygu Zirek)

This paper examines the forecasting power of earnings yield and aggregate normalized earningsin world markets. 48 countries have been ranked according to the stock price synchronicity and diversication measures, obtained by utilizing daily rm-level data for each country. There is asta- tistically signicant relationship between aggregate earnings and one quarter ahead expected stock returns for more synchronous and less diversied countries as opposed to less synchronousand more diversied countries. We argue that due to high levels of fundamentalsco-movement in highly syn- chronous and less diversied markets, the information content of rm-level earnings(unsystematic


earnings) about future cash ows is not fully diversied away at the aggregate level. Our results remain robust after controlling for macro variables, such as consumer price index and discount rates.

[2]\Do Hedge Funds Outperform Stocks and Bonds?" (with Turan Bali and Stephen J. Brown)

Hedge funds extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create signi cant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric approach of Levy and Leshno (2002) and the utility-based parametric measure of Goetzmann, Ingersoll, Spiegel, and Welch (2007) to determine which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated return distributions indicate that the Quantitative Directional, Equity Hedge, and Emerging Market hedge fund strategies outperform the U.S. eq- uity market. For an investment horizon of one year, only the Macro and Relative Value hedge fund strategies outperform the 1-month and 10-year Treasury securities, whereas for long-term investment horizon of ve years, almost all hedge fund portfolios dominate the U.S. Treasury market.

[1]\Risk-Adjusted Performances of World Equity Indices" (with Yigit Atilgan)

This paper examines the relative performance of equity indices of 24 emerging and 28 developed markets based on alternative measures of reward-to-risk. We use standard deviation to measure total risk and place special emphasis on downside risk by calculating both nonparametric and parametric value at risk. We nd that when all 52 markets are ranked according to their standard deviation-based reward-to-risk ratios, 12 countries in the top quartile are emerging markets whereas 11 countries in the bottom quartile are developed markets. Similar results are obtained for the downside risk-based reward-to-risk ratios. These results are supported by the nding that pooled means of all reward-to-risk ratios are signi cantly higher for emerging markets compared to those of developed markets. Focusing on the period after the initiation of the recent nancial crisis reveals that, although both developed and emerging markets su ered in terms of generating higher returns per unit risk, emerging markets continued to outperform developed markets.


[1]\Relation between Risk and Expected Return and Cash Flow News" (with Turan Bali and Robert Whitelaw)

[2]\The Anatomy of the Relationship Between Analyst Earnings Estimates and Stock Returns"

[3]\Investing in ETFs"

[4]\Decomposing Returns in International Stock Markets"

[5]\What Drives Returns in Turkish Financial Markets?"



Listed within the Top 20 Professors


Out of more than 1-Million Professors and using more than 10-Million student evaluations in United States, Canada, Scotland, and United Kingdom

Media Appearances Summer 2011

appeared on 43 Live Shows, 7 Magazine Columns, Several Newspaper Interviews

Haberturk TV, Bloomberg, TRT Haber, ATV, TRT Turk, AHaber, TRT Arapca, 6 News, TGRT, ATV, Hurriyet, Ekonomist, EkoVitrin, and others

Highest evaluation at Stern School of Business

Spring 2012

Obtained highest teaching evaluation within the nance classes at NYU-Stern


Research Grant from PSC-CUNY


For eight years in a row


Faculty Recognition Award for Scholarly and Creative Achievements


For seven years in a row


Presidential Excellence Award for Distinguished Teaching


Youngest faculty to get this award


Recipient of Eugene M. Lang Research Fellowship


For work on Investors' Age and Risk Taking


Teaching Excellence, Deans List


For eight years in a row


Zicklin School of Business Teaching Excellence Award


Baruch College, City University of New York


Donald J. White Teaching Excellence Award


Boston College, Chestnut Hill, Ma


Graduate Fellowship


Boston College, Chestnut Hill, Ma


Honors List


Bogazici University, Istanbul


Ranked within top 50 in Turkish College Entrance Exam


National Academic Excellence Award




Risk and Return in Commodity Markets


Sponsored by PSC-CUNY foundation


Repurchase Premium, Extrapolation Hypothesis and Informed Investors


Sponsored by PSC-CUNY foundation


Investors Age and Risk Taking


Eugene-Lang Research Fellowship


Mean Reversion in Stock Prices


Sponsored by PSC-CUNY foundation


Almost Stochastic Dominance and Mean Variance Approach


Sponsored by PSC-CUNY foundation


Downside Risk and Expected Stock Returns


Sponsored by PSC-CUNY foundation


Aggregate Earnings, Firm-level Earnings and Expected Stock Returns


Sponsored by PSC-CUNY foundation



Reviewer for the:

Management Science

Review of Financial Studies

Journal of Banking and Finance

European Journal of Finance

Review of Quantitative Finance and Accounting

Journal of Business Research

Review of Financial Economics

International Review of Economics and Finance

Emerging Markets Finance and Trade

Multinational Finance Journal

Economic Modelling

Journal of Applied Finance



Iktisat,Isletme, Finans

International Journal of Revenue Management

Economic Systems

Quarterly Review of Economics and Finance


European Financial Management Association (EFMA), Barcelona

Summer 2012

IUE-SSEM EuroConference: Crises and Recovery in Emerging Markets, Izmir

Summer 2011

Midwest Finance Association (MFA), Annual Meeting, Chicago

Spring 2011

Financial Management Association (FMA) Annual Meeting, New York

Fall 2010

FMA meetings, New York

Fall 2010

EuroConference 2010

Spring 2010

MFA meetings, Chicago

Spring 2009

University of Priaeus, Greece

Spring 2009

FMA meetings, Dallas

Fall 2008

EFA meetings, Zurich

Summer 2006

UMASS Amherst, Massachusetts

Spring 2006

FMA meeting, Stockholm

Fall 2006

Penn State University

Fall 2005

Baruch College, New York

Spring 2004

EFA meetings Maastricht, Netherlands

Summer 2004

Boston College, Massachusetts

Fall 2004

Rice University

Spring 2003

Drexel University

Spring 2003

Koc University

Spring 2003



Ph.D. Dissertation Committee, Duygu Zirek

Ph.D. Dissertation Committee, Yigit Atilgan

Ph.D. Dissertation Committee, Irena Yegorova

Hiring Committee Member, Baruch College

Course Coordinator for MBA level classes

Graduate Curriculum Committee, Baruch College, City University of New York Undergraduate Honors Committee, Baruch College, City University of New York Teaching Mentor for the new Business School Faculty, Baruch College

Chair of the Sub-committee on course syllabuses (under Graduate Curriculum Committee Mentor and Lecturer for the Investment Club

Member of the Center for International Business Education and Research (CIBER) at Baruch College

Undergraduate Honors Committee, Baruch College, City University of New York Faculty Advisor, Department of Finance, Baruch College


Taught at the Undergraduate, Graduate, Executive MBA, PHD, Honors MBA levels Evaluations range between 4.9 to 5.0 out of 5.0