Turan Bali

Turan G. Bali is the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown University. He received his Ph.D. from the Graduate School and University Center of the City University of New York in 1999. Before joining Georgetown University, Professor Bali was the David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York. He also held visiting faculty positions at New York University and Princeton University. Professor Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives. A founding member of the Society for Financial Econometrics, he worked on consulting projects sponsored by major financial institutions and government organizations in the U.S. and other countries. He regularly presents his work at central banks, regulatory agencies, investment banks, hedge funds, and academic conferences. Professor Bali published three books and more than 50 articles in economics and finance journals, including the most prestigious journals in his field such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Business, and Review of Economics and Statistics. He has won several awards, including the Q-Group's Jack Treynor Prize for quantitative research in finance. He currently serves as an Associate Editor of Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Financial Management, and Journal of Portfolio Management. He also serves on the review committees of the National Science Foundation, Research Grants Council of Hong Kong, Social Sciences and Humanities Research Council of Canada, and Scientific and Technological Research Council of Turkey.

Education

• CUNY - Ph.D.

Publications

Books (3)

Turan G. Bali, Robert F. Engle, and Scott Murray. Empirical Asset Pricing: The Cross Section of Stock Returns. Wiley, 2016.

Turan G. Bali, Yigit Atilgan, and K. Ozgur Demirtas. Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics. Elsevier, 2013.

Turan G. Bali, Frank J. Fabozzi, and Sergio M. Focardi. Mathematical Methods for Finance: Tools for Asset and Risk Management. Wiley, 2013.

Articles in Journals (34)

Jennie Bai, Turan G. Bali, and Quan Wen. "Common Risk Factors in the Cross-Section of Corporate Bond Returns." Journal of Financial Economics (2018): Forthcoming.

Turan G. Bali, Andriy Bodnaruk, Anna Scherbina and Yi Tang. "Unusual News Flow and the Cross-Section of Stock Returns." Management Science (2018): Forthcoming.

Turan G. Bali, Stephen J. Brown, Scott Murray, and Yi Tang. "A Lottery Demand-Based Explanation of the Beta Anomaly." Journal of Financial and Quantitative Analysis, 52, 6 (2017): 2369-2397.

Turan G. Bali, Robert F. Engle and Yi Tang. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns." Management Science, 63, 11 (2017): 3760-3779.

Turan G. Bali, Stephen J. Brown, and Yi Tang. "Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?." Journal of Financial Economics, 126, 3 (2017): 471-489.

Turan G. Bali and Hao Zhou. "Risk, Uncertainty, and Expected Returns." Journal of Financial and Quantitative Analysis, 51, 3 (2016): 707-735.

Yigit Atilgan, Turan G. Bali, and K. Ozgur Demirtas. "Implied Volatility Spreads and Expected Market Returns." Journal of Business and Economic Statistics, 33, 1 (2015): 87-101.

Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?." Review of Asset Pricing Studies, 4, 2 (2014): 206-246.

Turan G. Bali, Lin Peng, Yannan Shen, and Yi Tang. "Liquidity Shocks and Stock Market Reactions." Review of Financial Studies, 27, 5 (2014): 1434-1485.

Turan G. Bali, Stephen J. Brown, and Mustafa O. Caglayan. "Macroeconomic Risk and Hedge Fund Returns." Journal of Financial Economics, 114, 1 (2014): 1-19.

Beyong-Je An, Andrew Ang, Turan G. Bali, and Nusret Cakici. "The Joint Cross Section of Stocks and Options." Journal of Finance, 69, 5 (2014): 2279-2337.

Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas. "Do Hedge Funds Outperform Stocks and Bonds?." Management Science, 59, 8 (2013): 1887-1903.

Turan G. Bali and Scott Murray. "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?." Journal of Financial and Quantitative Analysis, 48, 4 (2013): 1145-1171.

Linda Allen, Turan G. Bali, and Yi Tang. "Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?." Review of Financial Studies, 25, 10 (2012): 3000-3036.

Turan G. Bali, Stephen J. Brown, and Mustafa O. Caglayan. "Systematic Risk and the Cross-Section of Hedge Fund Returns." Journal of Financial Economics, 106, 1 (2012): 114-131.

Turan G. Bali, Nusret Cakici, and Fousseni Chabi-Yo. "A Generalized Measure of Riskiness." Management Science, 57, 8 (2011): 1406–1423.

Turan G. Bali, Stephen J. Brown, and Mustafa O. Caglayan. "Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?." Journal of Financial Economics, 101, 1 (2011): 36-68.

Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns." Journal of Financial Economics, 99, 2 (2011): 427-446.

Turan G. Bali and Naci Mocan. "Asymmetric Crime Cycles." Review of Economics and Statistics, 92, 4 (2010): 899-911.

Turan G. Bali, K. Ozgur Demirtas, and Armen Hovakimian. "Corporate Financing Activities and Contrarian Investment." Review of Finance, 14, 3 (2010): 543-584.

Turan G. Bali and Robert F. Engle. "The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations." Journal of Monetary Economics, 57, 4 (2010): 377-390.

Turan G. Bali, Ozgur Demirtas, Haim Levy, and Avner Wolf. "Bonds versus Stocks: Investors' Age and Risk Taking." Journal of Monetary Economics, 56, 6 (2009): 817-830.

Turan G. Bali, Ozgur Demirtas, and Haim Levy. "Is There an Intertemporal Relation Between Downside Risk and Expected Returns?." Journal of Financial and Quantitative Analysis, 44, 4 (2009): 883-909.

Turan G. Bali, Massaud Heidari, and Liuren Wu. "Predictability of Interest Rates and Interest Rate Portfolios." Journal of Business and Economic Statistics, 27, 4 (2009): 517-527.

Turan G. Bali and Armen Hovakimian. "Volatility Spreads and Expected Stock Returns." Management Science, 55, 11 (2009): 1797-1812.

Turan G. Bali, Ozgur Demirtas, and Hassan Tehranian. "Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns." Journal of Financial and Quantitative Analysis, 43, 3 (2008): 657-684.

Turan G. Bali and Nusret Cakici. "Idiosyncratic Volatility and the Cross-Section of Expected Returns." Journal of Financial and Quantitative Analysis, 43, 1 (2008): 29-58.

Turan G. Bali. "The Intertemporal Relation between Expected Returns and Risk." Journal of Financial Economics, 87, 1 (2008): 101-131.

Turan G. Bali and David Weinbaum. "A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns." Journal of Economic Dynamics and Control, 31, 2 (2007): 361-397.

Turan G. Bali. "A Generalized Extreme Value Approach to Financial Risk Measurement." Journal of Money, Credit, and Banking, 39, 7 (2007): 1611-1647.

Turan G. Bali. "An Extreme Value Approach to Estimating Interest Rate Volatility: Pricing Implications for Interest Rate Options." Management Science, 53, 2 (2007): 323-339.

Turan G. Bali, Nusret Cakici, Xuemin Yan, and Zhe Zhang. "Does Idiosyncratic Risk Really Matter?." Journal of Finance, 60, 2 (2005): 905-929.

Turan G. Bali. "An Extreme Value Approach to Estimating Volatility and Value at Risk." Journal of Business, 76, 1 (2003): 83-108.

Turan G. Bali. "Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate." Journal of Financial and Quantitative Analysis, 35, 2 (2000): 191-215.