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Nusret Cakici
Researcher at Fordham University
Publications - 102
Citations - 5229
Nusret Cakici is an academic researcher from Fordham University. The author has contributed to research in topics: Stock (geology) & Volatility (finance). The author has an hindex of 29, co-authored 97 publications receiving 4512 citations. Previous affiliations of Nusret Cakici include Rutgers University & Arizona State University.
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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
TL;DR: In this paper, the authors investigate the significance of extreme positive returns in the cross-sectional pricing of stocks and find a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns.
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Idiosyncratic Volatility and the Cross-Section of Expected Returns
Turan G. Bali,Nusret Cakici +1 more
TL;DR: In this paper, the authors examined the cross-sectional relation between idiosyncratic volatility and expected stock returns and concluded that there is no robust, significant relation between the idiosyncratic risk and expected returns.
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Does Idiosyncratic Risk Really Matter
TL;DR: This article found no evidence of a significant link between the value-weighted portfolio returns and the median and value weighted average stock volatility for the period of 1963:08 to 1999:12 and showed that this result is driven by small stocks traded on the Nasdaq and is in part due to a liquidity premium.
Journal ArticleDOI
Idiosyncratic Volatility and the Cross Section of Expected Returns
Turan G. Bali,Nusret Cakici +1 more
TL;DR: In this paper, the authors examined the cross-sectional relation between idiosyncratic volatility and expected stock returns and concluded that no robustly significant relation exists between the idiosyncratic risk and expected returns.
Journal ArticleDOI
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
TL;DR: In this paper, the authors investigate the significance of extreme positive returns in the cross-sectional pricing of stocks and find a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns.