Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …

… ∗Bali, turan bali@baruch.cuny.edu, Department of Economics and Finance, Baruch College,
Zicklin … Bali gratefully acknowledges the financial support from the PSC-CUNY Research …

… Turan Bali gratefully acknowledges the financial support from the PSC-CUNY Research
Foundation of the City University of New York. All errors remain our responsibility.Search for …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months into …

This paper investigates whether realized and implied volatilities of individual stocks can
predict the cross-sectional variation in expected returns. Although the levels of volatilities from …

Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied …

Page 1 “ Bali, Engle, and Murray have produced a highly accessible introduction to the
techniques and evidence of modern empirical asset pricing. This book should be read and …

We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common risk …

We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and …

The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta
anomaly, is one of the most persistent anomalies in empirical asset pricing research. This …