Professor Dr. K. Ozgur Demirtas
Chair Professor of Finance
Sabancý University, Orhanlý-Tuzla, 34956, Ýstanbul, TURKEY

Email: ozgurdemirtas@sabanciuniv.edu

Tel: (+90) 216-483-9985

Fax: (+90) 216-483-9699

 

  

EMPLOYMENT

 

Chair Professor of Finance, Sabanci University

Present

Graduate School of Business, Istanbul

 

Adjunct Associate Professor of Finance, New York University (NYU)

Spring 2012

Stern School of Business, NYU

 

Associate Professor of Finance (with tenure), CUNY

September 2007

Baruch College, City University of New York

 

Assistant Professor of Finance, CUNY

September 2003

Baruch College, City University of New York

 

 

 

EDUCATION

 

Ph.D. in Finance

 

Boston College, Chestnut Hill, Ma

 

B.S. in Electrical and Electronics Engineering

 

Bogazici University, Istanbul

 

 

 

SELECTED PUBLICATIONS

 

“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.

“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.

 

“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.

 

“Do Hedge Funds Outperform Stocks and Bonds?”

(with Turan Bali and Stephen J. Brown)

Management Science,2013, 59 (8), 1887-1903

 

“Implied Volatility Spreads and Expected Market Returns”

(with YigitAtilgan and Turan Bali)

Journal of Business Economics and Statistics,forthcoming

 

 

 

PUBLICATIONS

 

[30]

“Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance” (with Turan G. Bali, Armen Hovakimian, and John Merrick)

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

[29]

“Nonlinear Asymmetric Models of the Short Term Interest Rate”

Journal of Futures Markets, 26 (9) 2006.

[28]

“Small Sample Bias in Panel Data"

(with Turan G. Bali)”

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

[27]

“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.

[26]

“Nonlinear Mean Reversion in Stock Prices”

(with Turan G. Bali and Haim Levy)

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

[25]

“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)

 

[24]

“Can Overreaction Explain Part of The Size Premium”

(with A. Burak Guner)

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

 

[23]

“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.

 

[22]

“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.

 

[21]

“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.

 

[20]

“Corporate Financing Activities and Contrarian Investment”

(with Turan G. Bali and Armen Hovakimian)

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

 

[19]

“Aggregate Earnings and Expected Stock Returns in Emerging Markets”

(with Duygu Zirek)

Emerging Markets Finance and Trade, May/Jun2011, Vol.  47 Issue 3, 4-22.  (Lead Article)

 

[18]

“Investigating ICAPM in International Futures Markets”

(with Turan Bali and Kishore Tandon)

Review of Futures Markets, 2011, 19(3), 195-216.  (Lead Article)

 

[17]

“International Equity Markets: Risk and Return”

(with Yigit Atilgan and Turan Bali)

Oxford University Press, International Finance: A Survey, New York and Oxford, 2013.

 

[16]

“Downside Risk in Emerging Markets”

(with Yigit Atilgan)

Emerging Markets Finance and Trade, 2013, Vol. 49, Issue3, 64-83.

 

[15]

“Initial Credit Ratings and Earnings Management”

(with Kimberly Rodgers Cornaggia)

Review of Financial Economics, forthcoming

 

[14]

“The Intertemporal Relation between Tail Risk and Fund of Hedge Funds”

(with Yigit Atilgan and Turan Bali)

Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Publisher: Elsevier, Amsterdam, 2013.(Lead Article)

 

[13]

“Reward-to-Risk Ratios in Turkish Financial Markets”

(with Yigit Atilgan)

Iktisat, Isletme ve Finans, 2013, Vol 28, 9-32. (Lead Article)

 

[12]

“Reward-to-Risk Ratios of Fund of Hedge Funds”

(with Yigit Atilgan and Turan Bali) )

Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Publisher: Elsevier, Amsterdam, 2013.(Lead Article)

 

[11]

“Do Hedge Funds Outperform Stocks and Bonds?”

(with Turan Bali and Stephen J. Brown)

Management Science,2013, 59 (8), 1887-1903

 

[10]

“Risk-Adjusted Performances of World Equity Indices”

(with YigitAtilgan)

Emerging Markets Finance and Trade,forthcoming.

