- HDR (Authorization to supervise research), Management
Areas of research
- Empirical asset pricing
- Market Frictions
- Return Predictability
- Hedge Funds
- Behavioral Finance
Y. Eser ARISOY is an Associate Professor of Finance at NEOMA Business School in France. His work primarily focuses on four major research axes: i) empirical asset pricing and in particular the role of aggregate volatility on asset price dynamics, ii) the impact of market frictions on asset returns, iii) performance and risk-taking behavior of hedge funds, and iv) whether and how behavioral biases impact 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 work on the relation between volatility of aggregate volatility and hedge fund performance has been selected as semi-finalist in Investments category at the FMA 2015 Annual Meeting and was awarded the 2016 Crowell Third Prize as a recognition of its contribution to connect theory with the practice of quantitative investment management.
- Volatility of aggregate volatility and hedge fund returns
- Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?