Chair Professor of Finance, Sabanci University. Adjunct Associate Professor of Finance, New York University (NYU) Spring 2012

Transcription

1 Professor Dr. K. Ozgur Demirtas Chair Professor of Finance Sabancı University, Orhanlı-Tuzla, 34956, İstanbul, TURKEY Tel: (+90) Fax: (+90) EMPLOYMENT Chair Professor of Finance, Sabanci University Present Graduate School of Business, Adjunct Associate Professor of Finance, New York University (NYU) Spring 2012 Stern School of Business, NYU Associate Professor of Finance (with tenure), CUNY September 2007 Assistant Professor of Finance, CUNY September 2003 EDUCATION Ph.D. in Finance Boston College, Chestnut Hill, Ma B.S. in Electrical and Electronics Engineering Bogazici University, SELECTED PUBLICATIONS Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns (with Turan G. Bali and Hassan Tehranian) Journal of Financial and Quantitative Analysis, September 2008, 43(3),

2 Bond versus Stock: Investors Age and Risk Taking (with Turan G. Bali, Haim Levy and Avner Wolf) Journal of Monetary Economics, September 2009, 56(6), Is There an Intertemporal Relation Between Downside Risk and Expected Returns? (with Turan G. Bali and Haim Levy) Journal of Financial and Quantitative Analysis, 2009, 44 (4), Do Hedge Funds Outperform Stocks and Bonds? (with Turan Bali and Stephen J. Brown) Management Science, 2013, 59 (8), Implied Volatility Spreads and Expected Market Returns (with Yigit Atilgan and Turan Bali) Journal of Business Economics and Statistics, forthcoming PUBLICATIONS [30] Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance (with Turan G. Bali, Armen Hovakimian, and John Merrick) Journal of Portfolio Management, Spring 2006, 32(3), [29] Nonlinear Asymmetric Models of the Short Term Interest Rate Journal of Futures Markets, 26 (9) [28] Small Sample Bias in Panel Data" (with Turan G. Bali) Finance Letters, August 2007, 5(2), [27] Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns (with Turan G. Bali and Hassan Tehranian) Journal of Financial and Quantitative Analysis, September 2008, 43(3), [26] Nonlinear Mean Reversion in Stock Prices (with Turan G. Bali and Haim Levy) Journal of Banking of Finance, May 2008, 32(5), [25] Testing Mean Reversion in Financial Market Volatility: Evidence from SP 500 Index Futures (with Turan G. Bali) Journal of Futures Markets, January 2008, 28(1), (Lead Article) [24] Can Overreaction Explain Part of The Size Premium (with A. Burak Guner) International Journal of Revenue Management, 2008, 2(3) [23] Bond versus Stock: Investors Age and Risk Taking (with Turan G. Bali, Haim Levy and Avner Wolf) Journal of Monetary Economics, September 2009, 56(6), [22] Is There an Intertemporal Relation Between Downside Risk and Expected Returns? (with Turan G. Bali and Haim Levy) Journal of Financial and Quantitative Analysis, 2009, 44 (4),

3 [21] Predictability of Risk Measures in International Stock Markets (with Turan Bali) Stock Market Volatility, February 2009 edited by Greg N. Gregoriou,, Publisher: Chapman Hall CRC Taylor and Francis, London, UK. [20] Corporate Financing Activities and Contrarian Investment (with Turan G. Bali and Armen Hovakimian) Review of Finance, September 2010, 14(3), [19] Aggregate Earnings and Expected Stock Returns in Emerging Markets (with Duygu Zirek) Emerging Markets Finance and Trade, May/Jun 2011, Vol. 47 Issue 3, (Lead Article) [18] Investigating ICAPM in International Futures Markets (with Turan Bali and Kishore Tandon) Review of Futures Markets, 2011, 19(3), (Lead Article) [17] International Equity Markets: Risk and Return (with Yigit Atilgan and Turan Bali) Oxford University Press, International Finance: A Survey, New York and Oxford, [16] Downside Risk in Emerging Markets (with Yigit Atilgan) Emerging Markets Finance and Trade, 2013, Vol. 49, Issue3, [15] Initial Credit Ratings and Earnings Management (with Kimberly Rodgers Cornaggia) Review of Financial Economics, forthcoming [14] The Intertemporal Relation between Tail Risk and Fund of Hedge Funds (with Yigit Atilgan and Turan Bali) Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Publisher: Elsevier, Amsterdam, (Lead Article) [13] Reward-to-Risk Ratios in Turkish Financial Markets (with Yigit Atilgan) Iktisat, Isletme ve Finans, 2013, Vol 28, (Lead Article) [12] Reward-to-Risk Ratios of Fund of Hedge Funds (with Yigit Atilgan and Turan Bali) ) Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Publisher: Elsevier, Amsterdam, (Lead Article) [11] Do Hedge Funds Outperform Stocks and Bonds? (with Turan Bali and Stephen J. Brown) Management Science, 2013, 59 (8), [10] Risk-Adjusted Performances of World Equity Indices (with Yigit Atilgan) Emerging Markets Finance and Trade, forthcoming. [9] Implied Volatility Spreads and Expected Market Returns (with Yigit Atilgan and Turan Bali) Journal of Business Economics and Statistics, forthcoming 3