 

[9]

“Implied Volatility Spreads and Expected Market Returns”

(with YigitAtilgan and Turan Bali)

Journal of Business Economics and Statistics,forthcoming

 

[8]

“Studies of Equity Returns in Emerging Markets: A Literature Review”

(with YigitAtilgan and KoraySimsek)

Emerging Markets Finance and Trade,forthcoming

 

 

 

 

BOOKS

 

[7]

“Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics”

(Yigit Atilgan, Turan Bali, and K. Ozgur Demirtas)

Available through Amazon and Elsevier Store Publisher: Elsevier, Amsterdam, 2013.

 

 

 

WORKING PAPERS

 

[6]

“Share Issuance and Cross-Sectional Returns”

(withYigitAtilgan and Alper Erdogan)Revise and Resubmit Status

 

[5]

“Exchange Traded Funds”

(withTuran Bali)

 

[4]

“Investing in Stock Market Anomalies”

(with Turan Bali and Stephen J. Brown)

 

[3]

“Identifying a Preference between Emerging and Developed Markets”

(with Turan Bali and Stephen J. Brown)

 

[2]

“Liquidity and Equity Returns in Borsa Istanbul”

(with YigitAtilgan and DorukGunaydin)

 

[1]

“Macroeconomics Variables and Individual Stock Returns in ISE”

(with YigitAtilgan and Alper Erdogan)Revise and Resubmit Status

 

 

 

 

 

 

WORKS IN PROGRESS

 

[5]

“Relation between Risk and Expected Return and Cash Flow News”

(with Turan Bali and Robert Whitelaw)`

 

[4]

“The Anatomy of the Relationship Between Analyst Earnings Estimates and Stock Returns”

 

[3]

“Investing in ETFs”

 

[2]

“Decomposing Returns in International Stock Markets”

 

[1]

“What Drives Returns in Turkish Financial Markets?”

 

 

 

 

PROFESSIONAL HONORS, AWARDS, FELLOWSHIPS

 

Listed within the Top 20 Professors

2010

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

 

 

Earned Marie-Curie Grant with the highest marks achieved by SOM, Sabanci University

2013

The grant is financed by Marie-Curie Reintegration grant by a total amount of 100,000 Euro. It was the only project that was financed in the area of Economics and Finance in Turkey during its term.

 

 

Media Appearances

Summer 2011

Appeared on 43 Live Shows within a 2-month period, 7 Magazine Columns, Several Newspaper Interviews, Haberturk TV, Bloomberg, TRT Haber, ATV, NTV, CNBC-e, TRT Turk, AHaber, TRT Arapca, 6 News, TGRT, ATV, Hurriyet, Ekonomist, EkoVitrin, and several others

 

 

Highest evaluation at Stern School of Business (NYU)

Spring 2012

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

 

Research Grant from PSC-CUNY

2004-2011

For six years in a row

 

Faculty Recognition Award for Scholarly and Creative Achievements

2005-2011

For seven years in a row

 

Presidential Excellence Award for Distinguished Teaching

2007

Youngest faculty to get this award

 

Recipient of Eugene M. Lang Research Fellowship

2007

For work on Investors' Age and Risk Taking

 

Teaching Excellence, Deans List

2004-2011

For eight years in a row

 

Zicklin School of Business Teaching Excellence Award

2004-2005

Baruch College, City University of New York

 

Donald J. White Teaching Excellence Award

2002

Boston College, Chestnut Hill, Ma

 

Graduate Fellowship

1998-2003

Boston College, Chestnut Hill, Ma

 

Honors List

1998

Bogazici University, Istanbul

 

Ranked within top 50 in Turkish College Entrance Exam

1993

OSYM, Turkey

 

National Academic Excellence Award

1993

Granted by the Prime Minister of Turkey

 

Associate Editorship

2014

Emerging Markets Finance and Trade

 

 

 

 

 

PRESENTATIONS

 

Midwest Finance Association (MFA), Orlando, Scheduled          

Spring 2014

Emerging Markets Risk Management Conference (EMRM), Hong Kong

Summer 2012

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

 

 

 

RESEARCH GRANTS

 

Risk and Return in Commodity Markets

2010

Sponsored by PSC-CUNY foundation             

 

Repurchase Premium, Extrapolation Hypothesis and Informed Investors

2009

Sponsored by PSC-CUNY foundation

 

