Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …

Page 1 “ Bali, Engle, and Murray have produced a highly accessible introduction to the
techniques and evidence of modern empirical asset pricing. This book should be read and …

Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months into …

This paper investigates whether realized and implied volatilities of individual stocks can
predict the cross-sectional variation in expected returns. Although the levels of volatilities from …

This paper examines the cross-sectional relation between idiosyncratic volatility and expected
stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic …

… Turan Bali gratefully acknowledges the financial support from the PSC-CUNY Research
Foundation of the City University of New York. All errors remain our responsibility.Search for …

We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and …

This paper explores the time-series relation between expected returns and risk for a large
cross section of industry and size/book-to-market portfolios. I use a bivariate generalized …

We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common risk …