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ARISOY Y. Eser

Habilitation à Diriger des Recherches, Sciences de Gestion

Y. Eser ARISOY est Professeur en Finance à NEOMA Business School. Ses recherches se situent autour de trois axes: i) l’évaluation des actifs, ii) la performance et la prise de risques des fonds spéculatifs, et iii) si et comment les biais comportementaux ont l’effet sur les investissements et sur les prix des actions. Ses travaux ont été publiés dans plusieurs revues internationales telles que Journal of Financial Economics, Journal of Banking and Finance, Applied Economics, Journal of Derivatives et Journal of Futures Markets. Son travail sur la relation entre la volatilité de volatilité et la performance des fonds spéculatifs a été choisi demi-finaliste dans le catégorie "Investissements" à FMA 2015 Conférence et a reçu le prestigieux "2016 Crowell Third Prize" qui est attribué chaque année à la recherche de haute qualité qui connecte la théorie avec la pratique d'investissement quantitative. Il est membre de Comité de recherche et coordinateur scientifique de thématique "La complexité des problèmes, des solutions et des décisions" dans la domaine d’excellence "L’avantage de complexité" à NEOMA. 

Domaines de spécialisation

  • Evaluation des actifs
  • Fonds spéculatifs
  • Finance comportementale
  • Investissements

Récentes contributions académiques

  • ABOURA , S., E.ARISOY, "Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?", Journal of Business Finance and Accounting, Août 2019, vol. 46, pp. 1263–1298
    DOI : 10.1111/jbfa.12403
  • ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", 10th Miami Behavioral Finance Conference, 2019, Miami, Florida, États-Unis
  • ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", 17th Paris December Finance Meeting, 2019, Paris, France

Academic Journals

  • ABOURA , S., E.ARISOY, "Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?", Journal of Business Finance and Accounting, Août 2019, vol. 46, pp. 1263–1298
    DOI : 10.1111/jbfa.12403
  • ARISOY, E., V.AGARWAL, N. Y.NAIK, "Volatility of aggregate volatility and hedge fund returns", Journal of Financial Economics, Septembre 2017, vol. 125, no. 3, pp. 491-510
    DOI : 10.1016/j.jfineco.2017.06.015
  • ABOURA, S., E.ARISOY, "Does aggregate uncertainty explain size and value anomalies?", Applied Economics, Janvier 2017, vol. 49, no. 32, pp. 3214-3230
    DOI : 10.1080/00036846.2016.1257107
  • FU, X., E.ARISOY, M.UMUTLU, M. B.SHACKLETON, "Option-Implied Volatility Measures and Stock Return Predictability", The Journal of Derivatives, Septembre 2016, vol. 24, no. 1, pp. 58-78
    DOI : 10.3905/jod.2016.24.1.058
  • ARISOY, E., A.ALTAY-SALIH, L.AKDENIZB, "Aggregate volatility expectations and threshold CAPM", The North American Journal of Economics and Finance, Novembre 2015, vol. 34, pp. 231-253
    DOI : 10.1016/j.najef.2015.09.013
  • ARISOY, E., A.ALTAY-SALIH, M. C.PINAR, "Optimal multi-period consumption and investment with short-sale constraints", Finance Research Letters, Mars 2014, vol. 11, no. 1, pp. 16-24
    DOI : 10.1016/j.frl.2013.05.007
  • ARISOY, E., "Aggregate Volatility and Market Jump Risk: A Risk-Based Explanation to Size and Value Premia", Journal of Futures Markets, Février 2014, vol. 34, no. 1, pp. 34-55
    DOI : 10.2139/ssrn.1343626
  • ARISOY, E., "Volatility risk and the value premium: Evidence from the French stock market", Journal of Banking and Finance, Mai 2010, vol. 34, no. 5, pp. 975-983
    DOI : 10.1016/j.jbankfin.2009.10.012
  • ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Is volatility risk priced in the securities market? Evidence from S&P 500 index options", Journal of Futures Markets, Juillet 2007, vol. 27, no. 7, pp. 617-642
    DOI : 10.1002/fut.20242

Academic conferences

  • ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", 17th Paris December Finance Meeting, 2019, Paris, France
  • ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", 10th Miami Behavioral Finance Conference, 2019, Miami, Florida, États-Unis
  • ARISOY, E., T. G.BALI, "Regret in Financial Decision Making under Volatility Uncertainty and the Cross-Section of Expected Stock Returns" dans 11th Annual Meeting of the Academy of Behavioral Finance & Economics, 2018
  • ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans 5th Turkish Finance Workshop, 2018
  • ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans Research in Behavioral Finance Conference, 2018
  • ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans Academy of Behavioral Finance Annual Meeting, 2018, Chicago, États-Unis
  • ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans Manchester Business School, 2018, Manchester, Royaume-Uni
  • ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans 8th FEBS Conference, 2018
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans FMA European Conference, 2017
  • ARISOY, E., "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans World Finance Conference, 2017
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans Global Finance Conference, 2017
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans 8th French Econometrics Conference, 2016
  • AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" dans AFA San Fransisco Meeting, 2016
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans FMA Las Vegas Meeting, 2016
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans EFMA Basel Meeting, 2016
  • AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" dans 5th FEBS Conference, 2015
  • ARISOY, E., "Volatility of Aggregate Volatility and Hedge Fund Returns" dans 7th Annual Hedge Fund Research Conference, 2015
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans Paris Financial Management Conference, 2014

Dissemination activity

  • ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans FMA San Diego Meeting, 2018, San Diego, États-Unis