Investors’ Age and Risk Taking

2008

Eugene-Lang Research Fellowship

 

Mean Reversion in Stock Prices

2007

Sponsored by PSC-CUNY foundation

 

Almost Stochastic Dominance and Mean Variance Approach

2006

Sponsored by PSC-CUNY foundation

 

Downside Risk and Expected Stock Returns

2005

Sponsored by PSC-CUNY foundation

 

Aggregate Earnings, Firm-level Earnings and Expected Stock Returns

2004

Sponsored by PSC-CUNY foundation

 

 

 

 

PROFESSIONAL ACTIVITIES

 

Reviewer for the:

 

Management Science

 

Review of Financial Studies

 

Journal of Financial and Quantitative Analysis

 

Journal of Banking and Finance

 

European Journal of Finance

 

Review of Quantitative Finance and Accounting

 

Managerial Finance

 

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

 

Physic-A

 

Iktisat, Isletme, Finans

 

International Journal of Revenue Management

 

Economic Systems

 

Quarterly Review of Economics and Finance

 

 

 

 

ACADEMIC SERVICE

 

Ph.D. Dissertation Committee, Ali Doruk Gunaydin

In process

 

Ph.D. Dissertation Committee, Alper Erdogan

In process

 

Ph.D. Dissertation Committee, Duygu Zirek

Placed in University of New Orleans

 

Ph.D. Dissertation Committee, Yigit Atilgan

Placed in Sabanci University

 

Ph.D. Dissertation Committee, Irena Yegorova (Hutton)

Placed in Florida State University

 

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, City University of New York

 

Chair of the Sub-committee on course syllabi (under Graduate Curriculum Committee)

 

Mentor and Lecturer for the Investment Club

 

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

Baruch College, City University of New York

 

Undergraduate Honors Committee

Baruch College, City University of New York

 

Faculty Advisor, Department of Finance,

Baruch College, City University of New York

 

 

 

CONSULTING and PROFESSIONAL PRESENTATIONS

 

Dask

2013

Developed a Financial Risk Management Software for more than 1 Billion TL under management

 

Turkish Young Businessman Association (TUGIAD)

2012-Present

Consultant

 

Association of Automotive Parts and Components Manufacturers (TAYSAD)

2013-Present

Consultant

 

FinansalOkuryazarlikveErisimDernegi (FODER)

2012-Present

Founding Board Member

 

ACI Worldwide

11/2012

Istanbul

 

AkSigorta

02/2013

Istanbul

 

Halkbank

02/2013

Ankara   

 

Halkbank

03/2013

Istanbul  

 

UludagIhracatcilarBirligi

04/2013

Bursa      

 

EMC

05/2013

Cyprus    

 

Continental Lastikleri

06/2013

Istanbul

 

Tofas

06/2013

Istanbul

 

Tofas

07/2013

Bursa

 

Steel Orbis (yassicelik)

09/2013

Istanbul

 

Visa Europe

10/2013

Istanbul

 

Tofas

10/2013

Istanbul

 

Bosch Inc.

11/2013

Mardin

 

 

 

Steel Orbis (uzuncelik)

12/2013

Istanbul

 

Yuksel Construction Inc.

12/2013

Ankara

 

Turkish Airlines

2014

Antalya

 

Mercedes

2014

TBA

 

Akbank Private Banking

2014

Bursa

 

Akbank Private Banking

2014

Ankara

 

Akbank Private Banking

2014

Izmir

 

Akbank Private Banking

2014

Adana

 

Akbank Private Banking

2014

Istanbul

 

Swift

06/2014

Istanbul

 

 

Schneider Electric

06/2014

Istanbul

 

Turkish Airlines

06/2014

Istanbul

 

 

 

 

TEACHING EXPERIENCE

 

I earnedthe highest teaching evaluations in every section I taught.

 

My teaching portfolio includes:

 

Basic Finance (Undergraduate)

 

Investments (Undergraduate and MS in Finance)

 

Managerial Finance (MBA and Executive MBA)

 

Basic Finance (MBA and Executive MBA)

 

Basic Corporate Finance (Undergraduate)

 

Financial Decision Making (MBA and Executive MBA)

 

Option Pricing (MS in Finance)

 

Fixed Income (MBA and MS in Finance)

 

Empirical Asset Pricing (Ph.D level)