![](https://neoma-bs.com/sites/default/files/uploaded_images/profs-neoma_0.png)# ARISOY Y. Eser { "@context": "https://schema.org", "@type": "BreadcrumbList", "itemListElement": [ { "@type": "ListItem", "position": 1, "name": "Home", "item": "https://neoma-bs.com/" }, { "@type": "ListItem", "position": 2, "name": "ARISOY\u0020Y.\u0020Eser", "item": "https://neoma-bs.com/node/8567.md" } ] } - [Home](https://neoma-bs.com/) - ARISOY Y. Eser ![](/sites/default/files/styles/large/public/uploaded_images/photos_academ/28646-arisoy-y-eser.jpg?itok=3w5ZL1Iu)ARISOY Y. Eser Full Professor - About - Academic publications [Finance](https://neoma-bs.com/departements/finance) HDR (Authorization to supervise research), Management Y. Eser ARISOY is a Professor of Finance at NEOMA Business School. His work primarily focuses on three major research axes: i) empirical asset pricing, ii) performance and risk-taking behavior of hedge funds, and iii) whether and how behavioral biases impact investments and asset returns. He has published in journals such as Journal of Financial Economics, Management Science, Journal of Banking and Finance, among others. He was a semi-finalist in Investments category at the FMA 2015 Annual Meeting for his work on the relationship between volatility of aggregate volatility and hedge fund performance, and was awarded the 2016 Crowell Third Prize in recognition of his contribution to connect theory with the practice of quantitative investment management. He is a member of the Research Ethics Committee and the scientific co-ordinator of "The complexity of problems, solutions, and decisions" sub-area of the "Complexity Advantage" area of excellence at NEOMA. ### Areas of research - Empirical asset pricing - Hedge Funds - Behavioral Finance - Investments ## Recent academic contributions ARISOY, Y. E., T. G. BALI, Y. TANG, "Investor Regret and Stock Returns", *Management Science*, November 2024, vol. 70, no. 11, pp. 7345-8215 DOI : [ 10.1287/mnsc.2022.03389 ](https://dx.doi.org/10.1287/mnsc.2022.03389) ARETZ, K., Y. E. ARISOY, "The Pricing of Skewness Over Different Return Horizons", *Journal of Banking and Finance*, March 2023, vol. 148 DOI : [ 10.1016/j.jbankfin.2022.106713 ](https://dx.doi.org/10.1016/j.jbankfin.2022.106713) ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Yasar University, Department of International Finance and Trade*. 2022, Online Invited Seminar, Turkey ## Publications ARISOY, Y. E., T. G. BALI, Y. TANG, "Investor Regret and Stock Returns", *Management Science*, November 2024, vol. 70, no. 11, pp. 7345-8215 DOI : [ 10.1287/mnsc.2022.03389 ](https://dx.doi.org/10.1287/mnsc.2022.03389) ARETZ, K., Y. E. ARISOY, "The Pricing of Skewness Over Different Return Horizons", *Journal of Banking and Finance*, March 2023, vol. 148 DOI : [ 10.1016/j.jbankfin.2022.106713 ](https://dx.doi.org/10.1016/j.jbankfin.2022.106713) ABOURA , S., E.ARISOY, "Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?", *Journal of Business Finance and Accounting*, August 2019, vol. 46, pp. 1263–1298 DOI : [ 10.1111/jbfa.12403 ](https://dx.doi.org/10.1111/jbfa.12403) ARISOY, E., V.AGARWAL, N. Y.NAIK, "Volatility of aggregate volatility and hedge fund returns", *Journal of Financial Economics*, September 2017, vol. 125, no. 3, pp. 491-510 DOI : [ 10.1016/j.jfineco.2017.06.015 ](https://dx.doi.org/10.1016/j.jfineco.2017.06.015) ABOURA, S., E.ARISOY, "Does aggregate uncertainty explain size and value anomalies?", *Applied Economics*, January 2017, vol. 49, no. 32, pp. 3214-3230 DOI : [ 10.1080/00036846.2016.1257107 ](https://dx.doi.org/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*, September 2016, vol. 24, no. 1, pp. 58-78 DOI : [ 10.3905/jod.2016.24.1.058 ](https://dx.doi.org/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*, November 2015, vol. 34, pp. 231-253 DOI : [ 10.1016/j.najef.2015.09.013 ](https://dx.doi.org/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*, March 2014, vol. 11, no. 1, pp. 16-24 DOI : [ 10.1016/j.frl.2013.05.007 ](https://dx.doi.org/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*, February 2014, vol. 34, no. 1, pp. 34-55 DOI : [ 10.2139/ssrn.1343626 ](https://dx.doi.org/10.2139/ssrn.1343626) ARISOY, E., "Volatility risk and the value premium: Evidence from the French stock market", *Journal of Banking and Finance*, May 2010, vol. 34, no. 5, pp. 975-983 DOI : [ 10.1016/j.jbankfin.2009.10.012 ](https://dx.doi.org/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*, July 2007, vol. 27, no. 7, pp. 617-642 DOI : [ 10.1002/fut.20242 ](https://dx.doi.org/10.1002/fut.20242) ## Conferences ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", *10th Miami Behavioral Finance Conference*, 2019, Miami, Florida, United States ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", *17th