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ARISOY Y. Eser

HDR (Authorization to supervise research), Management

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Finance
HDR (Authorization to supervise research), Management

Y. Eser ARISOY is Full 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 Journal of Financial Economics, Journal of Banking and Finance, Applied Economics, Journal of Derivatives, and Journal of Futures Markets. His was a semi-finalists in the Investments category at the FMA 2015 Annual Meeting  for his work on the relationship between the 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 committee and the scientific coordinator of "The complexity of problems, solutions, and decisions," a 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, January 2024
    DOI : 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

Article

  • ARISOY, Y. E., T. G. BALI, Y. TANG, "Investor Regret and Stock Returns", Management Science, January 2024
    DOI : 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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

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, United States
  • 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 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
  • ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" in 8th FEBS Conference, 2018
  • ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" in FMA European 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 Global Finance Conference, 2017
  • 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
  • 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 EFMA Basel Meeting, 2016
  • AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" in 5th FEBS Conference, 2015
  • ARISOY, E., "Volatility of Aggregate Volatility and Hedge Fund Returns" in 7th Annual Hedge Fund Research 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

Participation at an academic or professional conference

  • 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" in FMA San Diego Meeting, 2018, San Diego, United States
  • 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

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