4 [8] Studies of Equity Returns in Emerging Markets: A Literature Review (with Yigit Atilgan and Koray Simsek) Emerging Markets Finance and Trade, forthcoming BOOKS [7] Investing in Hedge Funds: A Guide to Measuring Risk and Return Characteristics (Yigit Atilgan, Turan Bali, and K. Ozgur Demirtas) Available through Amazon and Elsevier Store Publisher: Elsevier, Amsterdam, WORKING PAPERS [6] Share Issuance and Cross-Sectional Returns (with Yigit Atilgan and Alper Erdogan) Revise and Resubmit Status [5] Exchange Traded Funds (with Turan Bali) [4] Investing in Stock Market Anomalies (with Turan Bali and Stephen J. Brown) [3] Identifying a Preference between Emerging and Developed Markets (with Turan Bali and Stephen J. Brown) [2] Liquidity and Equity Returns in Borsa (with Yigit Atilgan and Doruk Gunaydin) [1] Macroeconomics Variables and Individual Stock Returns in ISE (with Yigit Atilgan and Alper Erdogan) Revise and Resubmit Status WORKS IN PROGRESS [5] Relation between Risk and Expected Return and Cash Flow News (with Turan Bali and Robert Whitelaw) ` [4] The Anatomy of the Relationship Between Analyst Earnings Estimates and Stock Returns [3] Investing in ETFs [2] Decomposing Returns in International Stock Markets 4

5 [1] What Drives Returns in Turkish Financial Markets? PROFESSIONAL HONORS, AWARDS, FELLOWSHIPS Listed within the Top 20 Professors 2010 Out of more than 1 million Professors and using more than 10 million student evaluations in United States, Canada, Scotland, and United Kingdom Earned Marie-Curie Grant with the highest marks achieved by SOM, Sabanci University 2013 The grant is financed by Marie-Curie Reintegration grant by a total amount of 100,000 Euro. It was the only project that was financed in the area of Economics and Finance in Turkey during its term. Media Appearances Summer 2011 Appeared on 43 Live Shows within a 2-month period, 7 Magazine Columns, Several Newspaper Interviews, Haberturk TV, Bloomberg, TRT Haber, ATV, NTV, CNBC-e, TRT Turk, AHaber, TRT Arapca, 6 News, TGRT, ATV, Hurriyet, Ekonomist, EkoVitrin, and several others Highest evaluation at Stern School of Business (NYU) Spring 2012 Obtained highest the teaching evaluation within the finance classes at NYU-Stern Research Grant from PSC-CUNY For six years in a row Faculty Recognition Award for Scholarly and Creative Achievements For seven years in a row Presidential Excellence Award for Distinguished Teaching 2007 Youngest faculty to get this award Recipient of Eugene M. Lang Research Fellowship 2007 For work on Investors' Age and Risk Taking Teaching Excellence, Deans List For eight years in a row Zicklin School of Business Teaching Excellence Award Donald J. White Teaching Excellence Award 2002 Boston College, Chestnut Hill, Ma Graduate Fellowship Boston College, Chestnut Hill, Ma Honors List

6 Bogazici University, Ranked within top 50 in Turkish College Entrance Exam 1993 OSYM, Turkey National Academic Excellence Award 1993 Granted by the Prime Minister of Turkey Associate Editorship 2014 Emerging Markets Finance and Trade PRESENTATIONS Midwest Finance Association (MFA), Orlando, Scheduled Spring 2014 Emerging Markets Risk Management Conference (EMRM), Hong Kong Summer 2012 European Financial Management Association (EFMA), Barcelona Summer 2012 IUE-SSEM EuroConference: Crises and Recovery in Emerging Markets, Izmir Summer 2011 Midwest Finance Association (MFA), Annual Meeting, Chicago Spring 2011 Financial Management Association (FMA) Annual Meeting, New York Fall 2010 FMA meetings, New York Fall 2010 EuroConference 2010 Spring 2010 MFA meetings, Chicago Spring 2009 University of Priaeus, Greece Spring 2009 FMA meetings, Dallas Fall 2008 EFA meetings, Zurich Summer 2006 UMASS Amherst, Massachusetts Spring 2006 FMA meeting, Stockholm Fall 2006 Penn State University Fall 2005 Baruch College, New York Spring 2004 EFA meetings Maastricht, Netherlands Summer 2004 Boston College, Massachusetts Fall