Paris December Finance Meeting*, 2019, Paris, France ARISOY, E., T. G.BALI, "Regret in Financial Decision Making under Volatility Uncertainty and the Cross-Section of Expected Stock Returns" in *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" in *8th FEBS Conference*, 2018 ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in *5th Turkish Finance Workshop*, 2018 ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in *Research in Behavioral Finance Conference*, 2018 ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in *Academy of Behavioral Finance Annual Meeting*, 2018, Chicago, United States ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in *Manchester Business School*, 2018, Manchester, United Kingdom ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *Global Finance Conference*, 2017 ARISOY, E., "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *World Finance Conference*, 2017 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *FMA European Conference*, 2017 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *EFMA Basel Meeting*, 2016 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *FMA Las Vegas Meeting*, 2016 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *8th French Econometrics Conference*, 2016 AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" in *AFA San Fransisco Meeting*, 2016 ARISOY, E., "Volatility of Aggregate Volatility and Hedge Fund Returns" in *7th Annual Hedge Fund Research Conference*, 2015 AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" in *5th FEBS Conference*, 2015 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in *Paris Financial Management Conference*, 2014 ## Conference contributions ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" in *Research in Behavioral Finance Conference*, 2022, Amsterdam, Netherlands ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" in *Southern Finance Association Annual Meeting*, 2022, Key West, Florida, United States ARISOY, Y. E., T. TRINH, V. AGARWAL, "Eponymous Hedge Funds" in *7th Inter-Business School Finance Seminar*, 2022, Nice, France ARISOY, Y. E., T. TRINH, V. AGARWAL, "Eponymous Hedge Funds" in *13th Annual Hedge Fund Research Conference*, 2022, Paris, France Coauthorspresented ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" in *Academic Research Colloquium*, 2021, Online Conference, United States ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" in *Financial Management Association Annual Meeting*, 2021, Online Conference, United States Coauthorspresented ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in *FMA San Diego Meeting*, 2018, San Diego, United States ## Research seminars ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Yasar University, Department of International Finance and Trade*. 2022, Online Invited Seminar, Turkey ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *IIM Bangalore*. 2021, Online Seminar, India ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Shanghai Advanced Institute of Finance*. 2021, Online Seminar, China ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *University Carlos 3*. 2021, Online Seminar, Spain ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *University of Hawai*. 2021, Online Seminar, United States AGARWAL, V., Y. E.ARISOY, T.TRINH, "Eponymous Hedge Funds" *Virtual Asset Management Seminar Series*. 2020, United States AGARWAL, V., Y. E.ARISOY, T.TRINH, "Eponymous Hedge Funds" *Internal Seminar Talk NEOMA Business School Department of Finance*. 2020, Reims, France ARETZ, K., E.ARISOY, "Do Stock Markets Really Care About Skewness?" *Internal Seminar Talk NEOMA Business School Department of Finance*. 2019, Reims, France ARISOY, E., T.BALI , Y.TANG , "Anticipated Regret and Equity Returns" *Inter-Business School Finance Seminar NEOMA Business School*. 2019, Reims, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *ESCP Europe*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *EDHEC Business School*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *NEOMA Business School*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *AFFI Paris Meeting*. 2018, Paris, France ARISOY, E., T. G.BALI, "Volatility of Aggregate Volatility and Hedge Fund Returns" *PanAgora Asset Management*. 2016, Boston, United States AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" *Dauphine-Amundi Asset Management Workshop*. 2015, Paris, France AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" *HEC Paris*. 2015, Paris, France ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Aggregate Volatility Expectations and Threshold CAPM" *Skema Business School*. 2014, Lille, France ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Aggregate Volatility Expectations and Threshold CAPM" *Université Picardie Jules Verne*. 2013, Amiens, France