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Turan Bali

MSF Faculty

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, reviewed books for several publishers, and served on the review committees of the National Science Foundation, Research Grants Council of Hong Kong, Scientific and Technological Research Council of Turkey, and Social Sciences and Humanities Research Council of Canada.

Professor Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives. A founding member of the Society for Financial Econometrics, he has worked on consulting projects sponsored by major financial institutions and government organizations in the U.S. and other countries. In addition, he currently serves as an Associate Editor for the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, the Journal of Futures Markets, the Review of Financial Economics, the Journal of Portfolio Management, and the Journal of Risk.

With more than 50 published articles in economics and finance journals, Bali’s work has appeared in 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, Review of Economics and Statistics and many others. He also serves as an ad-hoc reviewer for numerous journals in economics, finance, statistics, and operations research.

Selected Publications

Books:

  • Turan G. Bali, Frank J. Fabozzi, and Sergio M. Focardi. Mathematical Methods for Finance: Tools for Asset and Risk Management. Wiley, 2013.
  • Turan G. Bali, Yigit Atilgan, and K. Ozgur Demirtas. Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics. Elsevier, 2013.

Articles in journals:

  • 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.
  • Beyong-Je An, Andrew Ang, Turan G. Bali, and Nusret Cakici. "The Joint Cross Section of Stocks and Options." Journal of Finance (2014): forthcoming.
  • Turan G. Bali, Stephen J. Brown, and Mustafa O. Caglayan. "Macroeconomic Risk and Hedge Fund Returns." Journal of Financial Economics (2014): forthcoming.
  • Yigit Atilgan, Turan G. Bali, and K. Ozgur Demirtas. "Implied Volatility Spreads and Expected Market Returns." Journal of Business and Economic Statistics (2014): forthcoming.
  • 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.
  • Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas. "Do Hedge Funds Outperform Stocks and Bonds?" Management Science 59.8 (2013): 1887-1903.
  • 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 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 and Armen Hovakimian. "Volatility Spreads and Expected Stock Returns." Management Science 55.11 (2009): 1797-1812.
  • 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, 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, 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. "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 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, 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.