7 Rice University Spring 2003 Drexel University Spring 2003 Koc University Spring 2003 RESEARCH GRANTS Risk and Return in Commodity Markets 2010 Repurchase Premium, Extrapolation Hypothesis and Informed Investors 2009 Investors Age and Risk Taking 2008 Eugene-Lang Research Fellowship Mean Reversion in Stock Prices 2007 Almost Stochastic Dominance and Mean Variance Approach 2006 Downside Risk and Expected Stock Returns 2005 Aggregate Earnings, Firm-level Earnings and Expected Stock Returns 2004 PROFESSIONAL ACTIVITIES Reviewer for the: Management Science Review of Financial Studies Journal of Financial and Quantitative Analysis Journal of Banking and Finance European Journal of Finance Review of Quantitative Finance and Accounting Managerial Finance 7

8 Journal of Business Research Review of Financial Economics International Review of Economics and Finance Emerging Markets Finance and Trade Multinational Finance Journal Economic Modelling Journal of Applied Finance Physic-A Iktisat, Isletme, Finans International Journal of Revenue Management Economic Systems Quarterly Review of Economics and Finance ACADEMIC SERVICE Ph.D. Dissertation Committee, Ali Doruk Gunaydin In process Ph.D. Dissertation Committee, Alper Erdogan In process Ph.D. Dissertation Committee, Duygu Zirek Placed in University of New Orleans Ph.D. Dissertation Committee, Yigit Atilgan Placed in Sabanci University Ph.D. Dissertation Committee, Irena Yegorova (Hutton) Placed in Florida State University Hiring Committee Member, Baruch College Course Coordinator for MBA level classes Graduate Curriculum Committee Undergraduate Honors Committee 8

9 Teaching Mentor for the new Business School Faculty, Chair of the Sub-committee on course syllabi (under Graduate Curriculum Committee) Mentor and Lecturer for the Investment Club Member of the Center for International Business Education and Research (CIBER) Undergraduate Honors Committee Faculty Advisor, Department of Finance, CONSULTING and PROFESSIONAL PRESENTATIONS Dask 2013 Developed a Financial Risk Management Software for more than 1 Billion TL under management Turkish Young Businessman Association (TUGIAD) Consultant Association of Automotive Parts and Components Manufacturers (TAYSAD) Consultant Finansal Okuryazarlik ve Erisim Dernegi (FODER) Founding Board Member 2012-Present 2013-Present 2012-Present ACI Worldwide 11/2012 Ak Sigorta 02/2013 Halkbank 02/2013 Ankara Halkbank 03/2013 Uludag Ihracatcilar Birligi 04/2013 Bursa EMC 05/2013 Cyprus Continental Lastikleri 06/2013 9

10 Tofas 06/2013 Tofas 07/2013 Bursa Steel Orbis (yassi celik) 09/2013 Visa Europe 10/2013 Tofas 10/2013 Bosch Inc. 11/2013 Mardin Steel Orbis (uzun celik) 12/2013 Yuksel Construction Inc. 12/2013 Ankara Turkish Airlines 2014 Antalya Mercedes 2014 TBA Akbank Private Banking 2014 Bursa Akbank Private Banking 2014 Ankara Akbank Private Banking 2014 Izmir Akbank Private Banking 2014 Adana Akbank Private Banking 2014 Swift 06/2014 Schneider Electric 06/2014 Turkish Airlines 06/

11 TEACHING EXPERIENCE I earned the highest teaching evaluations in every section I taught. My teaching portfolio includes: Basic Finance (Undergraduate) Investments (Undergraduate and MS in Finance) Managerial Finance (MBA and Executive MBA) Basic Finance (MBA and Executive MBA) Basic Corporate Finance (Undergraduate) Financial Decision Making (MBA and Executive MBA) Option Pricing (MS in Finance) Fixed Income (MBA and MS in Finance) Empirical Asset Pricing (Ph.D level) 11